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»Forums Index »Product Support »Data and Content Support »options Complex Order Books?
Author Topic: options Complex Order Books? (13 messages, Page 1 of 1)

andrewm
-Interested User-
Posts: 45
Joined: Feb 23, 2015


Posted: Nov 17, 2021 06:47 AM          Msg. 1 of 13
Can we see US options exchanges' complex order books?

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


Posted: Nov 17, 2021 01:11 PM          Msg. 2 of 13
All trades are reported thru the OPRA feed, however these type of trades are not flagged as such.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

BottomFeeder
-Interested User-
Posts: 5
Joined: Jan 29, 2021


Posted: Nov 17, 2021 08:01 PM          Msg. 3 of 13
I've been curious about this too. I think the original question was not about executed trades, but about bids/asks at different price levels on the regional options exchanges. The closest I can find on the available DTN subscriptions is the NASDAQ Level II (OpenView) subscription. "This includes the best bid/ask (top of book) from each MMID for NASDAQ and listed stocks)." It doesn't mention options or regional option exchanges, whether top-of-book, or complete-book. It sounds kind of like "NBBO" but broken down by MMID. Top-of Book implies that there is no depth-of-book info (i.e. bid size/ask size at price levels that are above/below BBO price). Just hoping for any clarification available. Much appreciated.

-BF

andrewm
-Interested User-
Posts: 45
Joined: Feb 23, 2015


Posted: Nov 18, 2021 04:34 AM          Msg. 4 of 13
if a spread trade executes at a single price on an options exchange's Complex Order Book, how would that be reported on OPRA? How would they decompose the spread into individual legs with an execution price for each leg?

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


Posted: Nov 18, 2021 07:34 AM          Msg. 5 of 13
We do not have market depth on options; only NBBO.

Question: If a spread trade executes at a single price on an options exchange's Complex Order Book, how would that be reported on OPRA? How would they decompose the spread into individual legs with an execution price for each leg?

Answer: Yes it does.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

mk
-Interested User-
Posts: 9
Joined: Jan 1, 2022


Posted: Jan 8, 2022 12:02 PM          Msg. 6 of 13
If I decided to parse all the option trades for a particular underlying symbol, is there a way to determine spread trades vs individual option trades

DTN_Stephen
-DTN Guru-
Posts: 453
Joined: Aug 22, 2014


Posted: Jan 10, 2022 10:01 AM          Msg. 7 of 13
OPRA has trade conditions for spread trades, but may not always report them as such. You could review this in the time and sales under trade conditions. Below are OPRA trade conditions.

SOLDLAST Sold Last (late reporting) (ttds,utdf,cts,opra)
SOLDOSEQ Sold Out of Sequence (ttds,utdf,cts,opra)
CANC Cancelled Previous Transaction (opra)
CANCLAST Cancelled Last Transaction (opra)
CANCOPEN Cancelled Open Transaction (opra)
CANCONLY Cancelled Only Transaction (opra)
OPEN Late Report of Opening Trade, out of sequence (utdf,ttds,opra)
OPNL Late Report of Opening Trade, in correct sequence (opra)
AUTO Transaction Executed Electronically (cts, opra)
AJST Contract Adjustment for Stock Dividend, Split, etc. (opra)
SPRD Spread, Trade in Two Options in the Same Class (a buy and a sell in the same class) (opra)
STDL Straddle, Trade in Two Options in the Same Class (a buy and a sell in a put and a call) (opra,)
STPD Follow a Non-stopped Trade (opra)
CSTP Cancel Stopped Transaction (opra)
BWRT Option Portion of a Buy/Write (opra)
CMBO Combo, Trade in Two Options in the Same Options Class (a buy and a sell in the same class) (opra)
ETH_SESSION Opra extended trading hours session
SLAN OPRA - Single Leg Auction Non ISO
SLAI OPRA - Single Leg Auction ISO
SLCN OPRA - Single Leg Cross Non ISO
SCLI OPRA - Single Leg Cross ISO
SLFT OPRA - Single Leg Floor Trade
MLET OPRA - Multi Leg auto-electronic trade
MLAT OPRA - Multi Leg Auction
MLCT OPRA - Multi Leg Cross
MLFT OPRA - Multi Leg floor trade
MESL OPRA - Multi Leg auto-electronic trade against single leg(s)
TLAT OPRA - Stock Options Auction
MASL OPRA - Multi Leg Auction against single leg(s)
MFSL OPRA - Multi Leg Auction against single leg(s)
TLET OPRA - Stock Options auto-electronic trade
TLCT OPRA - Stock Options Cross
TLFT OPRA - Stock Options floor trade
TESL OPRA - Stock Options auto-electronic trade against single leg(s)
TASL OPRA - Stock Options Auction against single leg(s)
TFSL OPRA - Stock Options floor trade against single leg(s)
CBMO OPRA - Multi Leg Floor Trade of Proprietary Products
MCTP OPRA - multilateral compression

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

mk
-Interested User-
Posts: 9
Joined: Jan 1, 2022


Posted: Nov 5, 2022 02:50 PM          Msg. 8 of 13
Is there an option where such trade conditions are displayed? I looked at AMZN2202L90 and none of the ticks had such trade conditions

All I see are AUTO and INTRMRK_SWEEP

DTN_mark_e
-Interested User-
Posts: 43
Joined: Sep 25, 2014


Posted: Nov 7, 2022 08:31 AM          Msg. 9 of 13
In the sample you provided, those were the only trade conditions listed, per the exchange. You will see others depending on the symbol and the activity reported.

Trading Markets Customer Service
800-779-7299 (DTNIQ & IQFEED)
www.dtn.com/trading | http://www.iqfeed.net

mk
-Interested User-
Posts: 9
Joined: Jan 1, 2022


Posted: Nov 7, 2022 09:22 AM          Msg. 10 of 13
How are the other data providers able to provide the trade conditions? I see that OPRA does provide the trade conditions. It likely comes with a delay. I would suggest an update of the correct trade conditions once it is received from OPRA.

DTN_mark_e
-Interested User-
Posts: 43
Joined: Sep 25, 2014


Posted: Nov 7, 2022 02:58 PM          Msg. 11 of 13
just a quick note to let you know our devs are investigating.

Trading Markets Customer Service
800-779-7299 (DTNIQ & IQFEED)
www.dtn.com/trading | http://www.iqfeed.net

mk
-Interested User-
Posts: 9
Joined: Jan 1, 2022


Posted: Nov 15, 2022 07:27 PM          Msg. 12 of 13
Any update on this? Is the issue reproduced?

LonnieS
-King of IQ Development-
Posts: 127
Joined: Jun 2, 2004


Posted: Nov 17, 2022 12:30 PM          Msg. 13 of 13
The IEOption Trade Conditions are being added and will be incorporated into a core server release in the next 60 days.

Lonnie Shumate
Development Manager, IQ Systems
DTN
 

 

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