Automating download of option chains data

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peerless_scarred

I'm looking at using a program to download options chain data from Nasdaq.com.
I'd be downloading data for several hundred companies and thus thousands of
option strikes - does anyone know if that would be likely to get me banned from
the site?
 
I'm using Alan Ellman's 'Return on Option' formula to try
and find good covered call trades, so I'll be loading them
into Excel and sorting them based on that. Nasdaq.com
is very slow though - took me 100 minutes to d/l data
for 140 stocks!
 
peerless_scarred said:
does anyone know if that would be likely to get me banned from
the site? ... is very slow though - took me 100 minutes
More...
No, you won't be blocked with only ~200 symbols.

For the download speed issue, both Yahoo and Google are much faster and provide more extensive data (note: Google throttling allows max ~600 symbols every 20 minutes).

You can also, depending on the language you are using to download/scrape, try running your queries in parallel. It is not cpu bound so you can have more processes than cores.

What language are you using for your download script? If you use Python I can post a NASDAQ option download function that can be easily called in parallel. Let me know if you want me to post it.
 
Actually I'm using batch files with gwebcmd. I must have done my downloads at a bad time before - just did them again and it took about one minute :) I tried using it with Yahoo before but kept getting timeout messages. Yahoo is useful however for saving a list of stocks and using it to copy and paste the latest share price, since Nasdaq.com limits you to a list of only 25.
 
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