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ES weeklys handling #33

Closed alexveden closed 7 years ago

alexveden commented 7 years ago

Ignore weekly options while building exos

alexveden commented 7 years ago

@spickering-git said:

I added the S&P mini weekly and wednesday options http://www.cmegroup.com/trading/equity-index/files/sandp-500-futures-options.pdf

There is a field optioncode in tbloptions that is filled with EOM: EW WEEKLY: EW1, EW2, EW3, EW4 WED: E1C, E2C, E3C, E4C, E5C The quarterly american options are just filled with ' '

Did these fields added to SQL?

Is that only affects ES product?

This changes can affect the way how recent option chain is selected for ES, so I've marked this issue as potential bug.

alexveden commented 7 years ago

I can see ES options duplicates, they have equal tickers, except 'optioncode' and idoption.

@spickering-git could you explain how SQL update process has been done? I suspect that you've deleted the old values and re-inserted new.

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spickering-git commented 7 years ago

I went over the code and tested. I believe the errors were the result of the old version of the code being run. I re-ran the new code and it appears the errors have been fixed.

I re-ran all the span files going back to the beginning of 2016 to include weekly data from earlier than September 2016.

@alexveden please do another import to mongo and test again.

spickering-git commented 7 years ago

@alexveden Is there some further action we need to take on this or are you handling it

alexveden commented 7 years ago

@spickering-git Your last DB change fixed data problem, and my weeklys handling code works fine. And this issue is fixed.