Option Alert TRADABASE Reference Manual

Size: px

Start display at page:

Download "Option Alert TRADABASE Reference Manual"

Joseph Pitts
5 years ago
Views:

1 Option Alert TRADABASE Page 1/6 7/23/09 Option Alert TRADABASE Reference Manual Note: this document is subject to frequent change as development continues. The most recent version is available at Overview... 2 Creating and loading database tables from TSV files... 3 Security Records... 4 Open Interest Records... 4 Trade Records... 5 TRADABASE Historical Data License Agreement... 6

2 Option Alert TRADABASE Page 2/6 7/23/09 Overview Trade Alert offers Tradabase market data in several formats designed to facilitate historical analytics, backtesting, recaps and other applications. Same day 6:15PM EST availability Universal secure FTP access Comprehensive coverage of all US listed (OPRA) products Trades information: - Exchange time and sales details - Supporting bid-ask and side of market data - Underlying security price at time of trade - Delta and implied volatility - Identification of near-term earnings and dividend events - Detailed complex order tags (spread, straddle, tied, etc) Series information: - Open Interest (including net change) - OPRA closing prices - Closing delta and implied volatility - Total volume and buyer/seller volume Available as a daily file subscription and or historical time series Trade data, securities master data, and open interest data are all available for ftp download. Data files contain tab-delimited values or ANSI compatible SQL dumps and are compressed via zip. These files provide the exact and complete reference set used to generate the unique alerts and order flow analyses available through Option Alert. Filename Contents Schedule securities.tsv.zip Up-to-date securities master. 8:00 AM trades-yymmdd.tsv.zip open_interest-yymmdd.tsv.zip trades_hist-yymm.sql.zip open_interest-yymm.sql.zip securities.sql.zip alltrades-yymmdd.csv.zip Significant trades and trade cancels as well as identified sweeps and split tickets. Trade size threshold is 50 contracts or 10 contracts for thinly traded underlyings. Open interest data. File is refreshed at 8:15 AM the next day with next_day_oi filled in. Same records as the daily tsv but for an entire month. Contains additional columns for ivol and ivol_chg. Will create a trades table. Same records as the daily tsv but for an entire month. Contains additional columns for ivol and ivol_chg. Will create the an open_interest table. Up-to-date securities master. Has an additional sectype column. Will create a securities table. All trades and trade cancels. Contains security info for each trade as well. 6:30 PM 6:30 PM / 8:00 AM First of month for prior month First of month for prior month 8:00 AM 6:30 PM

3 Option Alert TRADABASE Page 3/6 7/23/09 Creating and loading database tables from TSV files SQL is used to create and load the database tables. The SQL for creating tables can be found at our download site: create-open_interest.sql create-trades.sql create-securities.sql The following load example is for MySQL but all SQL-based databases should have similar commands: LOAD DATA LOCAL INFILE 'importfile.tsv' INTO TABLE tablename IGNORE 1 LINES If you are loading security data make sure to truncate the securities table first since each file contains the complete data set. Securities data should be reloaded each day to be kept current.

4 Option Alert TRADABASE Page 4/6 7/23/09 Security Records These records contain security data. A securities file can be used to populate a complete security master. Note that the table should be truncated and repopulated from scratch every day. Field Type Contents secid int Unique security id usymbol varchar(8) Underlying symbol symbol varchar(8) Security symbol expiry date Expiration date strike float Strike price put_call char(1) P = put, C = call status tinyint 0 = normal, 1 = non-standard root char(3) OPRA root Open Interest Records These records contain open interest data and other daily option statistics. Only options with current open interest appear in an open interest file. When available at 6:30 PM the next_day_oi field is set to zero - it is updated the next morning at 8:00 AM. Field Type Contents secid int Security id date date Trade date contracts int Current open interest oichg int Change in open interest from previous day volume int Total volume for day bid_side int Total volume trading on bid side ask_side int Total volume trading on ask side delta float Delta at close next_day_oi int Next day open interest (not available until 8:15 AM next day) close float Closing price ivol float Implied volatility at market close. Calculated via binomial interpolation. Will be 0 if missing or -1 if the IV does not resolve. Discrete dividends are repeated. ivol_chg float Implied volatility change on day at market close.

