Joined: Jan 1, 2022
Posted: Jan 8, 2022 12:04 PM
Msg. 1 of 2
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?
Joined: Jul 3, 2019
Posted: Jan 10, 2022 09:36 AM
Msg. 2 of 2
If there is, it would be in the trade conditions. These trade conditions codes are each a type of spread trade.
39,SPRD,Spread - Trade in Two Options in the Same Class (a buy and a sell in the same class),
141,SPRD_LEG,CME spread leg trade,
Remember that the tick record will show Trade correction codes in hexadecimal form. So 39, 98, and 141 will appear in the tick as 27, 62, and 8D respectively.
DTN IQFeed Implementation Support Specialist
Edited by DTN_Gary_Stephen on Jan 10, 2022 at 09:37 AM