Hi all! I just ran across your product, and I'm very excited that it seems like it checks almost all the boxes for what I need for my testing and trading. I'm mostly in the options space, and I'm also a professional C# developer so I have no problem working in code. The one gap (and it seems to be a long-standing one) is the availability of historical intraday contract data. Brokers (and even data providers like IQFeed) don't provide data for expired contracts. Have you ever evaluated services like ThetaData or Databento for this data?
ThetaData in particular seems like it could work, as the Standard subscription gets you 8 years of historical contract quote and trade tick data, including first order greeks, for what I think is a very reasonable price considering the alternatives.
Irrespective of that, I've watched some of your videos where you hammer in that IBKR is the best source for option data because you can create a midpoint quote feed/chart. If I had historical contract quote data from some other source, is it possible to create the same kind of feed/chart from that data? Sorry if this is a silly question, I'm trying to put all the pieces together in my head to see how this could all work end-to-end.
Thanks, and kudos on what looks like a great product!
ThetaData in particular seems like it could work, as the Standard subscription gets you 8 years of historical contract quote and trade tick data, including first order greeks, for what I think is a very reasonable price considering the alternatives.
Irrespective of that, I've watched some of your videos where you hammer in that IBKR is the best source for option data because you can create a midpoint quote feed/chart. If I had historical contract quote data from some other source, is it possible to create the same kind of feed/chart from that data? Sorry if this is a silly question, I'm trying to put all the pieces together in my head to see how this could all work end-to-end.
Thanks, and kudos on what looks like a great product!
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... I'm ... a professional C# developer so I have no problem working in code. The one gap ... is the availability of historical intraday contract data.... Have you ever evaluated services like ThetaData or Databento for this data?
As a professional C# developer, have you thought about writing a HistoricalDataProvider extension for WL for ThetaData or Databento? I assume you're good with REST endpoints (and WebSockets).
https://www.wealth-lab.com/Support/ExtensionApi/HistoricalDataProvider
And you can probably host (sell) your extension implementation on the WealthLab website (but you should talk to the WL development team about that, which is not me).
IB provides a historical implied volatility series (IV) that you can access by added the "_IV" suffix to any optionable symbol. Pass that as the IV series to OptionSynthetic.GetHistory(), you'll get a close approximation for the option prices near ATM. There's an example in the Help (F1) > Extensions > Interactive Brokers. You need the IB broker extension for that topic to appear.
Re: the other services - probably not in the cards. You should work on that one yourself.
Re: the other services - probably not in the cards. You should work on that one yourself.
Sure I thought about it, but I’m only in the beginning stages of working with this platform. Maybe there was some fundamental reason those sources wouldn’t work that had already been investigated. Sounds like it’s really just a lack of demand and need, from Cone’s response. I haven’t looked into how well the synthetic contracts would work for my use cases yet, this is all just me covering bases to see what’s possible.
Writing a historical data provider for ThetaData would be an interesting exercise regardless. Maybe I’ll try my hand at it as a learning experience, if nothing else.
Writing a historical data provider for ThetaData would be an interesting exercise regardless. Maybe I’ll try my hand at it as a learning experience, if nothing else.
I'd be extremely interested in this kind of plugin. Relative to IQFeed, which I paid many years worth without getting nearly enough value out of, this kind of a plugin (as well as a data aggregator, taking feeds from many sources, such as appending more data into a library, if it could capture live data from a free source, such as Schwab or IBKR, and allow for sporadic "cord-cutting" for additional cost savings). Best of luck trying to build the plugin, let us know how you fare.
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