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Incorrect Importing of SPX Wednesday Weeklies from TOS into OV

Discussion in 'OptionVue Forum' started by Joe A, Mar 2, 2016.

  1. Joe A

    Joe A Active Member

    This problem may be well known to others, but it caught me by surprise, so I thought I would mention it. I imported into OV this evening some TOS trades of the current SPX Wednesday Weeklies (March 2 expiration). They came into OV factually correct (love the new ability to pick selected trades on the import!), but the imported trades were assigned in OV to Friday's Weekly expiration (March 4) and not to OV's Wedneday expiration.

    This is almost certainly a TOS problem and *not* an OV problem. OV already has a code for Wednesday Weeklies (for example, SPX 16C1985D2), while the Friday expiration in OV has a different ending code ("D4"). However, it is TOS that still does not differentiate the two terms in TOS's own interface. Both are marked as "MAR1" and I have to carefully watch the number of days to expiration in the parentheses within TOS to avoid trading the wrong term.

    You can, of course, easily fix the codes (from "D4" to "D2") in OV after import in the T.Log, but if you don't notice the problem, any conclusions you draw from OV will be bad information. As I said, this is not an OV problem and I will pass the issue along to TOS tomorrow. I have struggled before with the ambiguous use by TOS of "MAR1," but just grinned and bore it as one of the lesser problems with TOS. I did not realize the implications for OV import until this evening. If others already have a work-around to this, or can tell me if I am doing something wrong, I would welcome the feedback.

    Joe
     
  2. Joe A

    Joe A Active Member

    As an FYI, here is the chat session I just had with TOS support staff about this problem. I am glad I don't have to maintain software for a living. Seems like a thankless job with many surprises.

    • 13:20 Joe: I notice that both the Wednesday and Friday expirations in SPX options are called Mar1.
    • 13:20 _BradM: the Wednesdays were announced a few weeks ago with very little notice to the developers. They are working on a solution to get these to display in a more intuitive manner
    • 13:21 Joe: I see. One of the unexpected impacts for me is that these TOS options don't import correctly into other packages.
    • 13:21 _BradM: I quote: "In February 2016, CBOE issued Regulatory Circular RG16-024 and RG16-035 regarding the commencement of listing of SPX Wednesday Weeklys options. SPX Wednesday Weeklys are part of the SPXW option symbol and begin trading on February 23, 2016. SPX Wednesday Weeklys will initially list two consecutive expirations, but can list out and maintain six consecutive expirations at once, not counting the current expiration."
    • 13:22 _BradM: I do not know of an ETA at this time but it is a priority item for the developers
     
  3. Hans

    Hans Member

    I'm not so sure about your conclusion. TOS lists the two Mar2 expirations as .SPXW160309C1975 (Wed) and .SPXW160311C1975 (Fri), thus clearly distinguishing them by the date. I expect that a DDE or RTD import would refer to these OPRA codes and should correctly parse them to their respective expirations.

    Hans
     
  4. Joe A

    Joe A Active Member

    Hans.

    Thank you for your reply. The transfer of TOS trades into OV does not take place through DDE or RTD. A file is exported from TOS and imported into OV. That file, as defined by TOS, does not contain the codes. It does not even contain an actual expiry date, so this is not available for OV to use during import.
    The file simply describes each option through a text string, in this case "MAR 1 16". Since the introduction of the SPX Wednesday options, this same descriptor is exported from TOS for both Wednesday and Friday expirations, thus rendering them indistinguishable to OV. OV applies them both to the long-standing Friday expirations and not to the new Wednesdays.
     
  5. Hans

    Hans Member

    Okay, that's a different process than I envisioned. Not to defend TOS, but in my csv export files the Exp date and the OPRA codes are included in the trade history. I just entered some orders in the two MAR2 expirations. Indeed both show up with a MAR2 16 expiration date in the order history file. Since I don't have any executed trades in these expirations, I cannot verify if the OPRA codes are shown correctly. But, given that they are for all other trades, I would expect (hope) they would show up there. Maybe OV just checks the Exp and not the OPRA code?

    Of course we tell TOS what fields to include in the export files. Maybe you do not have OPRA codes included? I don't use OV, so don't know what's required. Maybe with OPRA codes included that would override the Exp codes?
     
    Last edited: Mar 2, 2016

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