Is there any data provider that offers a single-file snapshot of the entire US equity options market (Bid, Ask and day's volume for every contract) as of just prior to stock market close, available within a minute or two after the close? I'm already subscribed to DeltaNeutral's end-of-day options service, which is fine except for the fact that it isn't available until about 5pm Eastern, sometimes later. I essentially want the same thing, only right after the market closes. I know there are services that would theoretically allow one to generate such a snapshot oneself, but they are massive overkill for what amounts to just a ~25mb zipped filed at the end of the day.
I don't have a supplier to suggest, but rather a cautionary observation: funky things happen in the last hour of cash trading -- markets get very wide, offered volume flips and flops, and relationships do things they haven't done all day, and won't see tomorrow. I have shifted to a lot of end-of-day work, and I try not to sample after 3pm -- it's punky and junky. ("'Punky & Junky'?? Is that you, being a wicked statistician?" Of course. )
We can get you that. We have 2-minute quote snapshots. We have two minutes before the close and right at the close if that would work. Since it is not delayed you will have to pay exchange fees. I realize it is after the close but they still apply. If you can wait 20 minutes you wouldn't have to pay the higher fees. Here's our webpage on quotes: https://info.orats.com/quotes
Agreed, too close to the close and the markets get wonky (wonky=punky and junky) We take a complete snapshot of the US equity options market 14-minutes before the close of trading each day. Why 14 minutes before? Our ex-market makers and traders think that is the best time, the closest to the close without getting deterioration in markets that happens as the close of trading approaches. Everything in the snapshot has the same time stamp, including underlying prices. Stock bid-ask mid points are calculated and presented with each option. Index futures prices at each expiration are implied from put-call parity, and spot prices are included.
I think we're on our way to a new jamband identity, like FunkyWonkyPunkyJunky. But they have to have two drummers. (That's my vote, anyway.... ) That's awesome to hear -- a bit of reassurance to the brain [that watches this stuff mostly in desultory isolation -- like an intellectual echo-chamber... ]
Im doing the same thing using excel spreadsheet with small VBA routine connected to Thinkorswim using RTD function,resolution 1second. Im recording SPX full option table with all greeks, around 10 strikes for the whole day. It could be done for more than one Ticker, but for the whole market its very difficult.
The other way to have multiple PC's running multiple TOS, which is doable. How many stock tickers you want to record? I can try that on my setup.