Using TwsDde excel example I was able to pull 9 days using this query: TOT OPT 201109 55 P 100 SMART USD FINISHED 20110729 23:59:59 GMT 30 D 10 MIDPOINT 1 1 TOT55 BARTYPE = 11 doesnt work....... (days)
It works well for stocks but it does not recognize the options symbols and returns an error, eventhough i take them from yahoo itselft.
I don't know the answer for Yahoo but from my experience with pfd stocks, various web sites have different look-up symbol terminology and you have to find the one that works. In the case of pfds, it could be a hyphen, a period, the letter P, the letters PR, a period and the letter P, etc. Any chance you aren't using the correct syntax?
No, it would not work. Yahoo does not provide historical option data. You have 2 solutions: -write a script to collect data from Yahoo or IB every day -buy historical data from someone else
You can use the TWS-DDE to capture quotes - either intraday or EOD - and build your own database. Won't help you now but in time you'll have some historical data CRIMSOMIND used to be free for historical but now they change a monthly/annual fee. You could sign up for a month and download data day and night and then maintain via the TWS-DDE. I don't know what their gig is now but when they were free, they would send requested data by E-mail as well. http://www.crimsonmind.com/optionsR/index.aspx