Need Market Depth on many options at once

Discussion in 'Automated Trading' started by drenaud, Jun 5, 2010.

  1. drenaud

    drenaud

    IB has a limit to call up the market depths of 3 options at a time. This is true of TWS use or through their API.

    I am building an automated trading system that trades options on futures and having a limit of 3 is a real bummer.

    Are the services out there that would allow me to be looking at many more than that?

    For instance can I view the market depth of 50 options at a time?

    Thanks!
     
  2. Occam

    Occam

    If you want the entire OPRA feed and are willing to pay for it, NxCore offers the OPRA feed (best bid/offer for each of the options exchanges). It costs a few K per month, if I'm not mistaken.

    That's the most info that OPRA gives, but I think that Activ will give you even more (e.g., top-10-of-each-book for certain exchanges) for substantial more $. Again, don't quote me on this :D

    To go beyond that (e.g., to get full book from all the options exchanges simultaneously), I think you need to buy the exchange feeds directly yourself, which gets really expensive, as I don't think there's a product such as a TotalView equivalent for options. :confused:

    But these are all probably more than you really need, as these give you all options simultaneously (i.e. not just 50 or even 500); there must be something out there with a limit of 50 symbols or more, yet gives you a pretty good book. You might check into RealTick or something along those lines, and see if that gives you the depth you need.
     
  3. Speak to the guys at Rithmic. They offer just this facility.
     
  4. drenaud

    drenaud

    I will shoot them an email and see if they can help.

    Thanks for the lead.