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Is there a way to get historical options data?
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Is there a way to get historical options data?

  #1 (permalink)
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Is there a way to get historical options data?

I looked at the TOS interface for a friend and found out that there is a way to get live data to Excel via DDE, but I do not see a way (ThinkScript?) to write historical data from thinkBack out to a .csv file for analysis. Anyone know if it can be done?

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  #2 (permalink)
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Do you have IQFeed? I get historical "last" data for active options in Ninja Trader via IQFeed. Below a chart showing EFA and and the EFA June 58 Call. You can export any data you can chart in Ninja to csv using some of the tools here.

Historical Bid/Ask or full depth for options is something I've seen for sale, but not for free.

Options are not technically supported in Ninja Trader but you can set them up in Instrument Manager if you know the symbol and have a bit of patience.

I have TOS and I never tried to pull any historical data out of it as I didn't think it was supported.

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  #3 (permalink)
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MXASJ View Post
Do you have IQFeed? I get historical "last" data for active options in Ninja Trader via IQFeed. Below a chart showing EFA and and the EFA June 58 Call. You can export any data you can chart in Ninja to csv using some of the tools here.

Historical Bid/Ask or full depth for options is something I've seen for sale, but not for free.

Options are not technically supported in Ninja Trader but you can set them up in Instrument Manager if you know the symbol and have a bit of patience.

I have TOS and I never tried to pull any historical data out of it as I didn't think it was supported.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

Thanks for the info.

No, I do not have IQFeed, but it looks interesting. I was hoping to be able to pull some history out of ToS but I guess they deliberately lock it up so you can't.

Will take a look at IQF when I get some time. Thanks for the lead.

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  #4 (permalink)
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Just to follow up... IQFeed has the same history for options (for currently trading contracts) as it does for other symbols. 120 days of trades which includes Trade price, size, bid and ask price at the time of the trade, and trade time. Intraday n-minute bars include OHLCV going back several years. IQFeed's built in DDE server allows access to the stream, but you will need a 3rd party app or our API to get the historical data. For 3rd party apps, take a look at QCollector, QuoteCore, XLQ or QuoteIN.

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You can also get historical options data from http://www.ivolatility.com

Vroomy

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You can't really do it with Thinkscript. But you can save historical options data from Thinkback by clicking through each day for each symbol you need. You can also automate the whole process by downloading some kind of an Autoclicker freeware (there are lots of them) which would click the buttons for you. I did get 2 years' worth of data for RUT this way. But then you have go through your data and find invalid or empty bid/ask prices and fix them. Luckily Thinkorswim's data is pretty neat - there are almost no invalid prices.

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GorSvet View Post
You can't really do it with Thinkscript. But you can save historical options data from Thinkback by clicking through each day for each symbol you need. You can also automate the whole process by downloading some kind of an Autoclicker freeware (there are lots of them) which would click the buttons for you. I did get 2 years' worth of data for RUT this way. But then you have go through your data and find invalid or empty bid/ask prices and fix them. Luckily Thinkorswim's data is pretty neat - there are almost no invalid prices.

I use a ToS proprietary options calculation (Probability of Touching) and settled on this method of collecting historical data. I process the data with a PHP program to gather my statistics, monitor my trading and do back testing.

For real time data, I attempted to obtain an API (application programmers interface) account but they stopped providing them with the merger with TD Ameritrade. I was further advised that the program would likely be discontinued for retail accounts.

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  #8 (permalink)
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Historical options data


Tarkus11 View Post
I looked at the TOS interface for a friend and found out that there is a way to get live data to Excel via DDE, but I do not see a way (ThinkScript?) to write historical data from thinkBack out to a .csv file for analysis. Anyone know if it can be done?


I had used MarketXLS. It works for me great.

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