Hello,
In order to fetch option open interest data, I’m testing the TradingClient class with the get_option_contract() function by using Alpaca’s Free plan.
I’ve noticed that the last known open interest figures are pretty outdated. Today’s date is January the 21th, but the last known open interest date in my example is January the 16th. Normally it’s common to update the open interest end-of-market, not just once or so per week. Is this huge delay created by design or do I need a different class or function to fetch more recent open interest data?
Thank you.
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Yes, that is a major issue for me as well. Following to see if they plan to update this feed.
@JimStorm @ujtrades You asked about the timing of open interest data for options. This data is typically two days old. Open interest is calculated centrally each end-of-day by the Options Clearing Corp (OCC) for US options. The following morning, open interest is displayed on the OCC web site, but it is not distributed industry-wide until the next business day morning. It’s that next business morning which Alpaca receives updated data. The open interest data for day 1 will always lag and be available on day 3. This is true for Alpaca and many data providers. Be certain to check the open_interest_date when using the open_interest data. See this article here for some interesting insight into open interest and timing.
@Dan_Whitnable_Alpaca This is becoming more and more critical for people who use GEX for calculating what is at stake for the dealers. I have tried other providers that update the T+1 at open as soon as it is displayed on OCC. Not sure how they do it, but it is important and the only reason, I might have to jump ship.
