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Batch search and data exports

How can I get checked price history for many option contracts in one request?

A single lookup answers a question about one contract. Some work needs the same answer for many contracts, dates, or underlyings. A batch request will process all of them together and give you one file.

Each export will include a coverage report. The report will show which contracts and minutes have records, and which do not. You can then see the gaps before you use the file in a test or a review.

The archive will also get daily data updates. Each update will be checked against existing records first. When a provider corrects old records, a dated correction record will show what changed.

Who it is for

Developers who test trading rules on past data: They need many expired and current contracts in one consistent format, with the gaps marked.
Traders who review many trades or many dates: They need the same price question answered for a list of contracts without repeated manual lookups.
Researchers who keep their own copy of the data: They need to know when records changed, so that they can repeat an earlier result.

What you will get

A file of recorded minute bars for each contract and period in the request.
A coverage report with the first and last record found for each contract.
A list of requested contracts or periods that have no records.
The source, time zone, and data version of each export.
Dated correction records that show which old records changed and when.

What it will need from you

A list of contracts, or a rule that selects them, such as one underlying and a range of expiry dates.
A date range and a time range for the minute bars.
The file format that you want for the export.
Optional filters, such as call or put type and a range of strikes.

How it will work

Describe the contracts and periods that you need.
Read the coverage estimate for the request before you start it.
Start the request and download the export when it is complete.
Read the coverage report before you use the data.
Check the correction records when you repeat an earlier request.

Limits

A minute bar shows recorded trades. It does not show an attainable fill or a bid or ask quote.
Option legs can trade at different times. Adding their recorded prices does not give a spread price that you could trade at.
A missing bar can mean that no trade occurred, that source data is missing, or that the session is not included. An export will not invent prices for gaps.
The archive holds minute bars for options on more than 1,900 underlyings, and SPY option files start in June 2014. These counts do not prove that every contract or minute is present, so each request will get its own coverage check.
A recent update time does not prove recent market data. Read the dates of the records in the coverage report.
An export contains records. It does not tell you how to trade.

Common questions

Will exports include expired contracts?

Yes. Expired contracts are a main reason for this service. A test that uses only current contracts can give a wrong result.

What is a daily data update?

It is a check that adds the records from the last trading day to the archive. New records will be compared with existing records before they are added.

What is a correction record?

A provider can change records after it first publishes them. A correction record will show the changed records, the old and new values, and the date of the change.

How is a batch request different from the single-contract lookup?

The lookup shows one contract on a page. A batch request processes many contracts and gives you files that you can load into your own tools.