The ORATS thread

Are you now calculating all the Earnings variables from Quandl ORATS data, and avoiding going to ORATS direct? Sounds like a bit of a concern about ORATS calculated earnings variables, considering that pros "may" be using it
 
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Adam777 said:
Are you now calculating all the Earnings variables from Quandl ORATS data, and avoiding going to ORATS direct? Sounds like a bit of a concern about ORATS calculated earnings variables, considering that pros "may" be using it
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I use both the Quandl and ORATS direct. The quandl data base is historical data and has a 1 day lag. Orats API is todays data. The problem I was having with orats is some of their earnings dates are wrong (it's hard to get them all right considering the 5000 equities they look at). This was throwing some of my calculations off. I have avoided using their earnings dates and all is right with the world.
 
TheBigShort said:
Ps. If you are just looking for historical options data. This is the best thing you can buy in my opinion for under $50 https://www.quandl.com/data/OPT-ORATS-Option-Volatility-Surfaces
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Hi,

I've looked into this link, I found a lot of volatility data (as the name implied) but no "historical option data"

Do you know any reliable source of historical daily settlement prices of US options?

PS I know "settlement price" is not a traded price, but it's what I'm looking for my current project.
 
TheBigShort said:
Quandl Orats has that.
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Hi BigShort,

thanks for the feedback and for your contributions to this forum.

I'm sure ORATS has the data, but I wonder "where" (that is ... in which package)

As I access the sample data of the package you linked, I see the following fields (hope Matt doesn't feel hurt by reporting this)... plenty of vol data, but no option prices....
 

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TheBigShort said:
I use both the Quandl and ORATS direct. The quandl data base is historical data and has a 1 day lag. Orats API is todays data. The problem I was having with orats is some of their earnings dates are wrong (it's hard to get them all right considering the 5000 equities they look at). This was throwing some of my calculations off. I have avoided using their earnings dates and all is right with the world.
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We have fixed this. If you see anything off, let me know.
 
How did you fix "that" and what exactly did you fix? I think as a prospective interested party I would like to know in detail what I am getting. If dividends and other CAs are not correctly captured then the product is of questionable value because pricing will be way off. The entire point of trading Volatility is the belief of a trader in the superiority of his/her own model. Hence, I don't use others' pricing nor surfaces. Can you please comment in depth on the CA database and how you obtain and cleanse data, preferably with the source of your CA data.

Matt_ORATS said:
We have fixed this. If you see anything off, let me know.
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M.W. said:
How did you fix "that" and what exactly did you fix? I think as a prospective interested party I would like to know in detail what I am getting. If dividends and other CAs are not correctly captured then the product is of questionable value because pricing will be way off. The entire point of trading Volatility is the belief of a trader in the superiority of his/her own model. Hence, I don't use others' pricing nor surfaces. Can you please comment in depth on the CA database and how you obtain and cleanse data, preferably with the source of your CA data.
More...
We have a few feeds to check our main corporate actions feed from Wall St Horizon.
We sell our dividend feed to exchanges, funds, banks, and individuals.
The fix we did was how we database earnings dates that have passed. We had an issue when companies had changed their announcement date near earnings. The production calculations that used these CAs were correct, it was just in how we stored the date if it had changed was not correct.
 
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