Huge CBOE options data price hike

[earth_imperator]

Great it worked for you, but I found that these two data sets in particular are not even remotely compatible nor interchangeable with each other. The greeks calculations are based on completly different methodologies and even the base market data snapshot is taken at different times at EOD. So basicaly, I found no way to match or verify the data before the switch.

Long story short, still looking for alternatives.

But it is better to have the data of BEFORE market close, b/c then the Day orders are still in the book, meaning Bid/Ask is then present and real, whereas at >= EOD the Day orders obviously disappear, what remains are just the GTC orders, but the Bid/Ask of GTC orders are mostly not representative of the current market situation (b/c GTC orders are usually old)...

FYI: the top-of-the-orderbook Bid/Ask are important for trade decisions, as well are the basis for IV calculations, and with it for calculation of all the greeks [if you do these calcs yourself].

I prefer to finish collecting my daily data 1 hour before market close. Then I run my scanner over the data and have about 55 minutes till market close for submitting & trying to get a fill for my orders...

Of course the disadvantage of my method is that one does not have the official EOD data, but then: who cares, who needs them really? Not me.
And: I think one even can re-create the EOD data posthumously on the next day from the "change" values... but now having a lag of 1 day... As said, I don't need it.

I think ORATS' options EOD is similar: it's the whole-market snapshot of 14 minutes before market close, IIRC.

 

[earth_imperator]

These institutional data vendors are taking their cues from Martin Shkreli. They reckon that hedge funds and other pros are not price sensitive, and even if they lose 75% of their customers, they'll still be net positive on the price raise. They're no different from the private equity firms buying up trailer parks and then tripling poor peoples' rents.

Anyway, I declined to renew my subscription when it came due this month. Went with ORATS EOD ftp service for $399/yr in its place. Better data at 1/6th the price. And available on average 3 hours earlier than CBOE was. Simpler ftp protocol as well.

$399/yr? Isn't it rather 12 * $99/mo = $1,188/yr for Non-Professionals, and 12 * $199 = $2,388/yr for Professionals?
Which product of ORATS do you mean?

 

[LM3886]

How much data on avg is it daily in MB? Do you get it in a single file? Compressed?
What format is it: json/CSV/binary etc? Thx

30MB+ (no greeks) in a single zipped CSV file. 8 times more size when unzipped.

 

[Matt_ORATS]

$399/yr? Isn't it rather 12 * $99/mo = $1,188/yr for Non-Professionals, and 12 * $199 = $2,388/yr for Professionals?
Which product of ORATS do you mean?

This is a special price for ET. One-time $399 for near EOD back to 2007.
https://info.orats.com/elitetrader
Historical near end-of-day quotes back to 2007 via FTP are available for a special price of $399 per year for updating files daily plus only $399 one time fee for initial bulk download.