Raising a question on behalf of a client
I'm trying to use LSEG Data API for Python to pull historical options data for ICE Brent Crude (e.g. the chain: 0#LCO+). I know how to construct expired option RICs e.g. LCO7000A5^A25, LCO7000A4^A24. I generate an extensive list of potential RICs that have expired, with strikes from say 0, 1, 2, ...., 299, 300. Within this list, a prior, there will be options that never traded and don't have a price.
If I use the function call get_data(["LCO7000A5^A25", "LCO7000A4^A24"], fields="TR.SETTLEMENTPRICE") this returns empty.
If I use the function get_history(["LCO7000A5^A25", "LCO7000A4^A24"], fields="SETTLE") this returns settle prices.
However, get_history will fail completely if the universe I supply contains RICs which are invalid (which I don't know prior and what I'm trying to determine).
get_data() is designed to handle invalid RICs, such that it still returns data for valid RICs and NANs for invalid RICs.
How do I determine historically valid RICs?
