alexveden
commented
6 years ago we would like to be able to build histories of settlements from other exchanges (ie EUREX, ICE Europe).
Is that possible to find the historical list of expirations and strikes for these exchanges? I can generate it, but if it's possible, it's better to use the original one.
As I said, the data is available up to 7 years but the biggest problem with options, that the IQFeed doesn't provide the historical tickers lists for them. The only way is to build own list and use it for historical backfills. But IQFeed have had an actual options list available for download and parsing.
the primary task is the collection of the minute bars to populate our real-time for required trade calculations at execution time.
I've used ticks to build the 1-min bars in my previous project, but probably it's possible to poll the 1-min bars and update the DB.
nikolas-joyce
@alexveden I would like your assessment of the time required to build the infrastructure to collect intraday 1 and possibly 5 min bars day data for futures data. I believe we will continue to collect option settlements from SPAN but we would like to be able to build histories of settlements from other exchanges (ie EUREX, ICE Europe). 1) the primary task is the collection of the minute bars to populate our realtime for required trade calculations at execution time. 2) The secondary task is the development of tools to populate our MongoDB with new products. The settlements and 1 or 5 minute bars would be required for the historical backfill task.