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Description
When subscribing to futures options, it seems that tda-api is re-labelling stream messages incorrectly.
For example:
- subscribe to receive level one futures option quotes for ticker "./OZFU22P113" (/ZFU22 is the underlyer)
- examine API response
I see something like
{
"key": "./OZFU22P113",
"delayed": false,
"BID_PRICE": 0.8047,
"BID_SIZE": 715,
"ASK_ID": 63,
"BID_ID": 63,
"QUOTE_TIME": 1653685200058,
"CLOSE_PRICE": 0.8594,
"EXCHANGE_ID": 63,
"DESCRIPTION": "5-Year U.S. Treasury Note Options",
"OPEN_PRICE": 1638,
"NET_CHANGE": 6.3203,
"FUTURE_PERCENT_CHANGE": 0.0078,
"EXCHANGE_NAME": 7.8125,
"SECURITY_STATUS": 1000,
"OPEN_INTEREST": 0.8594,
"MARK": "/ZFU22",
"TICK": 113,
"TICK_AMOUNT": 1661486400000
}
Clearly "MARK" column is swapped with the underlyer, and "OPEN_PRICE" and "EXCHANGE_NAME" are labelled wrong.
It's not clear to me what the proper labelling should be, but I thought I should make this known
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