Hi, I use ek.get_data('0#SPXW*.U', ['TRADE_DATE', 'ACVOL_1']) to get weekly option chain for SPX. It times out because it returns 13000+ items. Is there a way to get option chain of only options that were traded today.

Hello @"vlad.dimanshteyn", I suggest for the best explanation of the Refinitiv Eikon content to engage with Refinitiv content experts directly, via Refinitiv Helpdesk Online -> Content -> Eikon. My limited explanation, re your comment: "/" in the instrument, "0#/SPXW*.U" is the delayed version of chain RIC "0#SPXW*.U". That is the instrument your Eikon user is permissioned for. The delay is set and differs per exchange and sector, a very common delay is 15 min, you can also check with the public listings of the delays, including Delayed Market Data Timing, or to confirm the delay for the specific instrument- Refintiiv content support are the experts who can help you the best. Many of our APIs and libraries, including Eikon, if you do not have the permissions for the realtime instrument, and if there is an analogous delayed instrument, will switch you to the delayed instrument, seamlessly. However, in this case, the chain is still very large, and will still sometimes time out on the request. What I have suggested, is the explicit workaround, that should allow you to proceed as of this time, as permissioned. And again, once Refinitiv Data library matures, there will likely be a more elegant approach available for this use case, but the specifics will depend on the API improvements. In my opinion, at a minimum, you should be able to do both of the steps, expand and request, with RD lib, without needing to use RDP lib for the fully reliable chain expansion.

How to get option chain of only options that were traded today?

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vlad.dimanshteyn

May 2022

Thank you Zoya, you helped me out big time !!!!!!!!!!!!!!!!!!!!

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How to get option chain of only options that were traded today?

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