I'm working on a strategy that's dependent on pricing spreads (specifically straddles) across Equity Options. But i'm having trouble identifying where to start for two reasons.
1. I'm not sure the best way to get time/sales option data (can i get awawy with using IB or TOS APIs to stream the fills of options?) or do i need something more like iqfeed?
2. Once I do in fact start streaming time/sales from a feed, how easy is it to identify when straddles trade in the data?
Any documentation or ideas on this would be greatly appreciated. Cheers!