Retrieving historic options volume across all expiries and strikes on a contract in python

david.hartley

Hi,

I am looking for a method to find all of the options volume that was traded yesterday (across all strikes for all expiries) on the children of the ric 0#CFI2+. As in to answer the question 'how many EUA options traded yesterday in total?'.

For futures I have used this method:

all_rics = ['CFI2' + 'c{}'.format(x) for x in range(1, 17)]
rd.get_history(universe = all_rics,
              fields = ['ACVOL_UNS'], 
              interval = 'daily' ,
              start = (datetime.today() - timedelta(days=2)).strftime('%Y-%m-%d ') + '00:00:00',
              end = (datetime.today() - timedelta(days=1)).strftime('%Y-%m-%d ') + '00:00:00',
                    )

I understand that I could do it specifying all the individual contracts manually but this is something I would really like to avoid. Any help would be much appreciated.

Thanks.

aramyan.h

Hi @david.hartley ,

Thank you for your question. I would suggest the following approach:

First, we can get the list of chains for the asset you are after using rd.discovery.Chain. Please see below:

efom_chains = list(rd.discovery.Chain('0#EFOM+'))
efom_chains

Next, we can pass the chain rics from eom_chains above to rd.get_history function to get the historical data for the all options under the chain:

chain_ric = rd.discovery.Chain(efom_chains[0])
rd.get_history(universe = chain_ric,
              fields = ['ACVOL_UNS', 'ELG_ACVOL', 'BLKVOLUM'], 
              interval = 'daily' ,
              start = (datetime.today() - timedelta(days=2)).strftime('%Y-%m-%d ') + '00:00:00',
              end = (datetime.today() - timedelta(days=1)).strftime('%Y-%m-%d ') + '00:00:00',
                    )

I hope this helps, please let me know should you have any further questions.

Best regards,

Haykaz

david.hartley

Hi Haykaz,

Thank you this solution works perfectly. Had been trying to get this to work for ages so really appreciate the help.

Best,
David