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Sourcing Intraday Prices and Implied Volatility Data

Article Quant Q&A · Author: userJT
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Summary

The document addresses how to obtain intraday prices for an ETF when standard daily price retrieval is insufficient. It identifies Interactive Brokers as a possible data source through its API and says the API itself does not require payment, while noting that other charges may apply to FIX connectivity. The response presents the source as suitable for real-time data and cautions that its intraday historical lookback is limited.

For options analysis, the answer advises retrieving option prices and deriving implied volatility from them rather than relying on a broker’s reported volatility measure. That distinction matters because a reported implied volatility depends on the broker’s dividend assumptions and pricing model. The response does not give a specific R implementation, compare alternative providers, or establish whether the data access terms remain current, so the practical choice depends on the required history, instrument coverage, and trading frequency.

Key ideas

  • Broker APIs can provide intraday market data when daily price sources are insufficient.
  • Intraday historical lookback may be limited even when real-time data is available.
  • A broker’s reported implied volatility reflects its own model and dividend assumptions.
  • Researchers can estimate implied volatility from option prices using their chosen pricing model.

Tags

EquitiesOptionsExecutionMarket microstructure
Full text
# How can I get intra-day prices via API into R?


# How can I get intra-day prices via API into R?












I am able to retrieve prices for IVV using this code

```
library(quantmod)
getSymbols("IVV")
names(IVV)
```

[1] "IVV.Open" "IVV.High" "IVV.Low" "IVV.Close" "IVV.Volume" [6] "IVV.Adjusted"

Is it possible to use other libraries/sources/functions to get a price at 10am, noon, and 2pm?

Without paying for full API to companies like InteractiveBrokers.

## Answer by matt (score 3)

https://quant.stackexchange.com/a/2963

You dont pay anything for IB's API (they charge some for Fix through). It is a very simple and straightforward way to pull IVV through the IB API, either IVs directly (I dont recommend it because you inherently accept IB's dividend curves, model, what have you...). Better yet, pull in the prices of the options under consideration and back out the IV. You need a pricing model anyway otherwise why would you want to use IV and what for? However, IB's API only provides lookbacks of intra day data for a limited time frame, so if you need longer histories then you may need to look elsewhere. However, if you are purely interested in real-time data then IB is a fantastic source given you do not trade UHF models.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.