Recent content by london002

I am circling around the time & sale reconstruction mechanism for options. This thread gave me insights to look into the CME rules. Thanks for that. What I am still not clear on is, how are trade relations built between different legs? What I am gathering is: rely on IV change, timestamp and...

I started with a local machine, but am in the process of moving to AWS and use kinesis infrastructure. I will be fine using all options for about 500 US based companies (Daily time & sale data of about 10 million entries per my calculation, I don't really need quote prices as long as time&sale...

So, regarding IQFeed, do they consider an Options ticker a symbol for streaming data? For example, TSLA200821C01500000, is considered a symbol? If so, the 500 symbols limit won't give me all options data for TSLA. What are other alternatives to retrieve all US based stocks & options "time &...

Hello, ---- I started a new thread under "Trading Software", but found this to be more appropriate as there is discussion around development. I don't know how to remove the other discussion. ---- I have started looking into trade and time & sale data for equities with mixed results. My...

Hello, I have started looking into trade and time & sale data for equities with mixed results. My problems seem technical in nature and hence sharing what I have and get feedback here. My setup: 8 core CPU, decent GPU, 16GB RAM, tons of SSD storage. Using python to digest incoming stream -...

Does Polygon support real time time & sale for stocks & options? I am interested in a service that provides streaming data for US equities - stocks & options.