Get bid and ask of an ATVI put trade

27 Views Asked by At

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:

https://api.polygon.io/v3/trades/O:ATVI230818P00092000?timestamp=2023-07-24&limit=50000&apiKey=API-KEY-GOES-HERE

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:

https://api.polygon.io/v3/quotes/O:ATVI230818P00092000?timestamp.gte=1690228656416590080&timestamp.lte=1690228776416590080&limit=50000&apiKey=API-KEY-GOES-HERE

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.

0

There are 0 best solutions below