[ts-gen] Options issue

[R P Herrold]

On Wed, 14 Jan 2009, sam wrote:

> A more general question:

> - what do we have to do to included an option contract, 
> let's say the FEB 20 '09 6.0 CALL on C, ib id 56710904 ? A 
> small example for only one contract will be enough for me 
> ;).

We knew this day would come [our public community deciding the 
shim was useful for options work; we always knew it would be], 
and we are on a path which will get options support [contract 
specification -> ticks, history, and market-depth -> orders] 
but not 'next' :)

Thank you for asking, Sam, and we REALLY appreciate feedback 
from the public lists, as it helps us see where people are 
having difficulty, and to provide 'fresh eyes' on where we 
need to focus.

We will probably NOT reorder our development sequence to get 
options specification 'next' because of some other internal 
foundational code matters which need to be completed for our 
commercial clientele.

I'll let Bill decide if there is a near term fix [the recent 
example mentioned at:
 	http://www.trading-shim.org/pipermail/ts-general/2009-January/000335.html
may well be enough] to permit specification by IB Id ['ibc, 
in 'shim's field naming taxonomy']

 	select tick ibc:  266093 at SMART 1;

 	[CAVEAT:  We had noticed that the web pipermail 
mailing list archive converted the 'at' sign in the foregoing 
line to the value ' at' -- one needs to use the symbol, 
and not the word 'at']

If one dropped in a options ibc value (which implicitly makes 
express the strike price, right, and expiry, as well as the 
underlying) it might work, but I would bet not yet.  The huge 
(and always churning) universe of options represent a sea 
change' in how the startup database (which feeds the data 
structures needs to be accreted and maintained.

As a reminder, the shim loads and validates the database 
during the initial few second's load, populated many of the 
data structures it uses from that database, and thereafter 
traverses data structures it builds in memory).  That database 
lacks any well specified 'targets' which are options products 
presently.  this is intentional on our part but potentially 
locally extensible.

Think AIG (a Dow component in good standing 5 years ago): The 
last two years have covered the waterfront as to strike prices 
--- we would be carrying a HUGH number of values which we will 
never use if we simply auto-populated to try to keep up with 
its price moves.

The shim's current database does not yet know enough about 
options; we will address this and it has been on our roadmap 
from the beginning.

The second part of his message cited above, lower down, 
mentions a 'human-friendly' specification of the form:

     let ym = FUT:ECBOT:YM:20090320;
     select tick ym 1;

Futures are reasonably simple to specify over time -- just an 
expiry date;  Walking out to look at the whiteboard, I do not 
see that we have a 'discussion' form there, to be able to 
state an option correctly [per our current thinking] for the 
'friendly form'.

-- Russ herrold