Thursday, January 01, 2009

Are You All Getting Ready for the New Options Symbology?

We are getting ready. Are you?

The new symbology (21 bytes per symbol)
Symbol – 6 bytes
Year – 2 bytes
Month – 2 bytes
Day – 2 bytes
Call/Put Indicator – 1 byte
Strike Dollar – 5 bytes
Strike Decimal – 3 bytes

©2009 Marc Adler - All Rights Reserved.
All opinions here are personal, and have no relation to my employer.


Libor said...

I would be interested in couple of questions:

Q1:Can't new symbol occupy shorter space (say only 18 bytes long)? One possible way is do following:
1) For example Month only 1 byte if used CME month codes (i.e. F-Z, etc.).
2) Call/Put might be coded into month (say call month F-Z and put month via small s,d, r, t, etc.) 0 bytes.
3) Individual day can be coded similarly like month -> say 0-9 & all chars up to 31 where each char means different day.
Complex Symbol Example (S&P mini delivered in year 2009 on January 10 with strike price 95.231)

Q2:Isn't too US centric count only with Dollar prices for strike price as some products (potentionally Brazilian exchange on CME might denominate in different currency and with diff. ratio).

Q3: Isn't strike price precision too small? What if we need 4 digits for some currency after comma?

Many thanks fro answer.


Anonymous said...

The 21 character key is an attempt to identify the options contract.

This is different from Market Data symbology would have to differentiate between regional Exchange quotes and NBBO - probably an Exchange code suffix.

Due to the excessive length (old Reuters systems only support 14-17 chars) its likely that vendors will create their own shorter symbols anyway.

The OPRA Symbology feed itself doesn't actually use the 21 character key as it would be too bandwidth inefficient so they still use month codes combined with call/put indicators and the like in the FAST packets.

You really need to think about what you want to do with this key - Traders wont want to type this key and may not want to see it, its inefficient for low level network communications, and (as Libor pointed) out it is very US centric and may limit the portability of your trading application.