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mathpaquette / IQFeed.CSharpApiClient

IQFeed.CSharpApiClient is fastest and the most well-designed C# DTN IQFeed socket API connector available
MIT License
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Historical Expired Options Volume #28

Closed veng1 closed 5 years ago

veng1 commented 5 years ago

Historical Options do not seem to include volume and open interest. Can they be made available?

mathpaquette commented 5 years ago

Sure, you can get it using Historical Daily request. Something like this: var dailyMessages = await lookupClient.Historical.ReqHistoryDailyDatapointsAsync("AAPL", 100);

veng1 commented 5 years ago

Actually, I'd like it minute by minute to scan for large block trades. That often indicates big players are taking an option position in advance of an event.

mathpaquette commented 5 years ago

Sure, I know what you trying to achieve but unfortunately I don’t think IQFeed is providing Open Interest other than Daily request. I’m just the owner of this library. Please ask to support@iqfeed.netmailto:support@iqfeed.net and let me know if there’s another way!

Mathieu

From: veng1 notifications@github.com Sent: October 4, 2018 8:48 AM To: mathpaquette/IQFeed.CSharpApiClient IQFeed.CSharpApiClient@noreply.github.com Cc: Mathieu Paquette m.paquette@inovitex.com; State change state_change@noreply.github.com Subject: Re: [mathpaquette/IQFeed.CSharpApiClient] Historical Expired Options Volume (#28)

Actually, I'd like it minute by minute to scan for large block trades. That often indicates big players are taking an option position in advance of an event.

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veng1 commented 5 years ago

Please look at: API Doc Historical via TCP/IP ->Result Format for HIX, HID, and HIT requests Note: Total Volume and Period Volume. They both return integers Of course, the doc is not always correct.

I was able to retrieve this data using ver 5 protocol. As an example, VXX1019F20_Min.csv:

Time Stamp,High,Low,Open,Close,Total Volume,Period Volume,Number of Trades 2010-05-28 12:14:00,8.50,8.50,8.50,8.50,20,20,0, 2010-05-28 12:18:00,8.50,8.50,8.50,8.50,50,30,0, 2010-05-28 12:38:00,8.70,8.70,8.70,8.70,55,5,0, 2010-05-28 12:39:00,8.70,8.70,8.70,8.70,100,45,0, 2010-05-28 13:17:00,8.60,8.60,8.60,8.60,110,10,0, 2010-06-01 14:18:00,9.20,9.10,9.20,9.10,6,6,0,