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Project Location: \JTools_FOS_LookupZombie

Like equities, futures may also have options associated with them. Unlike equities, futures may also have spreads associated with them. While NxCore has built in mechanisms to identify a root symbol for a specific equity option (or option chain), there is no such mechanism for future options and spreads. Futhermore, future option symbols may be different than the root symbol prefix of the option (much like equity options prior to 2010 and OSI, the Option Symbol Initiative). As such one of the most common questions from users trading futures is how to properly associate the future options and spreads to a specific underlying future.

The FOS (Futures, future Options, future Speads) was developed to demonstrate these concepts but goes much futher. It is one of the more complex JTools components and the user/developer will be well served to study the code closely. Once understood it will be possible to build complex applications using the existing code.

While the FOS system has many components, the primary and most important component is the handling of Category 70 (Root Symbol Info) messages. The system will construct a Cat 70 table that contains root symbol-option symbol mapping that allows the application to properly match specific option symbols to root future symbols. This table is exchange specific (as future symbols may be duplicated on multiple exchanges) and session ID specific (as future options may have different underlying futures based on the session ID). The system will also properly identify and correct petential Category 70 errors sent upstream of NxCore.

Underlying futures will also be properly identified and stored for future spreads (which may represent up to three inividual futures) and extract the appropriate expiration dates for the spreads.

Finally, the system will automatically handle all Cat 16 (previous OHLV), Cat 80 (futures contract expire dates) and Cat 86 (future option contract expire dates and strike prices) messages.

As this is a somewhat complex topic, the Lookup Zombie application does nothing other than presenting the future root table and allowing you to choose/view all associated futures, and all future options (option chains) and spreads (spread chains) associated to a specific future.

Future Roots Description Table

  • Root - Root symbol of futures.
  • LExg - Listed exchange of root symbol.
  • Description - Description of future root.
  • #Futures - Number of futures associated with root symbol.
Futures Associated To Root

  • Symbol - Future symbol.
  • LExg - Listed exchange of future symbol.
  • #Options - Number of options associated with specific future.
  • #Spreads - Number of spreads associated with specific future symbol.
  • Expiration - Expiration date of specific future.
Futures Options Associated To Future

  • Symbol - Future option symbol.
  • LExg - Listed exchange of future symbol.
  • Strike - Strike Price of Option.
  • Expiration - Expiration date of specific option.
  • SID(s) - Session ID flag denoting what sessions option trades in.
  • Underlying - Denotes how the underlying future is found (Exact, Estimated, Prefix only, None).
Futures Spreads Associated To Future

  • Symbol - Future spread symbol.
  • LExg - Listed exchange of future symbol.
  • Num Legs - Number of legs in spread.
  • Expiration - Expiration date of specific option.
  • Underlying - Denotes how the underlying future is found (Exact, Prefix only, None).

When the Lookup Zombie application is run, the first thing you will see is the root symbol table populate.
Note that many futures listed on different exchanges can share the same root symbol:

Selecting a specific root symbol in the list when then cause the Futures Associated to Root list to populate with the exchange specific futures:

You can also enter in a root in the 'Root' field (as opposed to selecting it from the root list) and press enter, which willl also populate the futures list. Entering 0 for the exchange will cause the list to populate with all futures that share the same root, regardless of the exchange, as shown below:

You can then click on any future in the Futures Associated to Root list and the options and spreads list will populate accordingly:

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