Incorrect Underlying price of Options

Developer API
1

Hi team,
@shanmu @Pradeep_Jaiswar
Can you confirm which index NIFTY, BankNifty and FINNifty options are referring to?
The underlying price ‘up’ in market data feed is found to refer to following underlying:

  1. Nifty options- Underlying referred to is Nifty 50 Index , which is correct.
  2. BankNifty options- Underlying referred to is BankNifty Futures , which is incorrect. This should be BankNifty Index.
  3. FINNifty options- Underlying referred to is FINNifty Futures , which is incorrect. This should be FINNifty Index.
    I am saying this based on the data I am receiving from market data feed in FO.
    ‘up’ is the second value in the options greek key inside market data feed.
    Please guide on this matter.
2

Here is example data for reference:
For BANKNIFTY:
NSE_FO|66694’: {‘ff’: {‘marketFF’: {‘ltpc’: {‘ltp’: 349.15, ‘ltt’: ‘1711009115336’, ‘ltq’: ‘15’, ‘cp’: 260.85}, ‘marketLevel’: {‘bidAskQuote’: [{‘bq’: 105, ‘bp’: 348.75, ‘aq’: 105, ‘ap’: 349.4}, {‘bq’: 45, ‘bp’: 348.7, ‘aq’: 180, ‘ap’: 349.45}, {‘bq’: 210, ‘bp’: 348.65, ‘aq’: 675, ‘ap’: 349.5}, {‘bq’: 135, ‘bp’: 348.6, ‘aq’: 90, ‘ap’: 349.55}, {‘bq’: 75, ‘bp’: 348.55, ‘aq’: 165, ‘ap’: 349.6}]}, ‘optionGreeks’: {‘op’: 347.3, ‘up’: 46748.4, ‘iv’: 0.15476995596613916, ‘delta’: 0.4820599618819008, ‘theta’: -30.636655837437228, ‘gamma’: 0.00042722572665758864, ‘vega’: 24.032860005519534, ‘rho’: 3.690205861712018}, ‘marketOHLC’: {‘ohlc’: [{‘interval’: ‘1d’, ‘open’: 348.0, ‘high’: 599.9, ‘low’: 318.0, ‘close’: 349.15, ‘volume’: 33154965, ‘ts’: ‘1710959400000’}, {‘interval’: ‘I1’, ‘open’: 358.6, ‘high’: 371.0, ‘low’: 358.25, ‘close’: 362.0, ‘volume’: 81900, ‘ts’: ‘1711009020000’}, {‘interval’: ‘I1’, ‘open’: 362.0, ‘high’: 362.1, ‘low’: 341.95, ‘close’: 349.15, ‘volume’: 108300, ‘ts’: ‘1711009080000’}, {‘interval’: ‘I30’, ‘open’: 380.35, ‘high’: 420.95, ‘low’: 355.9, ‘close’: 372.55, ‘volume’: 2773470, ‘ts’: ‘1711007100000’}, {‘interval’: ‘I30’, ‘open’: 372.95, ‘high’: 375.85, ‘low’: 341.95, ‘close’: 349.15, ‘volume’: 470925, ‘ts’: ‘1711008900000’}]}, ‘eFeedDetails’: {‘atp’: 447.45, ‘cp’: 260.85, ‘vtt’: ‘33156165’, ‘oi’: 1658715.0, ‘tbq’: 142845.0, ‘tsq’: 316200.0, ‘lc’: 0.05, ‘uc’: 1331.25, ‘poi’: 575775.0}}}},

For FINNIFTY:
‘NSE_FO|39408’: {‘ff’: {‘marketFF’: {‘ltpc’: {‘ltp’: 105.55, ‘ltt’: ‘1711009115010’, ‘ltq’: ‘40’, ‘cp’: 68.25}, ‘marketLevel’: {‘bidAskQuote’: [{‘bq’: 40, ‘bp’: 105.65, ‘aq’: 200, ‘ap’: 105.95}, {‘bq’: 80, ‘bp’: 105.6, ‘aq’: 760, ‘ap’: 106.0}, {‘bq’: 80, ‘bp’: 105.55, ‘aq’: 160, ‘ap’: 106.1}, {‘bq’: 200, ‘bp’: 105.5, ‘aq’: 200, ‘ap’: 106.15}, {‘bq’: 360, ‘bp’: 105.4, ‘aq’: 640, ‘ap’: 106.2}]}, ‘optionGreeks’: {‘op’: 104.7, ‘up’: 20743.45, ‘iv’: 0.1106253232158198, ‘delta’: 0.4930663018172854, ‘theta’: -10.641139498257859, ‘gamma’: 0.0014751626700917641, ‘vega’: 9.754610135585997, ‘rho’: 1.4062778110840108}, ‘marketOHLC’: {‘ohlc’: [{‘interval’: ‘1d’, ‘open’: 103.95, ‘high’: 209.5, ‘low’: 91.7, ‘close’: 105.55, ‘volume’: 8151840, ‘ts’: ‘1710959400000’}, {‘interval’: ‘I1’, ‘open’: 109.6, ‘high’: 112.15, ‘low’: 108.85, ‘close’: 110.15, ‘volume’: 30520, ‘ts’: ‘1711009020000’}, {‘interval’: ‘I1’, ‘open’: 109.8, ‘high’: 110.05, ‘low’: 103.75, ‘close’: 105.55, ‘volume’: 29920, ‘ts’: ‘1711009080000’}, {‘interval’: ‘I30’, ‘open’: 115.45, ‘high’: 130.5, ‘low’: 107.6, ‘close’: 113.8, ‘volume’: 833920, ‘ts’: ‘1711007100000’}, {‘interval’: ‘I30’, ‘open’: 114.4, ‘high’: 115.75, ‘low’: 103.75, ‘close’: 105.55, ‘volume’: 135160, ‘ts’: ‘1711008900000’}]}, ‘eFeedDetails’: {‘atp’: 135.52, ‘cp’: 68.25, ‘vtt’: ‘8152840’, ‘oi’: 429960.0, ‘tbq’: 66720.0, ‘tsq’: 98640.0, ‘lc’: 0.05, ‘uc’: 508.1, ‘poi’: 116680.0}}}},

3

Hi team,
Request you to go through the above anomalies. Please inform if rectified, or if you need other info.

4

Your observation regarding the up field is right; however, your understanding is correct that the underlying asset for Nifty options is the Nifty 50 Index, and for BankNifty options, it is the Nifty Bank Index, and so on. Thanks for bringing this to the notice of us.

We are currently consulting with the concerned team about the op and up values. In the meantime, please disregard these values as they will be deprecated and removed in the upcoming release due to being inappropriate. It’s a bug from our side, which is why these fields also get mentioned in the documentation.

We apologize for the delayed response and appreciate your patience.

5

Hi team,
@Pradeep_Jaiswar
Thanks for informing. I request you to keep the ‘up’ value in the upcoming release as it is of value in various trading models.
Further, I request you to correct the mapping of ‘up’ values to correct indices.
Since you are broadcasting data in a custom format, I think it can be done at the backend.
Appreciate your cooperation.

6

Acknowledged, we will forward the feedback to the appropriate team.