Select your own custom interval from 1 minute to End-of-day, NBBO market quote and size are captured in every snapshot along with open, high, low, close and trading volume. In addition to NBBO markets, the BBO of each individual exchange is included in the data set. Underlying bid and ask prices are included at it interval for your reference.
Fields include:
- 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
- Number Of Exchanges
- Exchange
- Bid Size
- Bid
- Ask Size
- Ask