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Note that you can't redistribute this data or generate income through it [0] per the Yahoo TOS [1]. Also note that Yahoo's data is somewhat unreliable [0, 2].

by _dvdu 10y ago

Note that you can't redistribute this data or generate income through it [0] per the Yahoo TOS [1]. Also note that Yahoo's data is somewhat unreliable [0, 2]. Unfortunately options data is just hard to get access to due to the agreements forced on providers by the exchanges. If you want to build a trading system on it without an institutional budget, the best options I've found so far are QuantConnect [3], which has paid for it and lets you build your system on their platform and OptionWorks [4], which you can pay $150 for and download all the data. You should be able to get a live feed from your broker after that. If you want it for academic research, many universities and colleges have access to much higher quality data. This should be fine for personal use though. [0]: https://meumobi.github.io/stocks%20apis/2016/03/13/get-realtime-stock-quotes-yahoo-finance-api.html https://meumobi.github.io/stocks%20apis/2016/03/13/get-realt... [1]: https://policies.yahoo.com/us/en/yahoo/terms/product-atos/apiforydn/index.htm https://policies.yahoo.com/us/en/yahoo/terms/product-atos/ap... [2]: https://seekingalpha.com/instablog/6052771-kevin-wrotenbery/2413952-is-yahoo-finances-historical-data-accurate https://seekingalpha.com/instablog/6052771-kevin-wrotenbery/... [3]: https://quantconnect.com https://quantconnect.com [4]: https://www.quandl.com/databases/OWCS https://www.quandl.com/databases/OWCS

Schweigi 10y ago
Another good source for option prices is: https://datashop.cboe.com https://datashop.cboe.com I would not recommend to use the Yahoo or Google apis to get option prices. Some of the bid/ask prices are completly wrong and some expiration dates are missing. I created an option scanner as a side project and found about this bad data quality the hard way.
- _dvdu 10y ago
  It's a good place to get solid data but it's quite expensive. EOD history for SPX alone is $250 apparently. All symbols are $2500 and my understanding is that this is just CBOE options? Is CME not in there?
  - matheweis 10y ago
    $250 is not bad... what does it include? iVolatility told me it would be ~$1000 for EOD chains + IV & Greeks since 1990 - just for SPX. CBOE is partners with iVolatility so I imagine their data is decent, but I can't bring myself to drop that much on it for a simple personal project.
    - Veratyr 10y ago
      With IV and greeks from 1990 is $384.62 apparently: https://datashop.cboe.com/option-quotes-end-of-day-with-calcs https://datashop.cboe.com/option-quotes-end-of-day-with-calc... Since CBOE is the exchange itself, I'd assume the quality of the data is at least the same as iVolatility, if not better.
imichael 10y ago
etrade also has a free API if you have an account: https://us.etrade.com/ctnt/dev-portal https://us.etrade.com/ctnt/dev-portal
- erikig 10y ago
  If you want to get more active, I'd recommend Interactive Brokers APIs: https://www.interactivebrokers.com/en/index.php?f=1325 https://www.interactivebrokers.com/en/index.php?f=1325 Ditto for TDAmeritrade but their forums are not very active. http://apiforums.tdameritrade.com/ http://apiforums.tdameritrade.com/
  - matheweis 10y ago
    TDAM's API is a little weak on options. Although you can pull the entire option chain for almost any stock during trading hours, that's about all you can do. There's no historical data or realtime streaming, and there is a rate limit of some kind. For stocks (not options), they took it to the next level, and you can stream price/volume data in psuedo realtime. I think you can also pull EOD data on stocks (not options) going back pretty far.
matheweis 10y ago
How's the data quality of OptionWorks? Do they have the indicies? I bought several years of EOD data for SPX from https://www.historicaloptiondata.com/ https://www.historicaloptiondata.com/ and found it to be of only moderate quality. (Charting some of the data on multiple dimensions makes the stuff that is padded stick out like a sore thumb... I ended up tossing about 20% of the data).
- Veratyr 10y ago
  Can't say I'm afraid, I personally ended up building everything on QuantConnect.

by _dvdu 10y ago

Schweigi 10y ago

Another good source for option prices is: https://datashop.cboe.com https://datashop.cboe.com I would not recommend to use the Yahoo or Google apis to get option prices. Some of the bid/ask prices are completly wrong and some expiration dates are missing. I created an option scanner as a side project and found about this bad data quality the hard way.

_dvdu 10y ago
It's a good place to get solid data but it's quite expensive. EOD history for SPX alone is $250 apparently. All symbols are $2500 and my understanding is that this is just CBOE options? Is CME not in there?
- matheweis 10y ago
  $250 is not bad... what does it include? iVolatility told me it would be ~$1000 for EOD chains + IV & Greeks since 1990 - just for SPX. CBOE is partners with iVolatility so I imagine their data is decent, but I can't bring myself to drop that much on it for a simple personal project.
  - Veratyr 10y ago
    With IV and greeks from 1990 is $384.62 apparently: https://datashop.cboe.com/option-quotes-end-of-day-with-calcs https://datashop.cboe.com/option-quotes-end-of-day-with-calc... Since CBOE is the exchange itself, I'd assume the quality of the data is at least the same as iVolatility, if not better.

imichael 10y ago

etrade also has a free API if you have an account: https://us.etrade.com/ctnt/dev-portal https://us.etrade.com/ctnt/dev-portal

erikig 10y ago
If you want to get more active, I'd recommend Interactive Brokers APIs: https://www.interactivebrokers.com/en/index.php?f=1325 https://www.interactivebrokers.com/en/index.php?f=1325 Ditto for TDAmeritrade but their forums are not very active. http://apiforums.tdameritrade.com/ http://apiforums.tdameritrade.com/
- matheweis 10y ago
  TDAM's API is a little weak on options. Although you can pull the entire option chain for almost any stock during trading hours, that's about all you can do. There's no historical data or realtime streaming, and there is a rate limit of some kind. For stocks (not options), they took it to the next level, and you can stream price/volume data in psuedo realtime. I think you can also pull EOD data on stocks (not options) going back pretty far.

matheweis 10y ago

How's the data quality of OptionWorks? Do they have the indicies? I bought several years of EOD data for SPX from https://www.historicaloptiondata.com/ https://www.historicaloptiondata.com/ and found it to be of only moderate quality. (Charting some of the data on multiple dimensions makes the stuff that is padded stick out like a sore thumb... I ended up tossing about 20% of the data).

Veratyr 10y ago
Can't say I'm afraid, I personally ended up building everything on QuantConnect.