Cheap Intraday (just one tick :-) data feed?

Discussion in 'Data Sets and Feeds' started by ObiSenju, Dec 6, 2017.

  1. ObiSenju

    ObiSenju

    Hi Forums,

    I have an EOD options data service that's kinda cheap ~$400/year. That's one data pull at 4pm approx 250 or so times a year (has IV and greeks too!).

    The problem with EOD data is that by the time I get it THE MARKET IS ALREADY CLOSED. I am hoping to get data at 11am or noon of the current day so that I can see the market while it's open, run my models on it and then trade on it. To clarify, I'm not looking for any historical data.

    On top of that, right now I only need data for 11am on Friday. Maybe 11am Friday and 11am Thursday. Data that can be delivered at like 11:30am on that day. I got a quote for $100 a month for one data point every Friday!! That's $23 per data point!!

    Does anyone know of anything that's much cheaper :(? Data doesn't have to be at 11am just any time during market open.
    All I need is Underlying, Undelrying Price, CAll/Put, Expiry, Quoted Bid, Quoted Ask, Implied Volatility. Greeks would be nice but not required.

    Any help is appreciated!

    Senju
     
  2. truetype

    truetype

    Can't you get it via API from one of your brokers?
     
  3. just21

    just21

    Who are you getting data from at the moment and who quoted you?
     
  4. just21

    just21

  5. Robert Morse

    Robert Morse Sponsor

    That would make more sense.
     
  6. ObiSenju

    ObiSenju

    I'm getting data from http://www.historicaloptiondata.com
    I got the quote from IVolatililty

    I have an Interactive Brokers accounta and a Questrade account. truetype are you saying there is a way for me to pull data on ALLL symbols at once into one CSV file?

    That would be sweet
     
  7. ObiSenju

    ObiSenju

    Ok I have been looking into this. The coding for it is super complicated. Is there anyone on this forum who has an API code they don't mind sharing that downloads options data for all available aptions (A to Z) all strikes and expiries?

    Would be much appreciated
     
  8. truetype

    truetype

    Various "downloader" programs are floating around the Web. Have a search of the ET archives (search box upper right) for links.
     
  9. This guy, for example.
    http://www.tradingsoftwarelab.com/jtwsdump/
    Available through IB ('services??'); has been an ET member. <US$500 ($250-$400??)
    Will save you a lot of time.

    Do you know that you can export (.csv) via File/↓(down-arrow)/ImportExport/ExportPageContent from a page that you've constructed? I think that's your ticket.
     
  10. ObiSenju

    ObiSenju

    Thanks tommcginnis. I contacted Paulo of jtwsdump. He's got a great program called jOptionChains but it only pulls one ticker at a time! Would take days to pull all ~4,500 symbols traded on any particular day. Not sure if broker feeds will work I imagine no broker would allow anyone to do such a large data pull at one time?

    So far I only have one quote from IVolatility $75/month for 1 minute of data each weekday. QuoteMedia doesn't provide the service, Activetick never got back to me.

    I can't imagine my request for a minute of data or 1 tick during trading hours is so outlandish? Am I just ahead of the curve as a trader:sneaky:? Where can I get this data? :banghead:
     
    #10     Dec 13, 2017