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NYMEX Future Options IB Feed
http://www.smartquant.com/forums/viewtopic.php?f=41&t=10710
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Author:  seiryu222 [ Wed Apr 16, 2014 7:51 pm ]
Post subject:  NYMEX Future Options IB Feed

Hi,
I'm trying to subscribe to NYMEX Futures Options Feed for Symbol NG in IB, but it's returning "The contract description specified for NG is ambiguous"

This is the symbol downloaded directly from IB for NG Jun14 4'55 P

Attachment:
screen 2014-04-17 01.48.02.png
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All expiration dates, etc are correct for this. This is for both OQ 2014 and OQ 2013 -- What can I specify to subscribe to this feed?

Author:  Alexei Kurov [ Thu Apr 17, 2014 5:09 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

Hi,

Try to change ContractExpiryFormat property of IB plugin from yyyyMM to yyyyMMdd

Author:  seiryu222 [ Thu Apr 17, 2014 6:41 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

I have tried this, but there are 2 future options (ON / LNE) that both end on the same dates. Is there a way to specify the Trading Class of this instrument, or any other way to resolve the ambiguity?

All the others work, it is only for NG Futures Options

Author:  Alexei Kurov [ Fri Apr 18, 2014 10:11 am ]
Post subject:  Re: NYMEX Future Options IB Feed

Quote:
I have tried this, but there are 2 future options (ON / LNE) that both end on the same dates.

Could you give me detailed sample of such contracts?

Author:  seiryu222 [ Fri Apr 18, 2014 10:46 am ]
Post subject:  Re: NYMEX Future Options IB Feed

Here are the options:

NG Jun14 Futures Option (Expiring May 27 2014) (Trade class ON)
Attachment:
スクリーンショット 2014-04-18 16.38.43.png
スクリーンショット 2014-04-18 16.38.43.png [ 22.38 KiB | Viewed 9891 times ]


NG Jun14 Futures Option (Expiring May 27 2014) (Trade class LNE)
Attachment:
スクリーンショット 2014-04-18 16.39.05 (1).png
スクリーンショット 2014-04-18 16.39.05 (1).png [ 21.86 KiB | Viewed 9891 times ]


Underlying Futures (for reference -- this one is OK)
Attachment:
スクリーンショット 2014-04-18 16.38.54.png
スクリーンショット 2014-04-18 16.38.54.png [ 21.06 KiB | Viewed 9891 times ]


What I'm trying to get is the NG Jun14 4.55 Put Futures Option for Trade Class ON (IB Symbol ONM4 P4550) At the moment even with yyyyMMdd in provider property for IB, (or even with yyyyMMdd hh:mm EST for that matter) IB returns same error message saying that the specified contract for NG is ambiguous.

Author:  Alexei Kurov [ Fri Apr 18, 2014 5:50 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

Hi,

I'm not sure that TradingClass can solve the issue. Anyway, such parameter
is only added into IB Contract in the latest version of API (September, 13), but
our plugin works with previous version.
There is a way to use contract id directly, but it requires some modification of IB plugin.

Author:  seiryu222 [ Fri Apr 18, 2014 7:10 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

This is understood. Is there a sample code for IB Plugin, such as the one for OpenECry provider which can be used to customize the IB Plugin such that we specify ibLocalSymbol as added parameter?

This is for both Openquant 2014 / 2013. (I primarily use 2014)

Author:  Dr. Anton Fokin [ Fri Apr 18, 2014 8:25 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

Hi,

do you own an OpenQuant license or planning to subscribe?

Regards,
Anton

Author:  seiryu222 [ Fri Apr 18, 2014 8:27 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

Yes, I am talking to Arthur about this as we speak.

Author:  Dr. Anton Fokin [ Fri Apr 18, 2014 8:42 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

I think it should be relatively easy to resolve this issue in OQ 2014 and give you the source code for IB plugin if you acquire a license. OQ 2013 is not that easy since IB plugin uses low level SmartQuant framework, not OpenQuant API / UserProvider (it would not help if we provide you with the source code), but we can address this issue ourselves with high priority if you become a customer.

Regards,
Anton

Author:  seiryu222 [ Fri Apr 18, 2014 8:59 pm ]
Post subject:  Re: NYMEX Future Options IB Feed

That's perfect -- Having the code for 2014 plugin would be great! I have already signed up and made the payment for the subscription via Paypal. Thank you so much for this.

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