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How do I download historical options prices from IB?
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Author:  smt52 [ Mon Nov 17, 2008 6:12 pm ]
Post subject:  How do I download historical options prices from IB?

Hi,

I'd like to download historical option prices using Interactive Brokers (IB).

Heres an example:

JAN 16 '09 CALL option PHMAR, intraday prices from the last 5 days.

Is this possible? Or is this functionality unimplemented?

Best regards:
Shane

Author:  Alexei Kurov [ Tue Nov 18, 2008 1:12 pm ]
Post subject: 

Hi,

You should define an instrument PHM, type=Option, PutOrCall=Call, define strike price, exchange and expiry.
Then you are able to download historical data for it using Historical Data Importer( menu->Data->Import->Historical).

P.S. IB does not provide historical bars(built from trades) for this instrument, therefore you need to select another value of WhatToShow parameter of IB plugin.

Regards,
Alex

Author:  smt52 [ Tue Nov 18, 2008 2:36 pm ]
Post subject: 

Quote:
P.S. IB does not provide historical bars(built from trades) for this instrument, therefore you need to select another value of WhatToShow parameter of IB plugin.


Thanks. As I need this historical information on options, I think my best bet is to use the API from http://www.ivolatility.com.

Author:  krn_2k [ Tue Nov 18, 2008 6:01 pm ]
Post subject: 

smt52 wrote:
Quote:
P.S. IB does not provide historical bars(built from trades) for this instrument, therefore you need to select another value of WhatToShow parameter of IB plugin.


Thanks. As I need this historical information on options, I think my best bet is to use the API from http://www.ivolatility.com.


Also note that there is a large amount of historical EOD Option data available via the CSI Data provider if your looking to run longer timeframe simulations.

Author:  smt52 [ Tue Nov 18, 2008 10:12 pm ]
Post subject: 

Quote:
Also note that there is a large amount of historical EOD Option data available via the CSI Data provider if your looking to run longer timeframe simulations.


CSI only does End-of-day - is there any way to download the volume of stock options traded, for say 24 months into the past?

Author:  krn_2k [ Tue Nov 18, 2008 10:18 pm ]
Post subject: 

smt52 wrote:
CSI only does End-of-day - is there any way to download the volume of stock options traded, for say 24 months into the past?


Not that I know of. Note that even just EOD is quite a lot of of data for just one year only (all option chains). If you find viable alternatives be sure to let us know here, thanks.

Author:  systematics [ Thu Dec 31, 2015 10:55 am ]
Post subject:  Re: How do I download historical options prices from IB?

I know it's a "bit" late to answer, but in case someone else like me stumbles on this post through a search engine...

You can use this tool: IB Data Downloader. I've been using it for a several months and very happy with it. It lets you download historical data for options for an entire expiration with one click. Takes care of issuing multiple Interactive Brokers historical data requests, and breaks long-duration historical data requests down into multiple API calls behind the scenes.

http://www.tradinggeeks.net/downloads/i ... ownloader/

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