is there any extension that is able to download historical option data?
Author: wbzhang
Creation Date: 10/31/2011 3:31 PM
profile picture

wbzhang

#1
I am trying to download some option data for simulation. Is it possible to download these data with WL? thanks..
profile picture

Cone

#2
Of course it's possible. Here's the procedure:

1. Find a free source that offers these data.
2. Eugene will create an adapter for it in about 15 minutes.
profile picture

wbzhang

#3
thanks... Haven't found a free source so far.

But if I have a paid account for some option data providers, could Eugene create the WL adapter easily as well?
profile picture

Eugene

#4
Cone

:)

wbzhang

Actually we do have a historical option data feed - and it's QuoteMedia static provider

Option symbols should be wrapped in double quotes because they contain (multiple) spaces. For instance, 2011 Dec 17 16,00 Call for GENERAL ELECTRIC CO:

@GE 111217C00016000

should be entered as "@GE 111217C00016000" when creating a new DataSet. (There are 4 spaces in the symbol name but the forum ate them.)

For more information re: symbol lookup see the provider's online help page in the Wiki.
profile picture

wbzhang

#5
Thanks, this is very helpful.

I tried the provider, it requires WL 6.2. Now I am using WL 6.1 since there are some known bugs with NamedSeries which makes lots of problems for "single symbol simulation". Later I rolled back to WL 6.1

Do you have the QuoteMedia provider for WL 6.1?
profile picture

Eugene

#6
Unfortunately, no.
profile picture

BigReturns

#7
Sorry to reopen this discussion but are there better historical data providers than Fidelity and QM?

Here is an example:
"@COST 131227C00124000" through QM provides 2 days of history.

"-COST131227C124" through Fidelity provides 11 days of data.

I know there is more data out there on what is listed.