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»Forums Index »Product Support »IQFeed Datafeed Wish List »Wish: Bid/Ask change data included in option history
Author Topic: Wish: Bid/Ask change data included in option history (5 messages, Page 1 of 1)

tadams
-Interested User-
Posts: 18
Joined: May 7, 2004


Posted: May 7, 2004 02:10 PM          Msg. 1 of 5
Might as well start off the wish list with this one:

If bid/ask change event data were included in the historical option data, it would eliminate my need for an all-day watch on dozens of symbols.

It has been hinted that this data will be available in the next patch..

DTN_Jay_Froscheiser
-VP, Product Operations-
Posts: 1746
Joined: May 3, 2004

DTN IQFeed/DTN.IQ/DTN NxCore


Posted: May 7, 2004 02:29 PM          Msg. 2 of 5
Quote: Might as well start off the wish list with this one:

If bid/ask change event data were included in the historical option data, it would eliminate my need for an all-day watch on dozens of symbols.

It has been hinted that this data will be available in the next patch..
--- Original message by tadams on May 7, 2004 02:10 PM
The next patch is going to provide the ability to access historical options data, but it won't include historical bid/ask events. Our intraday history only contains trades (we do store the bid/ask at the time of the trade) currently, and don't have any active development in progress to begin storing quote data as well. I recognize the value of adding this, especially for options, but the amount of "Quote" data received wouldn't fit within our current history server architecture.

I wouldn't rule it out, but it just isn't in the cards for the near future.

Jay

Jay Froscheiser
DTN Market Access, LLC.

tadams
-Interested User-
Posts: 18
Joined: May 7, 2004


Posted: May 7, 2004 02:46 PM          Msg. 3 of 5
Oops.. Looks like I selected the correct avatar.

I understand the volume of data would be a strain on any architecture. Maybe a more reasonable wish is the ability to watch an option chain instead of each symbol.

Nice forum software by the way..

Ted

DTN_Tim_Russell
-IQ Server Developer-
Posts: 41
Joined: May 3, 2004

DTN Market Access, LLC.


Posted: May 7, 2004 03:07 PM          Msg. 4 of 5
Now, this idea sounds interesting. How would you describe the differences between watching an option chain vs watching each individual option in an option chain?

Or perhaps you just mean a mechanism to automatically execute the watch on each symbol in an option chain?

Just curious.

Tim Russell
Software Engineer
DTN IQ & FinWin

tadams
-Interested User-
Posts: 18
Joined: May 7, 2004


Posted: May 7, 2004 04:09 PM          Msg. 5 of 5
We may be going in separate directions.. Detail follows..

For starters, overall datafeed impact: Presently your customers (including me) invoke a real-time watch on each individual option associated with an equity. Folks that are interested in option data generally use little bandwidth for those symbols as the number of 'ticks' are very low in the grand scheme of things. A tick is generated on bid/ask, OI, and actual trades.

If, for example, I wanted data on Microsoft's options I would have to perform a realtime watch on each option symbol. Needless to say that an IQFeed subscriber will quickly approach my 500 symbol limit.

Consider the number of ticks generated by the MSFT symbol itself. I estimate that is you sum all ticks generated by all child options, you'd land at a number less than a quarter of the parent's ticks.

The summary is that if you're interested in options, you essentially max out around 5 equity symbols (and use 1/50th of the bandwidth a person with maxxed out equity watches consumes).

The nature of options is that very few actual trades happen. With options, the valuable data is in the bid/ask prices. Unfortunately this data will not be available via the history mechanism and I'll have to continue real-time watches.

From a technical implementation viewpoint, it would be nice to submit a single watch request for the chain. This, in itself, is of little value because a properly motivated developer can just request the list of call and put symbols and add them his/herself.

The real value would come in terms of additional value developers could offer clients. Here's what I would really like:

- Start: Nothing watched.
- Watch a single option for MSFT (1/500 used)
- Watch a single option for XOM (2/500 used)
- Watch a second option for MSFT (2/500 used)
- Watch a Nth option for MSFT (2/500 used)

In effect, since volume is negligible the point system used to calculate number of watches doesn't penalize you for multiple watched options within a single equity.

I'd give up the above functionality in a heartbeat though if I could get this data historically.

Ted
Edited by tadams on May 7, 2004 at 04:11 PM
 

 

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