The associated call and put option RICs for each active traded- 0#YBN+

NikithaNayak

Option watch app function. Steps below:

 Step 1: open OPW or option watch app.

Step 2: Enter the instrument YBNc1.

Step 3: Click on "Standard".

Step 4: Under "Strike price" on the 3rd drop down "Volume" or "Open interest".

Step 5: Enter the preferred range for volume.

The above was advise by DA Specialist, however client particularly wants this in API

ujjawal_khandelwal

Hi @NikithaNayak ,
Thank you for reaching out! To what I understood, the client wants to first expand the chain > get all the constituent RICs > Pull data for each constituent RIC > Filter by Volume/Open Interest.

This is what I could think of.

Step1: Expanding the chain
Since the chain 0#YBN+ is a chain of chains, we can first expand to get the sub chains.

import lseg.data as ld
from lseg.data.discovery import Chain
ld.open_session()   #works only if LSEG Workspace is running on the same machine else need to use platform session

chain_constituents = Chain('0#YBN+') 
list_of_chains = chain_constituents.constituents

display(list_of_chains)

Step2: Pulling the data
The function is smart to expand the chain and pull data for each underlying RIC.

data = ld.get_data(

                     universe = [list_of_chains[0]], #change 0 to the required list index

                     fields = ['STRIKE_PRC', 'BID', 'ASK', 'OPINT_1', 'ACVOL_1']

)

display(data)

ld.close_session()

where,

Field Name	Description
STRIKE_PRC	Strike Price
BID	Bid Price
Ask	Ask Price
OPINT_1	Open Interest
ACVOL_1	Volume

The filtering based on volume and open interest values can be done using generic python code.

The client can refer the Data Item Browser (DIB) app on LSEG Workspace to know about all the fields.
Please let me know if this helps.
If you need assistance further, please continue on this thread.
Thank you : )