Best source of Options data for my purposes

L

ladieu

A trader friend of mine has engaged me to do some programming for him, obviously I am a computer programmer. I wanted to lay out what I am trying to accomplish and hopefully get a good recommendation on a cost effective option to get some data feeds.

I'm open to suggestions on if there is a SIMPLER way to do what he wants, but as far as I know I'm just looking for historical option prices with greeks that aren't super stale and don't cost a fortune.

His preferred platform to trade in is "Think or Swim" from TD Ameritrade. I have already reached out to them to ask about their API.

This is for the options market and just NASDAQ and NYSE. What we want is relatively freshly priced options contracts. Within an hour or so is fine. Specifically he wants to scan a list of symbols. Starting with around 100 but eventually we would like to scan more.. perhaps even as many as 500 or greater.

So for example we would want to know when an option pair had a delta value between 2 thresholds. Just as a simple example.

So at a minimum we would need

Symbol, Option Greeks, Strike Price, Put/Call, High, Low, Underlying Price, Expiration Date, Ask, Bid, Implied Volatility

Would be nice to also get
Standard Deviation, Open Interest, Average True Range, Expected Move


I tried using interactive brokers API and while it SORT of works it only prices in realtime.. therefore the program has to look at each symbol in an iterative loop and wait until each contract changes so it can get the latest price. Pricing out one symbol can take upwards of 20 to 30 seconds. It's taking way to long just to process 100 symbols. This solution doesn't seem to scalable. I am looking for more batch data that I can import into SQL Server and run queries on.

Thanks in advance for reading this relatively long post
 
Try contacting Silexx OEMS and ask about their API. It might offer most of what you need. To go to the next level, you need a raw OPRA feed which is very expensive and will require a lot of programming. http://www.silexx.com/

The API with the GUI is around $600/month.
 
You need to focus on 1 single symbol. Then you need to extract the option chain which is fairly simple. Next you need to compute the Greeks (if the end user is a real options trader then he would supply his own model to derive Greeks and implied volatility). All you need to start with is the underlying bid and offer price, bid and offer for each strike level of the options, expiration, rates curve, and dividend curves. It's all fairly simple and straight forward. Of course you can dare to rely on Greeks and implied vol of the data supplier but professional options traders don't.

ladieu said:
A trader friend of mine has engaged me to do some programming for him, obviously I am a computer programmer. I wanted to lay out what I am trying to accomplish and hopefully get a good recommendation on a cost effective option to get some data feeds.

I'm open to suggestions on if there is a SIMPLER way to do what he wants, but as far as I know I'm just looking for historical option prices with greeks that aren't super stale and don't cost a fortune.

His preferred platform to trade in is "Think or Swim" from TD Ameritrade. I have already reached out to them to ask about their API.

This is for the options market and just NASDAQ and NYSE. What we want is relatively freshly priced options contracts. Within an hour or so is fine. Specifically he wants to scan a list of symbols. Starting with around 100 but eventually we would like to scan more.. perhaps even as many as 500 or greater.

So for example we would want to know when an option pair had a delta value between 2 thresholds. Just as a simple example.

So at a minimum we would need

Symbol, Option Greeks, Strike Price, Put/Call, High, Low, Underlying Price, Expiration Date, Ask, Bid, Implied Volatility

Would be nice to also get
Standard Deviation, Open Interest, Average True Range, Expected Move


I tried using interactive brokers API and while it SORT of works it only prices in realtime.. therefore the program has to look at each symbol in an iterative loop and wait until each contract changes so it can get the latest price. Pricing out one symbol can take upwards of 20 to 30 seconds. It's taking way to long just to process 100 symbols. This solution doesn't seem to scalable. I am looking for more batch data that I can import into SQL Server and run queries on.

Thanks in advance for reading this relatively long post
More...
 
I can already do everything you are saying with IB, the issue is it's slow due to the explanation I already gave. Is there a source that will give you bulk snapshot data of option contracts OR do you always have to get it one symbol at a time in realtime?
 
Of course you need to extract he data for each symbol. That is how all data vendors structure their APIs. IB may be slow and built in throttles so you gotta consider a different data vendor. But it sounds more like you lack elementary understanding how this market works and how options prices are disseminated. The OPRA feed only pertains to US listed options and is a real time data feed. Unless you do not fully understand how OPRA and other data services work you should not be in the business of looking for shortcuts.just sharing my 2 cents.

ladieu said:
I can already do everything you are saying with IB, the issue is it's slow due to the explanation I already gave. Is there a source that will give you bulk snapshot data of option contracts OR do you always have to get it one symbol at a time in realtime?
More...
 
ladieu said:
I can already do everything you are saying with IB, the issue is it's slow due to the explanation I already gave. Is there a source that will give you bulk snapshot data of option contracts OR do you always have to get it one symbol at a time in realtime?
More...

How do you request data from IB? Are you using snapshot data or subscribing to live feed where TWS will notify your app when price changes?

IB has limit of 100 simultaneous market data quotes coming with standard account. Are you using subscribe-cancel market data to overcome this limitation?
 
Not sure you realize but that would work out to around 4-5 symbol underliers. Obviously IB is not the way to go here.

vicirek said:
How do you request data from IB? Are you using snapshot data or subscribing to live feed where TWS will notify your app when price changes?

IB has limit of 100 simultaneous market data quotes coming with standard account. Are you using subscribe-cancel market data to overcome this limitation?
More...
 
Not sure if this would help in your case, but I think that you can get the NBBO from NxCore for the low-thousands per month, for all options contracts and all stocks, the data feed continually streaming to your computer and recorded to disk for either realtime or delayed processing. Then calculating "the Greeks" is straightforward. On the other hand, if you're wedded to the idea of doing all this in SQL server, then a full-feed solution like NxCore might not be the best idea, as the volume of data is extremely high.
 
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