5 Option Alert TRADABASE Page 5/6 7/23/09 Trade Records These records contain trades and trade cancels. The secid field ties each record to the security master to identify the security. Field Type Contents secid int Security id price float Trade price size int Trade size side tinyint NBBO trade side (see Appendix C in User Manual) exch char(3) Trade exchange code (see Appendix C in User Manual) date date Trade date time time Trade time bexch char(3) NBBO bid exchange at time of trade (see Appendix C in User Manual) aexch char(3) NBBO ask exchange at time of trade (see Appendix C in User Manual) bid float NBBO bid at time of trade ask float NBBO ask at time of trade bsize int NBBO bid size at time of trade asize int NBBO ask size at time of trade volume spot int float Total volume at time of trade (or number of trades in the case of summary records) The last trade price of the underlying at the time of the option print. If last is outside of current NBBO, the NBBO bid or ask price closest to last is used. spot_chg float Spot change on day at time of trade open_int int Current open interest delta float Delta at time of trade cond char Trade condition code as disseminated by OPRA (see Appendix C in User Manual). type enum Record type: trd = trade, 'cxl' = trade cancel, mul = sweep or split ticket events ivol char(3) float Events in effect on day of trade. Multiple events are possible (see Appendix C in User Manual). Implied volatility at time of trade. Calculated via binomial interpolation. Will be 0 if missing or -1 if the IV does not resolve. Discrete dividends are repeated. ivol_chg float Implied volatility change on day at time of trade.

6 Option Alert TRADABASE Page 6/6 7/23/09 TRADABASE Historical Data License Agreement This License Agreement ( Agreement ) is between the purchaser ( Subscriber ) and Trade Alert LLC ( Trade Alert ), a New York Limited Liability Company located at 200 Park Ave South Suite 1314, New York, NY All data provided by Trade Alert is subject to this agreement and Subscriber accepts, without limitation or qualification, all of the terms and conditions contained herein. Trade Alert hereby grants Subscriber a non-exclusive, non-transferable license to use all Historical Data ( Market Data ) provided by Trade Alert or its agents to Subscriber subject to the terms and conditions of this Agreement. Unless otherwise noted, all right, title, interest, and information, including all intellectual property rights, are and shall continue to be the exclusive property of Trade Alert. Except as otherwise expressly permitted herein, Subscriber agrees not to reproduce retransmit, disseminate, sell, distribute, publish, broadcast, circulate or provide, the Market Data in any manner or for any purpose to any third party without the prior express written consent of Trade Alert. Subscriber further agrees not to use the Market Data for any unlawful purpose and agree to comply with reasonable requests by Trade Alert to protect its rights in and to the Market Data. This license allows for unlimited internal storage, processing and firm-wide use to the extent that the Subscriber limit downloads of Market Data from the specified FTP Server to the minimum frequency required for receipt of complete data. All market data is provided "as is" without warranty of any kind. Subscriber acknowledges potential for human and mechanical errors, as well as other factors, and agrees to hold Trade Alert harmless for any errors or omissions in the market data. Trade Alert makes no representations and disclaims all express, implied and statutory warranties of any kind to subscriber and/or any third party, including any warranties of accuracy, timeliness, completeness, merchantability and fitness for a particular purpose. In addition, Trade Alert, in providing the market data, makes no endorsement of any particular security, trading strategy, etc. In the event of incomplete data, Subscriber will receive a refund or credit of prorata fees for such period. Trade Alert shall not be liable to subscriber or to any other entity or individual for any loss of profits, revenues, trades, data or for any indirect, special, punitive, consequential or incidental loss or damage of any nature arising from any cause whatsoever, even if Trade Alert has been advised of the possibility of such damage. Unless due to willful tortious misconduct or gross negligence, Trade Alert shall have no liability in tort, contract or otherwise to subscriber and/or any third party. Your download and receipt of the data from the designated password-protected FTP site indicates your acceptance of this agreement.

SOFTWARE LICENSE AGREEMENT

USE OF SUBMITTAL EXCHANGE ON THIS PROJECT IS GOVERNED BY THE SOFTWARE LICENSE AGREEMENT. IF SUBSCRIBER DOES NOT AGREE TO ALL OF THE TERMS AND CONDITIONS OF THIS AGREEMENT, DO NOT USE THE SERVICE. BY USING