How to retrieve live data for SPY futures in Twsdde.xls

The multiplier column in Twsdde.xls is not used by the code that constructs the links to retrieve data. Filling it in has no affect on the contract received. This creates an issue when attempting to retrieve data for Futures with more than one contract available with the same contract expiration month.

As an example, SPY futures are available in contracts with a multiplier of 1000 and 100 on the ONE exchange.

The error message received in this case is “The contract description specified for SPY is ambiguous;”

The solution is to first find the local symbol. You can do this by first adding the contract in TWS, right click on the contract name within TWS, then select contract details and select “details”.
This will open the page shown below and you can find the local symbol. As shown below, leave out the other parameters such as expiration date as it’s inherit in the local symbol (and will result in no data).

Comments

  1. Hi
    Using TWSDDE.xls
    I can't seem to get FX futures options ticker working, I can get tickers for FX futures, Index Futures, ES futures options

    I am trying to link a price for the JPY 0.012 Futures option Call Expiry 3rd December 2010

    =brianxxx|tik!'id12?req?JPY_FOP_20101203_0.012_C_GLOBEX_USD_{}'
    and the following
    =brianxxx|tik!'id14?req?JPY_FOP_20101203_0.012_C_12500000_GLOBEX_USD_{}'
    and the following
    =brianxxx|tik!'id14?req?JPY_FOP_201012_0.012_C_12500000_GLOBEX_USD_{}'

    nothing works.

    Is it not possible to link FX futures options?

    thanks in advance

    Brian

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