Eikon .NET APIs: Fetch options chains/data

vsarpe

Is there a way to pull real-time or end of day options chains data (either for next expiry date or longer) via the .NET Eikon APIs? I've seen a few questions regarding the Python Eikon Desktop API, but I can't get any of it to work in .NET.

I am currently referencing the realtime API (ThomsonReuters.Desktop.SDK.DataAccess) as well as Dex2 COM api (Interop.EikonDesktopDataAPI + Interop.Dex2).

I am interested in the Strike, Volume and Volatility fields.

Jirapongse

@vsarpe

First, you need to know a RIC which provides options for an instrument. For GOOG.O, the options RIC could be 0#GOOG*.U. The fields for Type, Strike, Volume, Expiration Date, and Volatility could be:

• Type: PUTCALLIND
• Strike: STRIKE_PRC
• Volume: ACVOL_1
• Expiration Date: EXPIR_DATE
• Volatility: IMP_VOLT

You need to contact the content support team via my.refinitiv.com for confirmation regarding RICs and fields.

The C# code looks like:

            List<string> rics = new List<string>();
            var chainRequest = realtime.GetChain("0#GOOG*.U", true, constituents =>
            {
                // Iterate through chain constituents
                foreach (var constituentRic in constituents)
                {
                    // Your process on each constituent RIC goes here.                                rics.Add(constituentRic);
                }
                var snapRequest = realtime.SetupDataRequest(rics).WithFields(new List<string> {"PUTCALLIND", "EXPIR_DATE","STRIKE_PRC","ACVOL_1","IMP_VOLT"}).OnDataReceived(
                    update =>
                    {
                        foreach (var record in update)
                        {
//                            Console.WriteLine("#### OnDataUpdate RIC: {0} ####", record.Key);
                            Console.Write("{0} ", record.Key);
                            foreach (var val in record.Value)
                            {
                                Console.Write("{0}\t", val.Value.Value.ToString());
                            }
                            Console.WriteLine("");
                        }
                    }
                    ).CreateAndSend();
            });

The output is:

Jirapongse

@vsarpe

If it is this question for Eikon Data APIs, you can use the following .NET code with ThomsonReuters.Desktop.SDK.DataAccess to retrieve EXPIR_DATE for a chain RIC, such as 0#W:.

            var chainRequest = realtime.GetChain("0#W:", true, constituents =>
            {
                // Iterate through chain constituents
                foreach (var constituentRic in constituents)
                {
                    // Your process on each constituent RIC goes here.
                    Console.WriteLine("{0}", constituentRic);
                    rics.Add(constituentRic);
                }
                var snapRequest = realtime.SetupDataRequest(rics).WithField("EXPIR_DATE").OnDataReceived(
                    update =>
                    {
                        foreach (var record in update)
                        {
                            Console.WriteLine("#### OnDataUpdate RIC: {0} ####", record.Key);
                            foreach (var val in record.Value)
                            {
                                Console.WriteLine("{0} : {1}", val.Key, val.Value.Value.ToString());
                            }
                        }
                        Console.WriteLine("");
                    }
                    ).CreateAndSend();
            });

The output looks like:

vsarpe

Thanks for the answer! So from here how would I be able to obtain a list containing Strike, Volume, Volatility, given an instrument (ex: GOOG.O) and the chain RIC?

Looking for data similar to this: https://www.barchart.com/stocks/quotes/C/options?moneyness=allRows&view=sbs_ohl&expiration=2019-10-11

vsarpe

Thank you for the code samples! It clears it up my questions regarding API usage. For my specific RICs and fields, I will contact the support team.

jwaldron

hi @Jirapongse ... picking up this thread, not familiar w/ the .Net api, yet looking at the return of CreateDataAPI() does not show a GetChain method, so what is that realtime object your are referencing in your code that contains that method? thanks.