Join the 80,000 other DTN customers who enjoy the fastest, most reliable data available. There is no better value than DTN!

(Move your cursor to this area to pause scrolling)




"I just wanted to say how happy I am with your service. I was able to download the API docs last week and I was able to replicate Interactive Brokers historical bar queries and realtime bar queries over the weekend. That was about one of the fastest integrations that I've ever done and it works perfectly!!!!" - Comment from Jason via Email
"I have been using IQFeed now for a few years in MultiCharts and I have zero complaints. Very, very rare to have any data hiccups or anything at all go wrong." - Comment from Public Forum
"If you want customer service that answers the phone, your best bet is IQFeed. I cannot stop praising them or their technical support. They are always there for you, and they are quick. I have used ****** too but the best value is IQFeed." - Comment from Public Forum
"Thank God for your Data Feed as the only Zippers I see are on my pants (LOL), and no more 200 pip spikes to mess up charts." - Comment from Spiro via Email
"Thanks for all of your help. Great customer service deserves to be recognized which one the reasons I've been a customer of DTN for over 10 years!" - Comment from Stuart
"Just a thank you for the very helpful and prompt assistance and services. You provided me with noticeably superior service in my setup compared to a couple of other options I had looked at." - Comment from John
"I've been using Neoticker RT with IQFeed for two months, and I'm very happy with both of the products (I've had IQFeed for two years with very few complaints). The service from both companies is exceptional." - Comment from Public Forum
"Interactive Brokers tick data was inconsistent, so I have switched to using DTN exclusively. It is great to no longer have to worry about my datafeed all day long." - Comment from Philippe
"I noticed that ******* quotes locked up shortly after the interest rate announcement yesterday while yours stayed stable." - Comment from Ron in Utah
"I had always used ******* but for the past 2 weeks have been trying DTN IQFeed. Customer support has been extraordinary. They call just to make sure your problem hasn't recurred." - Comment from Public Forum
Home  Search  Register  Login  Recent Posts

Information on DTN's Industries:
DTN Oil & Gas | DTN Trading | DTN Agriculture | DTN Weather
Follow DTNMarkets on Twitter
DTN.IQ/IQFeed on Twitter
DTN News and Analysis on Twitter
»Forums Index »Product Support »Data and Content Support »Open Interest with Historical Options Data?
Author Topic: Open Interest with Historical Options Data? (8 messages, Page 1 of 1)

manish
-Interested User-
Posts: 6
Joined: Dec 24, 2020


Posted: Dec 24, 2020 02:31 PM          Msg. 1 of 8
Hi,

I am looking to build up historical options dataset for backtesting.
I am using HIT (v6.1) to collect 5 min data on option symbols. But I don't think it provides Open Interest or Bid/Ask for non trades, is there something else I should be using for the task at hand instead of HIT?

Thanks,
Manish

stargrazer
-DTN Guru-
Posts: 270
Joined: Jun 13, 2005

Right Here & Now


Posted: Dec 24, 2020 09:41 PM          Msg. 2 of 8
Bid/Ask for non trades is not available on any symbol, option or equity.

If you are back testing on that kind of high frequency data, you probably don't really need a lot of history.

I simply run collections on bid/ask/trade info live during market hours. I store that each day. There is much info.

I can then back test as needed on the details collected.

On the other hand, I'll typically build models, then run them real time on paper trading. It provides a true real-time high-frequency experience. Or as close to true, as paper-trading can supply (some slipped and unmet orders).

DTN_Stephen
-DTN Guru-
Posts: 358
Joined: Aug 22, 2014


Posted: Dec 28, 2020 06:15 AM          Msg. 3 of 8
We do not save historical Open Interest or bid/ask data for quotes. These can be captured live and saved in a database on your side however.

Stephen Shockey
Senior Customer Support Representative and Product Support Specialist

DTN
800-779-7299
support@iqfeed.net

manish
-Interested User-
Posts: 6
Joined: Dec 24, 2020


Posted: Jan 3, 2021 09:30 PM          Msg. 4 of 8
Thanks Stargrazer,

My Stock strategies trades once everyday at the market open and utilize the EOD data.

For my options I was collecting bid/ask at a 60 min interval from IBKR but it was too slow and trading 10-15 min before the market close. Can you please share the command that you use for "bid/ask/trade info", also is there a way to get that info all the symbols in one request like market summary??

Thanks

manish
-Interested User-
Posts: 6
Joined: Dec 24, 2020


Posted: Jan 3, 2021 09:30 PM          Msg. 5 of 8
Thanks Stargrazer,

My Stock strategies trades once everyday at the market open and utilize the EOD data.

For my options I was collecting bid/ask at a 60 min interval from IBKR but it was too slow and trading 10-15 min before the market close. Can you please share the command that you use for "bid/ask/trade info", also is there a way to get that info all the symbols in one request like market summary??

Thanks

stargrazer
-DTN Guru-
Posts: 270
Joined: Jun 13, 2005

Right Here & Now


Posted: Jan 3, 2021 10:50 PM          Msg. 6 of 8
Not sure by what you mean by 'but it was too slow'. But that would typically be how you would get the bid/ask, is by 'watching' the bid/ask/trade stream.

Run the 'w' with a symbol in IQFeed to obtain the live stream. You can then extract the bid/ask/trade information from this live stream.

manish
-Interested User-
Posts: 6
Joined: Dec 24, 2020


Posted: Jan 3, 2021 10:55 PM          Msg. 7 of 8
No I get that I would get the bid/ask by watching, but using the IBKR API I took me a long time to request the data for the entire option chains of 500 or so stocks.

I don't want to request or watch them "One Symbol" at a time, is there a way to watch the whole OPRA at any given instant?? That is I get the snapshot of the whole market and go to working figuring out what is of interest to me before I ask for anything else?
Edited by manish on Jan 3, 2021 at 10:56 PM

manish
-Interested User-
Posts: 6
Joined: Dec 24, 2020


Posted: Jan 3, 2021 11:27 PM          Msg. 8 of 8
Actually nevermind "5MS" already has BID/ASK...I just wasn't seeing all the columns....classic rookie mistake.
 

 

Time: Wed April 21, 2021 5:50 AM CFBB v1.2.0 15 ms.
© AderSoftware 2002-2003