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Date/Time: Tue, 13 Nov 2018 04:54:36 +0000


DTC SC Client: Search for Options Definitions by Underlying?

Support Request:
[2018-03-22 03:39:58]
AndrewAMD1 - Posts: 26
Hello,

I have an Amp account with CQG, and it has options support.

Using the SC platform itself, I am able to list out options for a given futures contract and produce a chart for a given options symbol.

The problem: I am trying to make a DTC client algorithm that trades options. I need to be able to get a list of all options available for a given underlying asset.

I ran into a snag: If I send a SYMBOLS_FOR_UNDERLYING_REQUEST message with a futures contract symbol as the underlying, I get a REJECT response saying that the message is unsupported.

Question #1: How can my DTC client to Sierra Chart get a list of options symbols for a given underlying futures contract, if I am using CQG?

Question #2: Does the SC DTC server provide info on expiry, strike, put/call info for options definitions, or are those fields unset? If not, can they be supported by SC?

Question #3: It looks like an American/European enum would be a useful field for options, but I don't see it in the security definition message. Can it be added? and then supported by SC?

Question #4: Come to think of it, I can't get a list of futures contracts for an underlying either. How can I get this info via DTC as an SC client?

Question #5: Is any of the above functionality actually supported if I switch Sierra Chart to a different service, such as IB or the SC real or historical data feeds?
Date Time Of Last Edit: 2018-03-22 23:28:19
[2018-03-27 12:38:41]
AndrewAMD2 - Posts: 3
I'm not sure if this is relevant, but I am bumping with my Amp account.
[2018-03-29 14:53:31]
AndrewAMD2 - Posts: 3
For your information, this is the only issue that is preventing me - and my clients - from being able to trade options algorithmically with Sierra Chart. If I cannot identify options contracts and their specifications as a DTC client of Sierra Chart, I cannot reliably trade options.

I do look forward to your response.
Date Time Of Last Edit: 2018-03-29 15:01:43
[2018-04-03 04:27:37]
DTC Engineering - Posts: 270
The best way for us to answer this is what we are able to offer at this time.

The security definition does contain the strike price. The other fields are not set.


Question #4: Come to think of it, I can't get a list of futures contracts for an underlying either. How can I get this info via DTC as an SC client?
This will be added.

Otherwise, the other items are not anything that can be done anytime soon.
[2018-04-24 13:51:54]
AndrewAMD1 - Posts: 26
This will be added.
I look forward to this feature.

Out of curiosity, what is your definition of an "underlying symbol" for futures?

For example, suppose that I'm on CQG and I want to scan for E-Mini S&P 500 futures. Once this feature is implemented, should I be searching for any of these?
* F.US.EP?##
* F.US.EP
* EP

Thanks,
Andrew
[2018-04-25 04:32:10]
DTC Engineering - Posts: 270
In the case of CQG the underlying symbol would be F.US.EP. The underlying symbols are not yet set up but this is what we would use.

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