I'm looking for advice as to who is the best data provider for options. I require a composite quote (from all five Exchanges) best bid/ask, the bid/ask size and the bid/ask exchange. I need to bring these quotes into Excel via a DDE link. I would require a minimum of 500 quotes (series). I have used the following providers: 1) Quote.com - absolute joke for options 2) Esignal - not bad, but they have limitations in their DDE link. There is a maximum of 2,000 fields you can get (not enough for me - 500 quotes X 6 fields) 3) PC Quote - the best I have seen. I can get about 500 quotes via DDE with no limitation as to the number of fields. The main problem is that they occassionally miss a tick 4) DTNIQ (Interquote) - no DDE link - they have their own spreadsheet format - from what i remember the quotes were not very good 5) Reuters and Data Track - quotes are good but they DON't provide a composite quote. Without a composite quote, you would require five times as many quotes to do your analysis. Any advice would be appreciated. thanks.
FWIW..I looked hard and long for the "Best Options Data Provider", In my opinion it is AT Financial (now a division of ILX). http://internet.atfi.com/ their data and timeliness are as good as I could find in 2 years of looking. One caveat, they do not have a composite quote but are supposed to be working on it as many have requested it. I suggest you call them and see where it stands.
mskl - Not sure whether you need streaming option data or if you can use realtime snapshots. If you can use snapshots (you can refresh them at an interval if you want to), the CBOE has a realtime snapshot quotes subscription that costs about $10/month and the data quality is better than any other source I've tried. The catch, it's not DDE. The data comes to you via HTML. If you can handle the HTTP interaction and HTML parsing yourself, you can extract the data from the datastream. Since I'm already using Trade Prospector and they support the CBOE's realtime snapshots in the TP option montage (and therefore already handle the HTTP and HTML stuff), if I want to do any analysis/comparison/searching beyond what's already built into TP I can simply access the MS Access database file that TP saves the quotes into by using Access or VB/VBA with ADO. Haven't done it from Excel, but you should be able to just use the standard ADO objects from within Excel VBA code (or in Access Basic if you have it available). Good luck.
I have the same snapshot quote svc from CBOE for $10 per month. I think they have recently discontinued it for new users. The options now appear to be a $15 pkg with 1 second aggregates and a streaming set for $20. Each allows you to save up to 300 tickers. http://www.cboe.com/MktQuote/
Hi guys. Other than the CBOE, can anyone else recommend a data provider that will enable me to download raw snapshot data -10 min delayed max not end of day please, into a comma delimited file. Once I get it in my hard drive, I can use Excel or Access and do my queries such as best calendar candidates, best verticals,etc . I just am getting frustrated with the commerical software packages that does 70% of what I need so I have 2-3 of the apps open. This time, I am going to go at it alone-just raw data and I will try to take care of it myself-any suggestions? Thanks
I found a pretty good service. www.stricknet.com End of day data, $35 a month. I can send you a sample file if they won't. I have a friend who uses it, then mines the raw data into pieces and gives me some refined results based on what I'm looking for that day. His EOD data is every single chain out there. I think the file is about 10-12MB. Let me know how you like it.
I was wondering if there are services that would have 10 minute delayed. Maybe quote.com. Thanks ktm . I will look into it.
track data is one of the best i know of--you can customize options simulations and obtain composite quotes with the fast track product
I agree with the previous post. I used reuters for years. But their data is sloppy (too many strikes / months that didn't exist) and it would take them forever to fix the problem. It really stinks when your using the data links to Excel and have thousands of strikes that don't exist. Switched to AT Financial. Great service....I use it in connection with Microhedge.