I am trying to retrieve the expiration date ,strike price, put call flag and underlying ric for a list of FX future Options. (e.g. Japanese Yen Futures Options, Euro Futues Options etc. ) I get the list of options Ric Code by expanding the chain on Ric Root 1JPU for yen.
The following code works for S&P future options (e.g.EV3W1000A8) but does not seem to work for any FX future Options (e.g. 1JPU1095C8)
DateTime dateBegin = new DateTime(2018, 01, 03);
DateTime dateEnd = new DateTime(2018, 01, 06);
ExtractionsContext ExtractionsContext = ContextHelper.CreateExtractionsContext();
var extractionRequest = new HistoricalReferenceExtractionRequest
{
IdentifierList = InstrumentIdentifierList.Create(new[]
{
new InstrumentIdentifier {Identifier = "1JPU1095C8", IdentifierType = IdentifierType.Ric}
}, new InstrumentValidationOptions
{
AllowHistoricalInstruments = true
}, false),
ContentFieldNames = new[] { "Strike Price", "Expiration Date", "Put Call Flag","Underlying RIC"
},
Condition = new HistoricalReferenceCondition()
{
StartDate = dateBegin,
EndDate = dateEnd
}
};
var extractionResult = ExtractionsContext.ExtractWithNotes(extractionRequest);