Get Timestamp of Quotes for Put/Call Options

tom.oddo
tom.oddo
in Eikon Data APIs

When inspecting historic put and call options, is it possible to get the timestamp of their bid and ask quotes? When considering the data, it seems as if there are discrepancies in the timestamps .

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    If the option hasn't expired, you can retrieve the timeseries of the quotes for the last 90 days using RDP Libraries, e.g.

    rdp.get_historical_price_events('MICPA6400L1.p',
                                   eventTypes='quote',
                                   start='2021-01-05T00:00:00.000000000Z',
                                   end='2021-01-05T23:00:00.000000000Z')

    The timestamp is returned as the dataframe index.

    If the option has expired or if you need quote history longer than 90 days, then to the best of my knowledge the only Refinitiv product that carries intraday price history for it is Refinitiv Tick History.

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