Options tick data

Discussion in 'Data Sets and Feeds' started by aka1971, Oct 11, 2020.

  1. aka1971



    Can someone please says me who are the best options historical data providers ?

    I need these data in tick format, specially for cboe options ; with bid/ask would be the best.

    (the other fields would be : underlying, strike, expiration, (ratio = contract size), call/put ; transaction timestamp, volume and price. I think I haven't forget something :))

  2. narafa


    You will not find this easily or cheaply, don't waste your time unless you are planning to trade at least a $50M portfolio in options and you want to test strategies before you commit this amount to it.

    This is not just institutional grade historical data, this is a niche Quant grade historical data, which you will only find with very few data vendors who will sell it for a massive fortune (Think 7-figures easily).

    And assuming you got your hands on such data, you will need a very good developer/programmer to deal with it, not because it's complicated but because of the sheer size of it (Depending on how many years you will be able to get, the size of 1 year can run into the 1.2-1.5 TB range), so getting 5 years of that and we are talking 6-7.5 TBs of data.
    Ayn Rand likes this.
  3. ZBZB


    blueraincap likes this.
  4. narafa


    It can be fetched from the IB API, but you will run into limitations for sure + you won't have access to expired chains anyway.

    www.cboe.com & www.historicaloptionsdata.com don't provide intraday historical data (Only EOD for options).

    www.orats.com, no tick by tick, they only offer a 2-minute snapshot history, expired chains is another question for them as well, although it looks like it's supported (https://www.orats.com/options-data-products/).

    www.ivolatility.com seems to be one providing tick by tick for trades and snap of Bid/Offer at the time of trades, however, no tick by tick for Bid/Offers. Get a quote from them and see how much they will quote for such data + you will need to run quality checks on the data as well.

    Trust me, this data in good quality will not be cheap.
    Ayn Rand likes this.
  5. rb7


    But you won't find anything cheap.
    Ponmo and PlatformFX like this.
  6. Ponmo


    And when you consider the fact that Tickdata, algoseek, dxFeed, etc are some of the most affordable in the market.
  7. aka1971


  8. narafa


  9. algoseek

    algoseek Sponsor

    Hi aka1971, algoseek also provides historical OPRA options data is from the full OPRA feed for all strikes and expirations from January 2012 to present. Our Future Options data, on the other hand, is from CME, CBOT, NYMEX and COMEX from 2010 to present. Our data types include trades+quotes, trades only, and minute bars. To know which data type suits you best, you can check out our guides, pricing, and sample data here: https://www.algoseek.com/products.html#us_options_market_data
  10. How about say 1hour historical option data on just ATM strike and monthly expiration? I would like to test something on intraday IV changes.
    #10     Apr 1, 2021