Does Fidelity provide intraday option data?
Author: maximgl
Creation Date: 2/28/2018 3:08 PM
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maximgl

#1
Is it possible to get reliable options data in WealthLab?
I was able to enter something like -AAPL180316C180 in the chart, however, it only works on the Daily scale - when I try to change it to 5 minute scale.
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Eugene

#2
So, if you create a 5-minute DataSet with this symbol and update it manually would this work?
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maximgl

#3
Nevermind, it was me not enabling "On Demand Data Updates"
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maximgl

#4
Eugene, thank you for your reply - it works now.
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maximgl

#5
One more question - is it possible to get historic data for options from Fidelity provider?
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Eugene

#6
For an active option symbol, the provider returns entire available data when you update the DataSet.
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maximgl

#7
But is it possible to get historical data for previous option chains (previous months) for the same ticker (and even better, merge them into a single dataset)? Otherwise, it might be difficult to test any strategy just on latest option.
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Eugene

#8
Not enough information (I don't work with WLP and Fidelity data). Try and let the forum know if you please.

On a general note, merging the binary symbol data like .WL isn't supported but nothing stops one from realizing it in a script-based solution:

1. Create the DataSet with the real option data symbols and one dummy to hold the merged data (it will be empty)
2. Import two (or more) of the "real" .WL files into separate Bars objects
3. Use the undocumented Bars.Append method to merge into one
4. Follow the QuickRef example for SaveToFile to save to the dummy symbol's file
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Cone

#9
QUOTE:
But is it possible to get historical data for previous option chains (previous months)
Not from Fidelity (or anywhere that I'm aware of).

There are dozens of option series for every symbol. The only real option for backtesting is to use Synthetic Option contracts. See Help > WealthScript Programming Guide > Programming Trading Strategies > Options Strategies
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Eugene

#10
Quotemedia may have something but don't quote me on that.
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maximgl

#11
Thank you guys for the leads, I will check Quotemedia provider.