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I'm attempting to access all futures contracts traded for a given day. Reading the Quandl blog: https://blog.quandl.com/api-for-futures-data to access futures contract use the python code:

quandl.get('CHRIS/CBOE_VX5', start_date='2020-04-20', end_date='2020-04-30')

where:

    {CBOE} is the acronym for the futures exchange
    {VX} is the futures ticker code

Using

quandl.get('CHRIS/CBOE_VX5', start_date='2020-04-20', end_date='2020-04-30')

the following dataset is returned:

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How to access the buy and sell trades for each contract? The above dataset provides details for futures per day, but does not provide any details relating to the individual contracts, is this data available via Quandl or some other data provider?

blue-sky
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  • Individual contracts used to be available on Quandl for free, but as far as know, that is no longer true. You can purchase premium data packages on Quandl to access those. – Helin Oct 25 '20 at 01:37
  • @Helin thanks, where is the premium data available on Quandl ? Reading at the futures documentation - https://www.quandl.com/search?filters=%5B%22Futures%22%5D , all the services appear to relate to the price per day. – blue-sky Oct 25 '20 at 08:43
  • If you want to see all trades made during the day, that would usually be called "tick data" (or "trade data"), the data you show above (a summary of open, high, low, close for the day) is generally called "daily OHLC" data. However, even the tick data does not identify who the buyer and the seller is (for confidentiality and privacy reasons). Trader identity could be difficult to get. – nbbo2 Oct 25 '20 at 09:30
  • @noob2 thanks, I'm not interested in who the buy and seller is. For example if the total volume is 2302 (as per the posted dateset I posted for 2020-04-20) what is the number of contracts that are on the buy side, what number are on the sell side and what is the time of day each contract was bought or sold. Reading https://quant.stackexchange.com/questions/11175/where-can-i-find-tick-data-for-futures-contracts IQFeed is a possible provider for data. Reading https://help.quandl.com/article/81-does-quandl-have-real-time-intraday-or-tick-data it seems Quandl does not provide intraday tick data. – blue-sky Oct 25 '20 at 10:01
  • "if the total volume is 2302 (as per the posted dateset I posted for 2020-04-20) what is the number of contracts that are on the buy side, what number are on the sell side" --- do you mean what side was the aggressor? – user42108 Oct 26 '20 at 21:07

1 Answers1

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I think you can find this information using the Time & Sales information. The bid or ask price will help to ascertain whether the instrument was bought or sold.

CBOE has a bunch of API's that you could use for this.

https://api.livevol.com/v1/docs/Help#sectionTimeandSales

swordfish81
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