Select your own custom interval from 1 minute to end-of-day. National Best Bid and Offer (NBBO) market quote and size are captured in every snapshot along with open, high, low, close and trading volume. Underlying bid and ask prices are included at each interval for your reference. Covers U.S. Stock, ETF, and Index securities with listed options during Regular Trading Hours (RTH).
Subscription:
Intraday deliveries are posted on the customer SFTP site approximately 15 minutes after a given snapshot is recorded (Example: 9:45AM snapshot will be delivered around 10:00 AM).
For overnight delivery, a file will post daily late night/early morning
Historical Data:
Available from 2004 to present
One file per day or month depending on your file grouping selection. Monthly grouping may not be available for orders with a large number of symbols.
Fields:
- Underlying Symbol
- Quote Datetime
- Root
- Expiration
- Strike
- Option Type
- Open
- High
- Low
- Close
- Trade Volume
- Bid Size
- Bid
- Ask Size
- Ask
- Underlying Bid
- Underlying Ask
If Include Calcs selected:
- Implied Underlying Price
- Active Underlying Price
- Implied Volatility
- Delta
- Gamma
- Theta
- Vega
- Rho
If Include Open-Interest selected:
- Open Interest
