Option Alpha streams real-time consolidated equity and options data. Our data feeds feature a 99.98% uptime and are relied upon by some of the world's leading financial institutions.
Consolidated stock market data is an aggregated reporting of all securities exchanges’ and alternative trading venues’ price and volume data. It is the most relied upon type of market data, providing investors and traders globally with a unified view of U.S. stock market prices and volumes.
It also underpins the National Best Bid and Offer (NBBO), which provides investors with a continuous view of the best available displayed buy and sell prices, and through Rule 611 ensures that investors receive the best available displayed prices on their trades, with a few exceptions.
Consolidated reporting has been standardized since the 1970s when Congress directed the Securities and Exchange Commission (“the SEC”) to establish a “National Market System” for securities trading.
Specifically, data collection, aggregation, and distribution are formalized in the Consolidated Tape Association (CTA) Plan and the Unlisted Trading Privileges (UTP) Plan. These plans are administered by the Consolidated Tape Association and UTP Plan market participants, and they dictate that each exchange is required to send its trade and quote information to the Securities Information Processor, also known as the SIP (of which there are two, one for Tape A/B and one for Tape C).
The entire bot ecosystem operates on real-time CTA/UTP data streamed constantly throughout the trading day.
Did you know? The bots are tracking over 150k options contracts per day. Each is updated (at most) every 500ms. That's 300k updates per second, 18 million updates per minute.
How it Works
Option Alpha uses a consolidated CTA/UTP data feed, aggregated from all major exchanges. All option symbols being tracked are NBBO, streamed in real-time, with a max update rate of 500ms (milliseconds). Each symbol, equity or option, is updated at most every 500ms unless the symbol received no updates within that time span (think thinly traded, far out-of-money options).
Bot data is aggregated via data capture every time an automation runs. The bot is capturing data at a specific millisecond in time, whereas your broker platform is updating continuously. Therefore, unless you see your broker data at the exact millisecond of the bot data, there is likely to be a mismatch.
Furthermore, many brokers have proprietary calculations for some indicators, etc. to "simulate" specific readings during the course of a day. While we may have similar indicators, the calculations may be slightly different.
Real-Time Data
With the exception of the cached values discussed below, all data is streamed constantly to our market data server. These values include pricing information like bid/ask, volume, open interest, greeks, etc. When an automation is executed, either at a scheduled interval or on-demand, the bots will request the most up-to-date values the market server knows about at that moment, down to the millisecond.
This data is then used inside of every bot decision or action during that run.
Data Caching
Some unchanging data values are cached pre-market and used throughout the trading day.
All daily indicators are cached pre-market based on yesterday's closing price. This allows for an accurate representation of a true N-day indicator. For example, to calculate a 14-day RSI indicator, the last 14 closing prices are fed into the RSI formula. This may deviate slightly from a daily technical indicator you see on a brokerage platform that attempts to simulate real-time indicators by using 13 previous closing prices, plus the last price of the security as the 14th bar in the RSI calculation.
The criteria "days until earnings" is also updated only at the beginning of each day and there are no additional updates for half a day passed.
Ticker Selection
The list of tradable tickers is a subset of all optionable underlying securities. We applied a heuristic filter for liquidity and volume to produce a set of approximately 350 tickers: minimum equity average 10-day volume of 1,000,000 shares and minimum option open interest of 4,000 contracts over the next two monthly expirations in the delta range of 15 to 60. The minimum share price threshold was set at $5.00/share.
From these lists we selected the top tickers from each, going down the lists to a point we felt had a good mix representing a cross-section of industry groups and included tickers we knew were popular with traders. We reviewed the lists and added a small number of tickers ad hoc that narrowly missed our liquidity filters, but we felt should also be included.
Options
For options, we looked at the two upcoming monthly expiration series only - no weekly or quarterly series. We looked for a minimum option open interest of 4,000 contracts over the next two monthly expirations in the delta range of 15 to 60. Over 90% of all contracts trade within this range.
The open interest for all strikes in this delta range for the two expirations is then totaled. This is the number we are checking against the 4,000 level to select tickers for options trading.
Equity
For equities, we simply look at daily volume - a minimum equity average 10-day volume of 1,000,000 shares. We also used 10 and 20-day average volume as a Goldilocks reference.
