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よって dubois4and | 更新済み 2 months ago | Finance
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Historical intraday options data

Rapid account: Artemiit 137
artemiit137
a year ago

Hello.
I need to download all historical time series for ALL options for last year.
Can I do it through your API or directly buy it?

Rapid account: Artemiit 137
artemiit137 Commented a year ago

Can I receive 15 min time series using it?

Rapid account: Dubois 4 And
dubois4and Commented a year ago

That’s a huge amount of data that can’t be retrieved in a single API call. You’ll need to do the following for each ticker:

the expiration is easy to compute. It’s the third Friday of each month. For the strike price, it’s vary depending on the market price of the underlying. For lower priced stocks (usually $25 or less), intervals are at 2.5 points. Higher priced stocks have strike price intervals of 5 point (or 10 points for very expensive stocks priced at $200 or more). Index options typically have strike price intervals of 5 or 10 points. So for each third Friday of each month, you can build a array of strikes with a predefined interval, e.g, [50, 55, 60, …]. With these parameters, you can loop through the API and get the data.

So programatically (python), you would something like:

for date in [3rdFriday1, 3rdFriday2, 3rdFriday3, …]:
for exp in range(50, 300, 2.5): # step of 2.5, 5 or 10 etc
historicalprice(exp, date)

We can help you if you want.

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