?

Here's a roadmap for fighting your way through IB's jungle of options on US futures (FOP).

FOP historical data are not available for expired contracts (if s.o. has recorded older data, I'd be glad to trade).

Weekly options are always European-style; they exist for forex (AUD CAD CHF EUR JPY), rates (ZT ZF ZN ZB), indices (ES NQ SPX).

Forex: have monthly American/European options: 6A/XA 6B/XB 6C/XD 6E/XT 6J/XJ 6S/XS? (actually: no XA; IB forgot?).

NG: have classes ON/LNE for monthly American/European options (but no feed nor hist data for LNE - though 4* more liquid).

ES: have weeklies (EW1 EW2 EW4), monthlies (ES in place of EW3) and EoM (EW, expire on last day of month).

NQ: have weeklies (QN1 QN2 QN4), monthlies (NQ), and EoM (QNE).

SPX (fut): have weeklies (EV1 EV2 EV4), monthlies (SP), and EoM (EV).

ZC ZS (not ZW): have usual monthlies (OZC OZS) and also monthlies whose underlying expires in Dec (OCD OSD), both American-style.

Eurodollar options (GE@Globex): GE GE0 GE2 GE3 GE4 (Globex), ED E0 E2 E3 E4 (CME).? Have no weeklies, only monthlies.? All underlying futures have (quaterly) expiries in same year (GE) or next years (GE0 GE2 GE3 GE4); all American-style.? Dunno why GE0 is not rather called GE1.?

Expiry date for GE can differ from that of GE0...GE4 for Dec month, eg 20131216 vs 20131213.

minTick can depend on expiry, eg: on 20131011, GE has minTick=0.005 for 201406 and 0.0025 for 201403.

strikeIncrement can depend on expiry, eg ZM: first expiry has increments of 5, the second of 10.

strikeIncrement can be smaller atm and bigger away: GF has strikeIncrement=0.5 close to atm and 1 away from atm; ED has strikeIncrement=0.125 close to atm and 0.25 away from atm.

SI: actual strikeIncrement is 0.05 around the money, but only 0.25 seems used.

ZC ZL ZS ZW GF LE HE (but not ZM): have factor 1/100 in strikes; only in API, not in TWS; IB won't change that.

No FOP at IB for NKD PA PL VIX.

localSymbol has no standardised syntax, eg: "6AZ3 P1075" for AUD@GLOBEX, but "C OYM? SEP 14? 11600" for YM@ECBOT.

Three ways to specify contracts in queries for reqMktData or reqHistoricalData:

----------------------------------

symbol = GBP
secType = FOP
expiry = 20131108
strike = 1.55
right = P
tradingClass = 6B
exchange = GLOBEX

-------------------------------------

currency = USD

conId = 132707825
exchange = GLOBEX
-------------------------------------
localSymbol = 6BX3 P1550
secType = FOP
exchange = GLOBEX

-------------------------------------

These work for API 9.69 or higher (since Jul 2013), where tradingClass has been pulled from ContractDetails to Contract.

For API 9.68 or earlier: only the first of these queries works; specifying conId is redundant, as strike,expiry,right are compulsory; hence for NG, forex and GE options: need to specify localSymbol when querying hist data for monthlies, to disambiguate between American/European styles (forex, NG) or midcurve options (GE0 GE2 GE3 GE4); conId is again useless here, and so are tradingClass and marketName.?

Annoying localSymbol syntax: have always 4 digits at end of localSymbol for forex? ("6SH4 P0950") or GE ("GEV3 C0112"), but 3 or 4 digits for NG ("ONX3 C900" or "ONX3 C1000"); the number is 1000*strike for forex & NG, but 1e5*strike for JPY.? For GE, have "GEV3 C9987" for strike=99.875, but "GEV3 C0112" for strike=101.125; so do printf("%04d\n",100*strike %1e4).?

However, since API 9.69, we can use tradingClass or conId instead of localSymbol to disambiguate.

Daily trade volume in IB files is ca. half of CME volume in ftp://ftp.cmegroup.com/pub/settle/stl*

I suppose the rest comes from the pit.

Happy FOP,

souqMate