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| »Forums Index »Product Support »Data and Content Support »Open Interest with Historical Options Data? | 
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| 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 |
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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). |
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DTN_Stephen -DTN Guru- Posts: 358 Joined: Aug 22, 2014 
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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 |
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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 |
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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 |
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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. |
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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 |
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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.
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