Support Board
Date/Time: Mon, 03 Mar 2025 21:32:41 +0000
Denali Options Data - missing Option strikes
View Count: 789
| [2021-11-05 11:08:48] |
| User12089 - Posts: 365 |
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The Denali Options Data for CME for e,g, ES seems to be missing strikes price levels. The Options in the Denali feed come at strikes which are 50 points apart, while the actual strike distances as traded on CME are only 5 points apart. That results in huuuge gaps of not covered Options in the Denali data feed ie it is missing allot of Options for the strikes between the 50 p increments
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| [2021-11-05 14:46:41] |
| Sierra_Chart Engineering - Posts: 18631 |
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Only the strike prices, with an open interest are listed. However, data for all of them is accessible. This is documented at step 7 here: Real-Time Exchange Data Feeds Available From Sierra Chart: Futures Options Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2021-11-05 14:47:11
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| [2021-11-05 16:15:05] |
| User12089 - Posts: 365 |
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i dont agree that "Only the strike prices, with an open interest are listed" - what seems to be the case is hardcoded 50 point distance/interval for listing options at strikes while the CME future options are at 5 point intervals If you know anything about "open interest" you will also know that at any moment of time at almost any strike price level, there is at least some open interest That can also be seen from gazzilion of other services and data feeds |
| [2021-11-06 12:43:36] |
| User12089 - Posts: 365 |
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tinkering manually (ie editing manualy the options symbol) with the option symbols to get the required / any price strike level does indeed work as described here Real-Time Exchange Data Feeds Available From Sierra Chart: Futures Options but thats alot of manual work for scrolling through the infinite symbol list (as per the current interface), selecting a close match and then editing it manually - things can be automated further with a professional Options Symbology Navigation Interface as described by me in another post here (currently censored and blocked by SC ...): https://www.sierrachart.com/SupportBoard.php?ThreadID=68543 here is a Bloomberg cheatsheet which demonstrates how the SC Option Symbology Navigation Interface can be automated further https://www.cmegroup.com/education/brochures-and-handbooks/cme-equity-index-options-on-futures-bloomberg-cheat-sheet.html Date Time Of Last Edit: 2021-11-06 13:37:05
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