software with intra-day options data

A

Abundance Magnet

Hi,

any recommendations? I've tried ONE but find it a bit clunky. Was looking at optionvue but not sure if they have intraday (and if so, at what interval) pricing. Any other suggestioins for software that has intra-day data?
 
stepandfetchit said:
Robert is correct!
OV data is 15min while ONE is 5min granularity -- I have owned both.
I have CBOE SPX 60-Sec data and have been pleased.
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Hmmm.. Was hoping for a software version where I can plot and graph things, run strats etc... The cboe looks like raw data that would then need to be manipulated by a programmer... Any other options out there?
 
Abundance Magnet said:
Hmmm.. Was hoping for a software version where I can plot and graph things, run strats etc... The cboe looks like raw data that would then need to be manipulated by a programmer... Any other options out there?
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So, you are not looking for the data, but a source to run your back testing. You can try contacting ORATS. They provide custom services in addition to the stock service, but I expect what you are asking for will be expensive.
https://orats.com/

I do not know anything about you and I don't want to make any assumptions, but if you are not planning on funding with $25mm or more to be a market maker or running a big option book with a good budget for backtesting, I expect what you are looking for is overkill.

With 15 option exchanges and the majority of option block volume being crossed, I'm not sure where you will find alpha from your process if this is a small to moderate size retail account. The process that CML uses is very useful for backtesting for those that position trade. I would focus on that for most equity option traders.
 
Robert Morse said:
So, you are not looking for the data, but a source to run your back testing. You can try contacting ORATS. They provide custom services in addition to the stock service, but I expect what you are asking for will be expensive.
https://orats.com/

I do not know anything about you and I don't want to make any assumptions, but if you are not planning on funding with $25mm or more to be a market maker or running a big option book with a good budget for backtesting, I expect what you are looking for is overkill.

With 15 option exchanges and the majority of option block volume being crossed, I'm not sure where you will find alpha from your process if this is a small to moderate size retail account. The process that CML uses is very useful for backtesting for those that position trade. I would focus on that for most equity option traders.
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Thanks Bob. I'm happy to do my own backtesting but would like the bid-ask-mid price (and various greeks) at my particular the entry point. Likewise, the same for my exit point. I use different pieces of software for my system. I didn't think it would be *that* hard to find a good solution. With so many traders out there and so many 'trading teachers' out there, how can there be so few good options for trading software that has historical data?
 
Abundance Magnet said:
Any other suggestioins for software that has intra-day data?
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You can buy tick-level data for the US listed equity options for something like 50k these days. It's a lot of data and it's very hard to handle. However, what really makes it unwieldy is the fitting forwards (vendors don't do that for EOD data well enough), fitting the volatilities, calculating proper greeks etc. Then there is a question of storing and retrieving all that stuff, which is also pretty annoying.

IMHO, you are better off assuming some reasonable dynamics of volatility and use intra-day underlying prices if you really want to simulate your intra-day stops or whatever you are doing.

For US listed equity, CBOE livevol has a reasonably good EoD dataset (4.5k for the full history and something like a grand a year for updates). It includes a 3:45 snap and a closing snap, which is nice for a variety of reasons. If you really want quality volatilities (you know, where puts and calls have the same vols at the same strike etc), you have to do your own fitting (with borrows, implied dividends etc) which is a pretty big project in itself. But if you spend the time, you can do all sort of fancy stuff :)
 
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