what's meaning of each field in the t8 file?

Posted By: qin

what's meaning of each field in the t8 file? - 02/10/23 00:11

what's meaning of each field in the t8 file?

Hello, there. I downloaded "SPY prices & options history (t6/t8 formats)" from zorro site. and I use CSVFromHistory to convert SPY_2012.t8 to SPY_2012t8.csv.
In the csv file, I see the following data. I know the first field is datetime, the second is option type, but I don't know the meaning of the left fields.

2012-12-31T00:00:00,2,20151219,220.00000,142.41000,85.00000,83.82000,0.00000,10.00000
2012-12-31T00:00:00,1,20151219,220.00000,142.41000,0.86000,0.58000,0.00000,0.00000
2012-12-31T00:00:00,2,20151219,215.00000,142.41000,80.29000,79.02000,0.00000,20.00000

I check zorro doc, there seems a t8 struct as follows. but it seems don't match the sequence of the above fields. Can anyone kindly tell me the meaning of the above fields?
typedef struct CONTRACT
{
DATE time; // UTC timestamp in DATE format
float fAsk,fBid; // premium without multiplier
float fVal,fVol; // additional data, like delta, open interest, etc.
float fUnl; // underlying price (unadjusted)
float fStrike; // strike price
long Expiry; // YYYYMMDD format
long Type; // PUT, CALL, FUTURE, EUROPEAN, BINARY
} CONTRACT;
Posted By: AndrewAMD

Re: what's meaning of each field in the t8 file? - 02/10/23 16:24

Your script is formatting the CSV. Read it.
Posted By: qin

Re: what's meaning of each field in the t8 file? - 02/10/23 23:38

Thank you, Andrew. I check the CSVFromHistory script and find the format as follows. It says: Date,Expiry,Strike,Unl,Ask,Bid,Vol,Val. But this cannot match the data in my csv file.

// Date,Expiry,Strike,Unl,Ask,Bid,Vol,Val
string FormatT8 = "%Y-%m-%dT%H:%M:%S,i8,i7,f6,f5,f1,f2,f4,f3";
Posted By: AndrewAMD

Re: what's meaning of each field in the t8 file? - 02/11/23 12:48

The comment is wrong.

i8 means the eighth field in the CONTRACT struct, which is Type.
i7 is the seventh: Expiry.
f6 is the sixth: Strike.

And so on.
Posted By: qin

Re: what's meaning of each field in the t8 file? - 02/11/23 13:43

thank you very much Andrew. So the match is as follows:
2012-12-31T00:00:00(time), 2(Type) ,20151219(Expiry), 220.00000(fStrike), 142.41000(fUnl), 85.00000(fAsk), 83.82000(fBid), 0.00000(fVol), 10.00000(fVal).

And I still have a question. For options, I don't know the meaning of fVol and fVal. is fVol open interest or volume ? is fVal delta or value?
Posted By: AndrewAMD

Re: what's meaning of each field in the t8 file? - 02/11/23 14:04

It depends on how the history files were made. Those fields can be anything you want them to be.
Posted By: qin

Re: what's meaning of each field in the t8 file? - 02/11/23 14:58

the example data come from "SPY prices & options history (t6/t8 formats)" from zorro site. Do you know the meaning of fVol and fVal in this example?
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