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»Forums Index »Product Support »Data and Content Support »Weaving together option tick trades to form actual spreads
Author Topic: Weaving together option tick trades to form actual spreads (2 messages, Page 1 of 1)

mk
-Interested User-
Posts: 5
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?

Thanks

DTN_Gary_Stephen
-DTN Evangelist-
Posts: 249
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),
98,SPD_RPT,Spread Reporting,
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.


Sincerely,
Gary Stephen
DTN IQFeed Implementation Support Specialist

Edited by DTN_Gary_Stephen on Jan 10, 2022 at 09:37 AM
 

 

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