Interesting

[Denebulas]

I am interested. did you run it? I could host it in a server.

[1rocketdude]

I finally got my act together and set up a share folder where I can put my option chain archive. The public link for the folder of option chains is https://drive.google.com/open?id=1a7afPF3k-I0kjA3aybJWR1-rIQTNK_ef https://drive.google.com/open?id=1a7afPF3k-I0kjA3aybJWR1-rIQTNK_ef. The data source is e-trade's API.

Each zip file in the directory contains the complete end-of-day option chains for all the symbols I track for every trading day, going back 14 months at this point. Each zip file contains roughly 700 JSON formatted files, one for each tracked symbol, which contains all the chains (puts and calls) for that day. Any programming library should be able to ingest the JSON file into your analysis software of choice, whence you can see what fields are available for the chains and the underlying end-of-day symbol.

I create a new zip file each trading day and add it to the folder around midnight GMT. Each zip file is about 13 MB, so once you have the whole directory of files, the incremental increase is only a small amount.

let me know what you think. Of the 700-ish symbols that I track daily, I cover the S&P and the NASDAQ-100 plus a smattering of interesting symbols. If you want me to add to the list, send me a reasonably-sized list and I'll see what I can do to accommodate. Downloading all these chains takes a bit of time and I'm sure there's some limit when e-trade cuts me off.

On Apr 10, 2020, at 12:35 AM, Denebulas notifications@github.com wrote:

I am interested. did you run it? I could host it in a server.

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[Denebulas]

Sorry. my reply got lost... That's great ! Thank you ! Having high/low of the day would be useful but I know that it's probably not possible... Could you add: VXX,HYG,EMB,FXI,SPXU,LQD,TNA,SVXY,SHY,EWG those are liquid and interesting ETFs

[1rocketdude]

sorry - high/low are not in the available data. It's truly just end of day values.

sure thing on the extra symbols. Look at the file for April 21st; they should make it in there.

On Apr 18, 2020, at 2:31 PM, Denebulas notifications@github.com wrote:

Sorry. my reply got lost... That's great ! Thank you ! Having high/low of the day would be useful but I know that it's probably not possible... Could you add: VXX,HYG,EMB,FXI,SPXU,LQD,TNA,SVXY,SHY,EWG those are liquid and interesting ETFs

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[Denebulas]

Thank you ! Some other stocks with decent chains:(not important) BG,LYFT,UBER,BBBY,PLAY,GME,SINA,GES Did you write a backtester ? or how do you use the data if I may ask ?

[1rocketdude]

download the folder https://drive.google.com/open?id=1a7afPF3k-I0kjA3aybJWR1-rIQTNK_ef

I update it daily. Zipfile for each day, with a JSON file for each symbol. You'll have to find your own software to load the JSON data - in python, it's a single line of code. I added the stocks you requested.

On Fri, Apr 10, 2020 at 7:35 AM Denebulas notifications@github.com wrote:

I am interested. did you run it? I could host it in a server.

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[Denebulas]

In the past I wrote an option backtester for a company. I could rewrite it for myself. if someone wishes to cooperate my e.mail is gabrev (gmail)