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IQFeed Developer Support » No way to query historical (expired) equity option chain symbols? Mar 5, 2012 09:24 AM (Total replies: 58)

Yes, initially I also thought it wouldn't be hard to build the option chain list myself and then "probe" it with the API.

Unfortunately, building the option chain without knowing the strike prices is proving to be problematic.

Is there any way IQFeed can make available a list of those symbols as a zipped txt file?

Here are some of the problems I've encountered trying to generate this list:

1) Because of the variation in strike price deltas one must "probe" many many symbols that turn out to be invalid to make sure one has tried every possible strike price that might exist. Finding the option chain for a single symbol can involve up to hundreds of separate queries (each requiring a network round trip), most of which turn out to be invalid symbols. This is very slow.

2) There is an anomaly where from time to time IQFeed will return what appears to be valid data for a query on an *invalid* option chain symbol. This causes "false positives" when trying to detect which option symbols exist in a chain. Conversely, on occasion a valid symbol query will return an error suggesting that the symbol doesn't exist, thus causing "false negatives".

Because of these problems it does not appear practical (or possible) to accurately generate a list of expired option chain symbols at the current time.

So... would it be possible for DTN to generate and make available a list of those symbols?

I would actually be willing to pay for the time and effort required for DTN to generate such a list! Please contact me to work out details :)

IQFeed Developer Support » No way to query historical (expired) equity option chain symbols? Mar 2, 2012 11:10 PM (Total replies: 58)

I am pulling historic option data for backtesting.

I need to be able to discover the option chain symbols for options that have expired in order to be able to then request the historic data for the chains of interest.

There does not appear to be any way to find out the symbol names (with strike prices) for those (past) option chains... is this correct?

I am currently using TCP/IP, and I can query *current* (non-expired) option chains by using the CEO command. If this command included a way to specify the *year* (such as 2011, or 2010), then I would be able to query symbols for those past years, but it doesn't take a year parameter (i.e., it assumes forward looking, non-expired symbols only are of interest).

If there is no API based way to query this info, would it be possible to get access to a txt file listing all the EXPIRED option symbols that have historical data available?

Since IQFeed *does* support retrieving historic option data it seems only fair that there should be a way to discover which symbols are available :)

Thank You.


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