|
|
Home
Search
Register
Login
Recent Posts
| »Forums Index »Product Support »Data and Content Support »options Complex Order Books? | 
|
| Author | Topic: options Complex Order Books? (7 messages, Page 1 of 1) |
 andrewm -Interested User- Posts: 41 Joined: Feb 23, 2015 |
Posted: Nov 17, 2021 06:47 AM
Msg. 1 of 7
Can we see US options exchanges' complex order books?
|
|
DTN_Stephen -DTN Guru- Posts: 434 Joined: Aug 22, 2014 
|
Posted: Nov 17, 2021 01:11 PM
Msg. 2 of 7
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 7
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: 41 Joined: Feb 23, 2015 |
Posted: Nov 18, 2021 04:34 AM
Msg. 4 of 7
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: 434 Joined: Aug 22, 2014
|
Posted: Nov 18, 2021 07:34 AM
Msg. 5 of 7
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: 5 Joined: Jan 1, 2022 |
Posted: Jan 8, 2022 12:02 PM
Msg. 6 of 7
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: 434 Joined: Aug 22, 2014
|
Posted: Jan 10, 2022 10:01 AM
Msg. 7 of 7
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 |
|
|