Need Market Depth on many options at once

D

drenaud

IB has a limit to call up the market depths of 3 options at a time. This is true of TWS use or through their API.

I am building an automated trading system that trades options on futures and having a limit of 3 is a real bummer.

Are the services out there that would allow me to be looking at many more than that?

For instance can I view the market depth of 50 options at a time?

Thanks!
 
Quote from drenaud:

IB has a limit to call up the market depths of 3 options at a time. This is true of TWS use or through their API.

I am building an automated trading system that trades options on futures and having a limit of 3 is a real bummer.

Are the services out there that would allow me to be looking at many more than that?

For instance can I view the market depth of 50 options at a time?

Thanks!
More...

If you want the entire OPRA feed and are willing to pay for it, NxCore offers the OPRA feed (best bid/offer for each of the options exchanges). It costs a few K per month, if I'm not mistaken.

That's the most info that OPRA gives, but I think that Activ will give you even more (e.g., top-10-of-each-book for certain exchanges) for substantial more $. Again, don't quote me on this :D

To go beyond that (e.g., to get full book from all the options exchanges simultaneously), I think you need to buy the exchange feeds directly yourself, which gets really expensive, as I don't think there's a product such as a TotalView equivalent for options. :confused:

But these are all probably more than you really need, as these give you all options simultaneously (i.e. not just 50 or even 500); there must be something out there with a limit of 50 symbols or more, yet gives you a pretty good book. You might check into RealTick or something along those lines, and see if that gives you the depth you need.
 
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