Real time options time and sales data export

Discussion in 'Data Sets and Feeds' started by sumwon, Oct 3, 2017.

  1. sumwon


    Hello, I am new here. Seeking some help in my analysis of options contract trends in whatever vehicle I am interested in. I use Thinkorswim (TOS) and Tastyworks (not that TW will help with this). What I would Ideally like is to somehow export the options time and sales data, both live and as needed, out of TOS into Excel or anything really. I am not CS savvy, but my brother - who is not finance savvy - is and thinks he can do it with R if we can perhaps figure out how to connect the data in the "options time and sales" tab perhaps thru Thinkscript into one of the TOS modules that supports RTD connection to Excel. Any ideas? A very humble preemptive thank you.
  2. tommcginnis


    What you describe (options data scraped for off-platform analysis) is common, but less so for ToS. I once inquired of a (ToS-using) buddy about whether ToS could be rigged to create .csv files, and he assured me it can be.

    That's all I've got -- except that R or Python will give you Good Times Ahead. Has ToS no 'official word' on this sort of thing?
    sumwon and Baron like this.
  3. sumwon


    Thank you. I have spoken with them several times and they say that while equity transactions and some other data is available for RTD connection to Excel, option time and sales data is not. However, it is there, for the viewing, and they do allow exporting as a .csv file (or web file) at any point and time so it seems more plausible than implausible that it could be "scraped" at small increments into another program for outside analysis. There is an export to .cvs path/button within ToS for the data i want...
  4. unchd


    I am researching how to do this exact thing. I simply want to stream Time & Sales data into Excel for backtesting and live alerts. Have you made any progress? I have also contacted TDAmeritrade's API team to ask how others have dealt with this--since their API doesn't offer Time & Sales on Futures (which is what I need).

    I was using RTD to get LAST price and size into Excel. The problem there was that even speeding up Excel's clock for receiving data, some transactions got lost--since they came through simultaneously.

  5. Hey,

    I'm also looking into this right now.

    I was hoping to get a live stream of all of the time & sales data for multiple tickers. It is my understanding that right now you can only get that information for one ticker at a time in Think or Swim, is that accurate?
  6. tommcginnis


    I am NO expert, but that sounds like a *lot* to ask -- not only of the connection all the way to ToS servers, but (and perhaps more importantly) to their data-rights arrangements with the exchanges. It's not just data flow, it's *value* flow.