The one-to-many relationship EPICs have with instruments

[Benjamin]

When I first began to use the IG REST API, I believed that EPICs were unique instrument identifiers: that a given EPIC would always correspond to a specific instrument and that this instrument would never change.

 

However, I have recently discovered that this is untrue. For example, there are 19 daily Japan 225 tunnels available, which always have a set of corresponding EPICs of the form BT.D.NIK._.IP, where _ can take a value from 1 to 19. However, the size of tunnel specified by any given EPIC changes. Last week, BT.D.NIK.1.IP was +/-120 points, at the time of posting this it is +/-160 points.

 

This causes issues and opens questions.

1. Are all EPICs mutable in this way? If not, which are and which are not?
2. If I would like to programatically pull historical data or open positions on a market such as the Japan 225 daily tunnels, how can I be sure of what I am doing - I wouldn't want to open a position on a 160 tunnel when I thought it was 120?
3. For the Japan 225 daily tunnels, there are historical prices going back to 2012-05-28; do these data correspond to the price for the EPIC (i.e. a whole bunch of different tunnel sizes), or the price for the given tunnel size, i.e. always 120? If the latter is true, it would be exceedingly useful to be able to pull data for all tunnel sizes that you store, rather than only the ones offered at the present time; however, if this is the case, are you computing prices for tunnels not currently offered, or are days simply missing for this? If they are computed, are these prices likely to be different to live prices (i.e. are live prices affected by demand in a way that unavailable prices are not?). Is what is true for the Japan 225 daily tunnels also true for other markets with one-to-many EPIC-instrument relationships?
4. What is behind IG's decision to switch to different tunnel sizes in this case, and in others? - the Wall St and FTSE daily tunnels do not appear to switch (have they ever?).
5. How can I know when switches have occurred?
6. What else should I be aware of on this issue?

I need to make sure that I am analysing the correct data and opening the correct positions.

[DanC]

Hi ,

 

You're correct in that we do reuse some EPICs over the each trading day. For the most part each EPIC will be stable over the trading day so, for instance, if the FTSE ladder 1 is to be above 6500 when it comes on, it will be that all day.  It almost certainly won’t be that day to day and will refer to a different strike price. The only difference is with touches and tunnels. This is because as soon as a binary touch/tunnel is triggered it becomes untradeable which gives us the option to reuse the EPIC for another touch. For instance if FTSE touch 1 is to touch 6500 and at midday this happens, the touch would go offline and we would reuse to the EPIC  to put on a 6550 touch. So from a historical data point of view it’s not very useful information because for half of the day the EPIC will be referring to the 6500 strike and for the other half the 6550 strike.

 

So in relation to your questions, our Binary desk have provided the following:

 

1. All EPICs will change on a day to day basis and in some cases when a strike has been hit for touches and tunnels they may change intraday.
2. It's not possible to pull data for a specific tunnel size, as the EPIC for a specific tunnel may be different one day to the next. 
3. Historical prices will be for each EPIC not each tunnel size and you're correct in thinking there will be days when certain tunnel sizes are not priced, since we only have a limited number of EPICs so use them for relevant tunnel sizes.
4. We switch different tunnel sizes. If the Nikkei were to be about to open up down 500 points there is no point offering any tunnel before say +/-520 points so that is where we will start. Conversely if the Nikkei were to be in a low vol period and about to open up unchanged we would not feel it worthwhile offering the +-520 tunnel. The FTSE and DOW tunnels will almost certainly have changed at some point in the time frame you mention, but they change less often as the Nikkei often has bigger moves.

I hope that helps!

 

Dan

[Benjamin]

Thanks for the info , this makes sense. I have a couple of follow up questions.

 

When making trades via the API, I would like to be sure of precicely what is being traded. Is the preferred/only way to check what a specific EPIC corresponds to, to check its name (e.g. "Daily N225 Cash to keep in range -460 to +460")?

 

If they did, do you happen to know when the DJIA and FTSE tunnels changed in the past, and if possible what these changes were? It would be really useful to be able to query what any given historical data point corresponded to specifically.

 

Thanks

[DanC]

Hey Benjamin,

 

Apologies for the delayed response on this. Our developers have confirmed that instrumentName is the only way to check what a specific epic refers to. Unfortunately we don't keep a record of the changes to the tunnels, nor is there anyway to pull this via the API, but our developers have taken note too see if they can make it easier to consume this data via the API.

 

Hope that helps,
Dan

[Benjamin]

Thanks, .

 

This is useful information.