30-60 day historical options data into excel?

Discussion in 'Data Sets and Feeds' started by Gustaf, Jul 26, 2011.

  1. Gustaf

    Gustaf

    Where can i download such data. I tried Yahoo finance but it didnt work.
     
  2. Gustaf

    Gustaf

    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)
     
  3. What was the problem with capturing the Yahoo data?
     
  4. Gustaf

    Gustaf

    It works well for stocks but it does not recognize the options symbols and returns an error, eventhough i take them from yahoo itselft.
     
  5. 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?
     
  6. spec77

    spec77

    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
     
  7. 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
     
  8. Gustaf

    Gustaf

    Thanks I will check it out.