DTN/iQFeed ( http://www.iqfeed.net/index.cfm?displayaction=data§ion=product ) offers a product called DTN FinWin that has all US options in a zipped CSV file for ftp-download (about 35 MB zipped, about 140 MB unzipped). It's 5 minute snapshot data. It has these fields, and some sample records: Symbol,Exchange,Type,Last,TradeSize,TradedMarket,TradeDate,TradeTime,Open,High,Low,Close,Bid,BidMarket,BidSize,Ask,AskMarket,AskSize,Volume,PDayVolume,UpVolume,DownVolume,NeutralVolume,TradeCount,UpTrades,DownTrades,NeutralTrades,VWAP,MutualDiv,SevenDayYield,OpenInterest,Settlement,SettlementDate,ExpirationDate,Strike A11720A27.5,14,2,,,13,,999999,0.00,0.00,0.00,,24.70,13,77,29.25,13,77,0,0,0,0,0,0,0,0,0,,,,0,,,20170120,27.50000 A11720A30,14,2,,,13,,999999,0.00,0.00,0.00,,22.25,13,77,26.80,13,77,0,0,0,0,0,0,0,0,0,,,,0,,,20170120,30.00000 A11720A32.5,14,2,,,13,,999999,0.00,0.00,0.00,,19.90,13,77,24.45,13,77,0,0,0,0,0,0,0,0,0,,,,0,,,20170120,32.50000 It is said that it "starts at $350", but I have not been able to get more details. If anybody have more information or experience please let us know.
Are you looking for historical or live 5 minute bar data ? For historical 5 minute bar data for options check out: www.algoseek.com/options/ www.ivolatility.com/data/us-historical-intraday-options-data2.html www.tickdata.com/product/historical-options-data/ nanex.net For live 5 minute bar data you can also use Nanex. Their software will download the full OPRA feed to your computer and then create real-time 5 minute bar that you receive into your code. Nanex is accurate with great compression for sending the data but their software has a steep learning curve...designed for use by developers.
Hanweck is the gold standard. It's a small company -- you can call and speak to Jerry, the founder/owner, directly.
Has anyone compared these vendors and determined which vendor offers the best value / money for: All trades and quotes or 1 minute OHLC with best bid-ask snapshots, 10 years and all (or most) symbols, survivorship bias free? Nanex prices published at https://www.elitetrader.com/et/threads/historical-data-from-nanex.278850/ give a price of $11,040 for data that exceeds my needs, specifically: OPRA exchange, all symbols, trades and quotes, 10 years, $115 per exchange*month, 20% discount, 10*12*115*0.80 = $11040. Nanex's compression and software API is an advantage for me. Other vendors' prices seem significantly higher: Algoseek complete trade and quote dataset https://www.algoseek.com/options_pricing/ $44,400 Tickdata all symbols https://www.tickdata.com/product/historical-options-data/ $25,000 per year or call for a discount on multi-year. CBOE datashop https://datashop.cboe.com/options-data 1 minute interval data, 10 years, all symbols: $35,000 CBOE datashop complete OPRA trade and quote data, 10 years, 0.8 to 1.0 TB/month: $116,000. Am I missing anything? Or is Nanex clearly the best value/cost vendor?
You can maybe check ActiveTick. I know they have historical option data but I can't speak to the format/quality. Dirt cheap ($50/month for API), so worth a shot.
Thanks! ActiveTick looks nice. They have US equity options tick data from Jan 2010 to present with millisecond resolution timestamps. Looks like access to historical options data will require either the $90/month or $300/month subscription. Has anyone here used their ActiveTick subscription to bulk-download all available years of tick data (all trades and quotes from 2010 to present) for something like 100 to 1000 underlying symbols? Was the data reasonably complete in terms of strikes and expirations? What download rate was achieved?