Have anyone managed to automate data consolidation between Reuters and Bloomberg for Options on Futures? Are there any common attributes that these vendors share in this particular asset class that can be used to match the Options?
Thanks, Kishore.
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$\begingroup$ What kind of data do you need? The only thing you will find in common to retrieve data is the ticker of the stock. But not the Bloomberg or Reuters Ticker, which is different. $\endgroup$– arodrisaSep 23, 2015 at 6:40
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$\begingroup$ Thanks for responding. Bear in mind, I'm talking about Options On Futures specifically, not about stocks. $\endgroup$– KishoreSep 23, 2015 at 7:36
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$\begingroup$ apply the same concept, but change stock for future $\endgroup$– arodrisaSep 23, 2015 at 8:19
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$\begingroup$ Have you tried with ISIN/CUSIP? $\endgroup$– assyliasSep 23, 2015 at 15:31
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1 Answer
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I think the best you may be able to do here is creating your own unique identifier in your code based off underlying, maturity date, put or call, and strike price, and then match the two data sources on that key. The only identifier Bloomberg seems to have for options on futures is their FIGI number, and I'm doubtful that Reuters supports that.
Here's an example key with common attributes you could create in your code: CLX5 10/15/15 C44.0. WTI crude oil call option expiring in October struck at 44.
