Support Board
Date/Time: Sun, 16 Mar 2025 15:05:14 +0000
[Programming Help] - Denali Futures Options Symbol Naming Conventions
View Count: 1110
| [2022-08-22 04:58:54] |
| Trader_Rob - Posts: 18 |
|
Hi, I'm using data for NYMEX futures options with the Denali data feed, and I'm struggling to understand the naming convention for the symbols on the options chain. I need to get the correct contract by date in ACSIL, so I need to understand how the symbol naming works. Could you point me to where I can find this info? Thanks! |
| [2022-08-22 05:38:12] |
| Sierra_Chart Engineering - Posts: 18797 |
|
It is simply the exchange symbol with two digit years followed by .FUT_OPT.NYMEX For further help contact the exchange. We do not control these symbols at all. We cannot provide you any help at all regarding this. 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: 2022-08-22 05:38:29
|
| [2022-08-22 23:10:33] |
| Trader_Rob - Posts: 18 |
|
Thanks for your suggestion! For any others who might run into the same problem: NYMEX futures options codes are formatted like this: LOF23 P8500.FUT_OPT.NYMEX LO = commodity code (LO is for crude oil) F = month of underlying futures contract = month 1 = January (the actual expiration for the example option is 2022-12-15, determined by some weird logic from the CME group) P = put 8500 = $85 dollar strike I made this month code array. The position of the characters in the array corresponds to their month. const char g_cComoditiyMonthCodes[13] = { '.', 'F', 'G', 'H', 'J', 'K', 'M', 'N', 'Q', 'U', 'V', 'X', 'Z' }; this array is for the commodity codes. the first string is the futures commodity code and the second is the option code. const char* g_sCommodityCodes[7][2] = { { "BZ", "BZO" } , // Brent Crude Oil { "CL", "FO" } , // Crude Oil WTI { "HO", "OH" } , // Heating Oil { "NG", "LNE" } , // Henry Hub Natural Gas { "PA", "PAO" } , // Palladium { "PL", "PO" } , // Platinum { "RB", "OB" } // RBOB Gasoline }; // I got these manually from the sierra chart futures get options feature, so don't trust them with your life |
To post a message in this thread, you need to log in with your Sierra Chart account: