How to build options database ?

Discussion in 'Data Sets and Feeds' started by vash.amethyste, Oct 22, 2008.

  1. Hi,

    I want build an options database.
    I have an IB and and an opentick account, but I can't download historical data for options.
    It's necessary to know the option chain.

    How to download this ?

    I want data with 10min bar.

  2. Tums


    the options data is 30 times the size of the stock data. are you sure you are up to it?

    what symbols are you interested in?
    ALL ?
    ETF only?

    for $100/month, you can access the Optionetic's data base. (EOD)

    if you want to build your own... check out the Optionvue software.
  3. dmo


    Do you want stock option data or futures option data?

    I believe historical stock option data is pretty readily accessible. I can get it off DTN IQFEED. You should be able to get it from Opentick.

    Historical futures option data is much trickier. You can get historical time and sales data, but unfortunately that is useless. What you want is historical settlement data, which is not easily available.

    Of course you can buy it from the exchanges. The only free source I know is the SPAN files available for free ftp from the exchanges. Most still post files going back to 2007 or even 2006. If you don't have the span software, you would have to figure out a way to extract data from those files. I know someone who did it by writing a PERL program.

    If you find any other way to get historical settlement info, please let us know.
  4. I want a list of 1000 symbols of stock options.
    By bar of 10min it's a good size.

    It's not easy with opentick to get the historical option data, because optiontick want the symbol of the options and I don't know what is the symbol of GG from Strike 25 JUN 08 in MAY08 ... and I don't know if exist ?

    So it's hard to rebuild all options data of a underlying.
  5. DTN IQFEED is good ?
  6. dmo


    What you need is option chain capability, and I don't believe DTN IQFEED has this. However, I believe E-signal does have this capability, at least for current options. Not sure about historical options.