Realtime Data feed for Implied volatility

Discussion in 'Data Sets and Feeds' started by rohan2008, Sep 16, 2020.

  1. rohan2008

    rohan2008

    Hi,

    I am working on a strategy that requires IVol (7-30 days) as the input along with other features.

    Are there any data feed vendors that can stream IVol data in realtime with the following requirements:

    1. C api only so that I can directly integrate it into my trading system. IVolatility.com is great, but they don't offer a C-api.

    2. Any ideas about retail vs institutional feeds in this space? https://www.dxfeed.com/ seems to provide it.... is this retail? How expensive is it going to be? I shall call them anyway, but curious if anyone has experience with dxfeed?

    3. The last option is to get OPRA data from NxCore and compute IVol myself. I have to brush up some math; but how complex is it to compute IVol from OPRA data from a technical sense? First off all is this even considered to be retail space (one man trader army)?

    4. I am not interested in volatility surface; all I need are ATM IVol and call/put skew ratios.

    Appreciate any insights/pointers/suggestions...

    thanks,
     
  2. thecoder

    thecoder

    How many underlyings (ie. stocks etc.) are there that you need for your trading?
    Which data do you already have or get from other sources?
    For ATM IV calculation the following data are required:
    Spot (ie. stock price), Call Premium and/or Put Premium, remaining time of the option (aka DTE), risk-free-rate (aka earnings yield), dividend yield.
    If you have these data then you can calculate IV yourself in your program.
     
    Last edited: Sep 16, 2020
    rohan2008 likes this.
  3. wave

    wave

  4. narafa

    narafa

    You are better off calculating what you need instead of buying it, it will be easier, cheaper and more suited to your needs. Just my opinion.
     
    algoseek, thecoder and rohan2008 like this.
  5. rohan2008

    rohan2008

    I would like to start with say 5 instruments and add more as time goes on. I use my system to trade futures. I am looking at the possibility of using ivol (QQQ, GLD, SPY etc) to trade both the underlying etfs as well as the corresponding futures if they exist.

    I currently get my futures data from Rithmic.

    This is very helpful. Any pointers to where I can get this info real time.

    thanks
     
  6. thecoder

    thecoder

    Sorry, I don't understand what you mean. Which info do you mean?
     
  7. rohan2008

    rohan2008

    Hi @thecoder ,

    My apologies; I am a newbie in options, learning things as I go and so these novice questions; please bear with me :)

    I need IVol data for a strategy that I am working on.

    Ideally, I would like to live stream IVol data from a source such as IVolatility.com into my trading system since it would save me a lot of timeā€¦ but looks like the options are limited and expensive.

    The other alternative is to get the following data (that you have mentioned) and calculate ATM IV myself:
    • stock price
    • Call Premium and/or Put Premium
    • remaining time of the option (aka DTE)
    • risk-free-rate (aka earnings yield)
    • dividend yield
    My question is, are there any good data feeds for equities that can provide this info: I heard NxCore (opra) does.. not sure about the quality of IQFeed wrt options & derivates (please correct me). DxFeed is an unknown entity in the elitetrader community. Any insights can help.

    thanks,
     
  8. thecoder

    thecoder

    @rohan2008, I think IB ( https://www.interactivebrokers.com/en/index.php?f=14193 ) is a good choice, but there are also others, f.e. DTN IQfeed ( https://www.iqfeed.net/ ), as well IEX ( https://iextrading.com/trading/market-data/ ), ....
    But you need to be programmer to be able to use their API for such data retrieval.

    And: there are also some free data providers like Yahoo Finance ( https://finance.yahoo.com/quote/AMD/options?p=AMD ), but that usually means at least 15 minutes delayed data (when getting the data programmatically via API) and they are usually not that "clean" or reliable...

    Check also this posting https://www.elitetrader.com/et/threads/new-modern-options-strategy-builder.349478/ for https://www.waffles.finance/
     
    Last edited: Sep 17, 2020
    rohan2008 likes this.
  9. You can get stock price, call and put premium, DTE, and dividends with a free brokerage account at Tradier. Streaming limits are around 1,250 symbols (counting both underlying + the options you need), beyond that you might need a specialized data provider or a full feed like NxCore.

    Stock price and premiums: https://documentation.tradier.com/brokerage-api/overview/streaming
    DTE/Chains: https://documentation.tradier.com/brokerage-api/markets/get-lookup-options-symbols
    Dividends: https://documentation.tradier.com/brokerage-api/markets/fundamentals/get-dividends

    APIs are HTTP and WebSocket, so you can write clients in any language.
     
    rohan2008 likes this.
  10. rohan2008

    rohan2008

    This is very helpful.... thanks....

    but curious... I have been seeing data feed offerings with websockets these days... how efficient is a websocket channel for realtime feed? How does it compare with sometime like UDP in terms of latency?
     
    #10     Sep 17, 2020