ISO: intraday option data with "snapshot" (aka static) functionality rather than real-time streaming

M

mitchell_1

I want to populate Excel with data from several thousand different option contracts as quickly as possible. Real-time streaming isn't a good option for this, because:
  1. Most data providers limit the # of real-time quotes you can stream simultaneously (<500 in most cases); and
  2. That much real-time streaming data will lag / crash Excel anyway. I used to have 1,000 simultaneous rows of data via IB, but Excel became unusable any time I was streaming more than around 600 at once.
So what I'm hoping exists is a data provider from whom I can essentially request a snapshot of quotes for several thousand symbols at once. I expect that it will still take a few seconds for Excel to populate it all in cells, but it would at least (theoretically) be usable, whereas real-time streaming for that much data is a non-starter.

Any leads for me? Thanks!
 
mitchell_1 said:
I want to populate Excel with data from several thousand different option contracts as quickly as possible. Real-time streaming isn't a good option for this, because:
  1. Most data providers limit the # of real-time quotes you can stream simultaneously (<500 in most cases); and
  2. That much real-time streaming data will lag / crash Excel anyway. I used to have 1,000 simultaneous rows of data via IB, but Excel became unusable any time I was streaming more than around 600 at once.
So what I'm hoping exists is a data provider from whom I can essentially request a snapshot of quotes for several thousand symbols at once. I expect that it will still take a few seconds for Excel to populate it all in cells, but it would at least (theoretically) be usable, whereas real-time streaming for that much data is a non-starter.

Any leads for me? Thanks!
More...

The software setup I use is to stream data to a transactional rdbms. The software integrates with Excel so it can automatically populate spreadsheets etc. That should sort the Excel instability problem at least. I don't know off hand of any data providers though.
 
Hi guys, we do have OPRA data available... all of it. In 2 flavors: NBBO quotes and Full OPRA with regionals. Hit me up if interested.
 
moneyweaver said:
The software setup I use is to stream data to a transactional rdbms. The software integrates with Excel so it can automatically populate spreadsheets etc. That should sort the Excel instability problem at least. I don't know off hand of any data providers though.
More...

What's your data source, though? Like what provider are you streaming it from? And what's the "software" you're talking about? Something custom-built or commercial?
 
How far back do you want to go? algoseek has historical OPRA options data from full OPRA feed, and it includes all stock, ETF, ETN and ADR options for all strikes and expirations from January 2012 to present. It's available in Excel.
 
mitchell_1 said:
What's your data source, though? Like what provider are you streaming it from? And what's the "software" you're talking about? Something custom-built or commercial?
More...

Works with any data or broker API (eg IB) and does not require additional coding. The software is a decision support system I have built that aims to support any investment/trading strategy or process again by configuring the software rather than requiring additional work/coding.
 
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