Matching Options on Futures Across Market Data Vendors

Summary

The document discusses consolidating options-on-futures data from Reuters and Bloomberg when the vendors may not share a usable identifier. It proposes constructing an internal key from the underlying contract, maturity or expiry date, put or call type, and strike, then matching records from both sources using those attributes.

The answer notes that Bloomberg appears to provide a FIGI for these options, while support for that identifier at Reuters is uncertain. Its recommendation is therefore a practical fallback based on contract characteristics. The example illustrates the key’s fields for a crude oil call option, but the discussion does not address vendor-specific field normalization, date formats, contract rolls, duplicate records, or validation of matched instruments.

Key ideas

• Create a common internal identifier from underlying, expiry, option type, and strike.\nMatch vendor records using the constructed contract key.\nBloomberg may expose a FIGI for options on futures, but cross-vendor support is uncertain.\nNormalize and validate vendor fields before relying on automated matches.

Tags

# Vendor data aggregation for Options on Futures


# Vendor data aggregation for Options on Futures












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.

## Answer by realizedvariance (score 1)

https://quant.stackexchange.com/a/20877

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.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.