Closed veng1 closed 5 years ago
Sure, you can get it using Historical Daily request. Something like this: var dailyMessages = await lookupClient.Historical.ReqHistoryDailyDatapointsAsync("AAPL", 100);
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.
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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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,
Historical Options do not seem to include volume and open interest. Can they be made available?