Getting raw real-time option data

[Vu Nguyen]

I have a project that requires real-time options prices (screening and then do other stuff). The services that I have found so far seem to show and update prices in their applications only. I will probably need to subscribe to some of these (those having try-it-free) to find out more. Does anyone know such (free or at affordable fee) services?

Thanks in advance.

 

[bob]

OPRA is the only one I've seen, which is a horrendous amount of data in a horrendous format, but actually gives intraday options bids and asks.

WRDS, which is available through the Baruch library website if you're a student here, may have intraday data, although I've only ever gotten daily close information from there.

Edit to Add:
It appears that OptionMetrics IvyDB, which is the database available through WRDS, doesn't have intraday data. So if you actually need the real-time stuff, OPRA is the way to go.

 

[rholowczak]

Hi Vu:

In the US, the Options Price Reporting Authority (OPRA) re-distributes the top of the book quotes/orders and trades for each of the US Options exchanges. You can read more on their web site (www.opradata.com). There are basically two ways you can work with this data in real time. First you can obtain the OPRA feed directly from SIAC likely through a third party vendor (listed on OPRAs web site). This is not for the faint of heart though. Currently they are projecting over 500 Mbps data rates by January 2010 so some sort of gigabit ethernet class service or multiple OC3's are required to take on the full feed. Lately we have seen peaks of over 1.1 million messages per second and peaks of over 5 billion messages per day. Another point already raised is that the currently the data format is compressed using OPRA FAST and once decoded is in an ASCII stream requiring a decent amount of parser work to handle properly. There are some feed handler vendors that will sell you this code if you do not want to built it yourself. The upside of this approach is that you will get every quote change and trade sent out by every exchange.

The second way is to obtain the feed through a data aggregator like Bloomberg or Reuters or a broker like IB or TradeStation, etc.. Note that some of these vendors may conflate the data by (for example) ignoring quote changes within a second. Essentially these consolidated feeds are mainly directed towards users viewing data on a screen. The upside here is that the data will come in a nice format accessible through an API and this will make your analysis work much easier. The downside is that (depending on vendor) you may wind up missing quote changes due to conflation.

At Baruch we have been capturing the full OPRA feed for a number of years (approaching 100TB now) and have developed a number of parsing and processing tools to support various research projects. To my knowledge we are the only institution offering research quality intra-day options data. If you'd like to take a closer look at the actual OPRA data, feel free to drop me an e-mail at: richard.holowczak@baruch.cuny.edu

Cheers,

Rich H.