Theta Data in Excel!

Theta Data is proud to announce an Excel Add-In! The Add-In allows you to access Theta Data’s data right in Excel. Easily create charts and compute statistics all while using the Excel formulas you know and love.

Stocks, Options, and Indices

Currently the Excel Add-In supports fetching data for Stocks, Options, and Indices. While not all of the endpoints in the REST API are provided in Excel, most of the data is available. You can see more about each type of data in the documentation.

You must use the proper namespace in your formula to access Theta Data: =THETADATA. Then select the function you wish to call. You can leverage the help pop-up, or reference the documentation to access the data you need.

Data is provided as if you opened the CSV output in Excel. Once the data has been fetched, you can manipulate it any way you want using all the built-in Excel functions.

Requirements

There are a few requirements before you can use the Excel Add-In. First, you must have a PRO subscription for at least one of the data types. Second, you must ensure the HTTP_ACCESS_ORIGIN=* property (usually found at the bottom of your properties file) is set to (*) to allow connections from Excel. Finally, you must be running terminal version 1.8.1a or newer to access data in Excel.

Weekend Snapshot Availability & More!

Weekend Snapshot Availability

All snapshots are now available during the weekend and immediately after midnight the next trading day.

Datacenter Expansion

Above is a picture of our new 4-cabinet cage in the EWR2 data center. We decided to take this space a few months earlier than we might have needed so we can start building out phase 3 of our network infrastructure, which will include 100G capability and 10/40G ISP uplinks.

Most of our physical space is used by our storage servers, which have a combined capacity of 2 Petabytes. We also have anywhere between 4-8 servers constantly reprocessing our historic data so we can add new analytics or aggregated datapoints for our clients. This cage can support up to 10 cabinets, which gives us plenty of room scale quickly.

 Some of our services will be offline on Saturday October 5th between 11am and 1pm EST while we migrate to this cage. Actual downtime should be limited to 10-20 minutes. Luckily our cage is just 50 feet from our old set of cabinets, so this migration is just a matter of carting over 35 or so servers to the new cage. It will be a long day!

Cornell Trading Competition

Theta Data is a proud sponsor of the Cornell Trading Competition. We will be hosting a competition at the event this year and will be giving away some limited-edition Theta Data swag.

Faster Historical Requests

NVMe is now in production! Below is a quick speed comparison for bulk at time. Any quote-based data with an ivl (interval size in milliseconds) divisible 60,000 (1 minute) will see significant speed increases. 

New NVMe MDDS

url: http://127.0.0.1:25510/v2/bulk_at_time/option/quote?root=SPXW&exp=0&start_date=20210406&end_date=20210406&ivl=35580000

latency: 3738ms

Old HDD MDDS

url: http://127.0.0.1:25510/v2/bulk_at_time/option/quote?root=SPXW&exp=0&start_date=20210406&end_date=20210406&ivl=35580000

latency: 75418ms

What’s next?: 3:45pm EOD Reports

We are 2 weeks away from unveiling full history and a new request for a 3:45pm EOD report that uses quotes and trades as well as backfilling our current EOD history to add quotes for the EOD pricing.

Theta Data Integration with LEAN CLI

Theta Data is happy to share a new integration with the QuantConnect LEAN CLI application. This integration allows you to deploy algorithmic trading strategies far more easily than was previously possible - with all the data and broker connector plumbing handled. 

QuantConnect’s LEAN CLI is a pip package for its open-source algorithm trading engine, LEAN. LEAN supports 11 asset classes and has open-source connectors to 20+ brokerages. Its engine lets you focus on your strategy and avoid writing heavy modeling or connector code. The QuantConnect-Theta Data plugin is completely open-source and will be maintained and extended as we grow.

QuantConnect's potential is pretty epic. With a few lines of Python code, you can search through thousands of options contracts, sort, and filter on greeks, and invest with complex strategies. Unlike any other platform in the world, LEAN can handle accurate backtesting of your option margin used in derivative and hedging strategies. 

The plugin supports downloading data in LEAN format, backtesting, jupyter research, parameter optimization, and live trading -- using Tick, Second, and Minute bars on spot asset classes, and minute, hour, daily bars for derivatives . Examples of how to use this integration are below:

Downloading Data:

$ lean data download --data-provider-historical ThetaData --data-type Trade --resolution Daily --security-type Option --ticker NVDA,AMD --start 20240303 --end 20240404 --thetadata-subscription-plan Standard

Backtesting:

$ lean backtest "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard

Research Notebook:

$ lean research "My Project" --data-provider-historical ThetaData --thetadata-subscription-plan Standard

Live Trading:

$ lean live deploy "My Project" --data-provider-live ThetaData --thetadata-subscription-plan Standard --brokerage "Paper Trading"

You can read more about the integration on our QuantConnect integration page.