Data Format
Equity Options
Folder Structure
The following table shows the paths of the Equity Options data files:
| Resolution | Zip File | CSV File |
|---|---|---|
| Second and minute | option / usa / <resolution> / <ticker> / <date>_<tickType>_<style>.zip | <date>_<ticker>_<resolution>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
| Hour and daily | option / usa / <resolution> / <ticker>_<year>_<tickType>_<style>.zip | <ticker>_<tickType>_<style>_<right>_<strike>_<expiry>.csv |
In these paths, <ticker> is the ticker of the underlying Equity. Each zip file contains one CSV file for each contract. For example, option / usa / minute / aapl / 20140606_quote_american.zip contains 20140606_aapl_minute_quote_american_call_10000000_20150117.csv. This CSV file holds the quotes of the AAPL $1,000 call that expires on January 17, 2015. The daily file of the same contract is aapl_quote_american_call_10000000_20150117.csv in option / usa / daily / aapl_2014_quote_american.zip.
Bar Data
The following table shows the bar data, with example rows from the minute files of the AAPL $1,000 call on June 6, 2014:
| Data Type | Resolutions | Example |
|---|---|---|
| Trade bar | Second, minute, hour, and daily | 34200000,17000,17000,17000,17000,28 |
| Quote bar | Second, minute, hour, and daily | 34200000,14900,14900,14900,14900,9,16300,19500,15400,17000,51 |
| Open interest | Second, minute, hour, and daily | 23460000,9325 |
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