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Date/Time: Wed, 26 Feb 2020 00:52:10 +0000



Equity index FOPs - multiple expirations - view/find

[2020-01-10 23:53:36]
Chad - Posts: 169 | Ending Date: 2020-08-10
I'm viewing the list of option contracts returned in Sierra for E-mini S&P/ES and Nasdaq-100/NQ, and I don't see an indication as to which expirations of the option series themselves is being displayed...it seems that the only expirations shown are pertaining to the underlying futures contract.

Attached are screenshots from Thinkorswim, just for example.

Am I missing something here?
imageSC-NQ-FOPS-list.png / V - Attached On 2020-01-10 23:52:50 UTC - Size: 43.22 KB - 20 views
imageES-FOPs-expirations.jpg / V - Attached On 2020-01-10 23:52:59 UTC - Size: 251.35 KB - 19 views
imageNQ-FOPs-expirations.jpg / V - Attached On 2020-01-10 23:53:09 UTC - Size: 232 KB - 15 views
[2020-01-13 21:15:22]
Sierra Chart Engineering - Posts: 81479 | Ending Date: 2020-06-09
We do not think the CME provides any detail, as to the exact expiration of the futures option.
Sierra Chart Support - Engineering Level

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[2020-01-13 21:23:27]
Sierra Chart Engineering - Posts: 81479 | Ending Date: 2020-06-09
This is the security definition from the CME for this contract:

35=d5799=00000000980=A779=202001051701470001401180=3191300=54462=5207=XCME1151=QZ6937=NQ55=NQH0 C890048=16789622=8167=OOF461=OCAFPS201=1200=20200315=USD202=890000.000000000947=USD9850=5.0000000001142=F562=11140=15001146=0.0000000009787=0.0100000006350=4996=IPNT1147=20.0000000001150=29350.000000000731=000000105796=202001101148=5.0000000001149=9999900.0000000009779=N864=2865=51145=20190315213000000000865=71145=202003201330000000001141=11022=GBX264=3870=1871=24872=000000000000010000100000000000111234=0711=1309=10204305=8311=NQH01647=05791=635792=316

It does not contain any expiration date that we can see.

Reference:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Security+Definition
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
Date Time Of Last Edit: 2020-01-13 21:23:51
[2020-01-13 21:50:33]
Chad - Posts: 169 | Ending Date: 2020-08-10
Thanks; I don't see an entry in their Message Layout list indicating a Tag for expiration. I'll try emailing them about it...if they respond and resolve the question, I'll post the pertinent info here.
[2020-01-15 20:18:02]
Chad - Posts: 169 | Ending Date: 2020-08-10
Here is the response I received from CME's Global Command Center (contact number/email removed):

"Look for the iterations of tags 865 and 1145. When tag 865 has the value 5 the value in the following tag 1145 is the activation date and time. When tag 865 has the value 7 the value in the following tag 1145 is the last trade date and time. After the last trade date and time the instrument will no longer be available on Globex.

All times are UTC. Our MDP3 market data system usually sends dates and times in UNIX epoch format with nanosecond precision, which you would need to convert, but what I see in the exhibit you sent is YYYYMMDDHHMMSSMMMmmm which is microsecond precision which probably means that it was converted prior to sending to you.

If you have any further questions, please call the GCC...[removed]"
[2020-01-21 22:03:09]
Chad - Posts: 169 | Ending Date: 2020-08-10
Hi SCE, is the info from CME-GCC's reply enough for you to implement an improvement to the options list in SC so the user can filter by, or at least see, the different expirations?
Date Time Of Last Edit: 2020-01-21 22:03:28
[2020-01-22 03:13:38]
Sierra_Chart_Engineering - Posts: 534 | Ending Date: 2020-11-26
Yes. Now that we look at it again we see we misinterpreted the meaning of one of the fields previously.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
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[2020-01-22 15:28:57]
Chad - Posts: 169 | Ending Date: 2020-08-10
Understandable, wasn't obvious from their documentation. Any estimate on when your request parameters can be updated to accommodate this, given current WIP?
[2020-01-23 09:35:44]
Sierra_Chart_Engineering - Posts: 534 | Ending Date: 2020-11-26
We will gradually work on this over the next 2 weeks.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation
[2020-02-25 17:09:49]
Sierra Chart Engineering - Posts: 81479 | Ending Date: 2020-06-09
Letting you know, we finally got this working. The way the CME did the expiration field in the security definition data, was interactive brokers quality. They used two different types of values, one of which was not at all consistent with their documentation and completely nonsensical. We had to interpret the value one way and if that was not correct we would do it another way.
Sierra Chart Support - Engineering Level

Your definitive source for support. Other responses are from users. If possible please keep your questions brief and to the point. Please be aware of support policy:
https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation

If your question/request has been answered and you do not have anything further, then it is easiest for us if you do not reply again to say thank you.
[2020-02-25 18:00:02]
Chad - Posts: 169 | Ending Date: 2020-08-10
Thank you very much. I'll state in a relative 'half-complement' to IB that their API at least provides an 'expiration' parameter for relevant functions, whereas with CME, after reviewing their documentation, I agree with you, that's a confusing way to do it.

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