Here's a contract for ATVI:
cfi : OPASPS
contract_type : put
exercise_style : american
expiration_date : 2023-08-18
primary_exchange : BATO
shares_per_contract : 100
strike_price : 92
ticker : O:ATVI230818P00092000
underlying_ticker : ATVI
I can use the following query to get a list of trades for this contract from 2023-07-24:
Here are the results (times formatted as pacific time):
conditions exchange id price sequence_number time size value
---------- -------- -- ----- --------------- ---- ---- -----
{235} 301 1.85 4011134140 2023-07-24 12:58:36 5,000 925,000
{235} 301 1.97 3512478216 2023-07-24 12:02:39 1,000 197,000
{235} 301 1.98 3512218721 2023-07-24 12:02:38 1,000 198,000
{209} 303 1.77 3485766858 2023-07-24 11:59:14 6 1,062
{209} 313 1.87 3445290707 2023-07-24 11:54:00 15 2,805
{235} 301 1.98 3432813560 2023-07-24 11:52:19 1,500 297,000
{235} 301 1.97 3432782167 2023-07-24 11:52:18 1,500 295,500
{209} 313 1.8 3281471494 2023-07-24 11:34:17 15 2,700
{232} 312 1.82 992095832 2023-07-24 07:35:39 1 182
{227} 302 1.85 222604767 2023-07-24 06:42:28 72 13,320
Let's focus on this trade:
conditions : {235}
exchange : 301
id :
price : 1.85
sequence_number : 4011134140
sip_timestamp : 1690228716416590080
size : 5000
I'd like to get the bid and ask values at the time of the trade. Here's a query for quotes within two minutes of the trade:
Times used:
Monday, July 24, 2023 12:57:36 PM 60 seconds before
Monday, July 24, 2023 12:58:36 PM time of trade
Monday, July 24, 2023 12:59:36 PM 60 seconds after
However, that query doesn't return any quotes:
results : {}
status : OK
request_id : 62eda8581c941ace4cab20e5ba5adefe
Any suggestions welcome.