I want intraday real-time data for entire option chains in a format that's easily downloadable (so I can get it into Excel.) There are obviously plenty of data providers that sell end-of-day files of historical data, but as for real-time / intraday quotes, I can't quite find it. I currently use the IB API to stream data into Excel, but I'm that amt of data I want to import (quotes for entire option chains for perhaps 100 underlyings) quickly overwhelms Excel / their API. But if I could download CSV's of real-time data, it would be much easier to run a script to pull them all into Excel as hardcoded values. Obviously a downloaded file would only be a *snapshot* of the quotes at any given time (rather than updating/streaming), but that would be fine for my purposes. I just can't seem to find providers who offer this kind of real-time data that's easily downloadable.
"...entire option chains for perhaps 100 underlying" is still a good bit of data, and I expect if you really mean "real-time", you will find it impossible to accomplish 100 underlyings at a specific timestamp! TDA's API may provide what you need, but you will need to sequence thru the underlyings (meaning each underlying will have different timestamp). With TDA, you may also consider RTD with TOS, but 100 underlyings with complete chains at a time will overwhelm TOS, EXCEL, and your PC! (About 40,000 references at a time seems to be the practical limit with this approach).
CBOE http://www.cboe.com/data/historical-options-data or https://www.ivolatility.com/data/us-historical-intraday-options-data2.html This type of data is massive and can be expensive.
Some of the same suppliers that deliver EOD data for all options can also deliver intraday data. So that's still not RT but for instance once per 15 minutes might be OK for you. However I don't know with how much delay it is delivered...
Yes, you're correct that I am indeed trying to import a lot of data, which is why I've found any sort of API solution impractical. FWIW, the data I want to download/import wouldn't have to have the identical timestamp...like, it'd be fine if they were simply all grabbed/downloaded within a 30-second timeframe. Then I figure I could run an Excel script to import all of the downloaded files and get it cleaned up and into a sheet within ~30 seconds or so...so from start to finish, I envision downloading all of the option-chain data and getting it into Excel within about a minute, so I'd be looking at a workbook of data that's all, I suppose, delayed by 60-90 seconds... (but this is all predicated on finding a supplier that provides easy downloads of real-time data...which I'm still coming up empty on...)
From your statements, it seems the TDA API would be your IDEAL solution! Time to extract SPX chains about 1 to 4 seconds (you should verify the response time yourself-as my memory may not be correct) I am "guessing" you do not have access to the TDA API, or you would already be using it. -- see: "https://developer.tdameritrade.com/option-chains/apis/get/marketdata/chains" I don't think IB has anything close to this.
Hm, I hadn't heard of this before; looks interesting...is this API available to the general public, or does it perform some kind of authentication check to ensure users are indeed TD customers? I have TD and TOS accounts, so assume that I'm eligible to use it? Though documentation for non-dev's seems sparse to non-existent, so if you have any resources/links for a guide on how to make use of this, I'm all ears
I do what you describe every day, from an IB TWS page used strictly for db purposes. It's 71 SPX strikes (350 SPX points, inclusive), and takes a flash to offload. I get into the spreadsheet platform, and go to the "sheet" page expecting raw data, and import. Voila! And there we are. To offload onto a .csv, go to FILE, hit the down-arrow, up top will appear Import/Export, and at the very bottom, is Export Page Content to .csv..... There is also a gentleman in Portugal (a seldom-seen ET member and a ranked IB services consultant) who has scrape devices for historical equities, instant options, etc etc. -- each less than $500, customizable, and well-regarded. {I just can't remember his name...}
I use the TOS API using python to download all option chains for about 40 stocks every 15 minutes that are NTM ( near the money). The data comes back in json which is easy to unpack. I used it to find CIB's and IC's. Works well. Next is to actuaactuallyl put on the trade with the API. Maybe this week