Posted: May 22, 2009 @ 12:00 AM             Msg. 1 of 1

Retrieving quotes for future option chains is not efficient. Each option uses a quote subscription and is not correlated as a set nor related to the underling contract and current market.

I suggest publishing option chains as an array similiar to Level II Dom data. This way the basic quote data for an option chain can be retrieved as a set in one step.

25 strikes of calls
25 strikes of puts
bid,ask,bidsize,asksize

A command similiar to:
OECUserID|options!OESM9?Chain
would deliver an array of 200 records.

Base Contract: ESM9
Option Month: M9 (Builds OESM9)
Call/Put: Boolean (used to add C or P prefix to strike)
Strikes: 25 ( Publish 20 strikes OTM and 5 Strikes ITM)
Bid/Ask: Boolean
Price,Size