Documentation / Market Data

Market Data

Configure your data sources and build your own local market data

How Market Data Works (Start Here)

Stratsigma doesn't ship with a built-in data feed. You tell it where to get prices. That's a little more setup than an all-in-one tool, but only for one thing, and it's deliberate.

Live data is free and automatic. Connect your broker (Interactive Brokers or Tradier) and live prices stream in at no extra cost, the same way tools like OptionNet Explorer (ONE) work. Nothing else to configure.

Historical data is the only real decision. You need it mainly for backtesting and researching strategies, heavily while developing one, then rarely once you're trading it live. Rather than bake an expensive historical feed into the subscription forever, Stratsigma lets you source it yourself and stop paying once you have what you need.

Recommended setup

If you keep both an Interactive Brokers and a Tradier account (both are low-cost or free), this combination covers everything with no ongoing data bill:

  • Live data: either broker. Interactive Brokers gives better index prices
  • Historical stocks & indices: Interactive Brokers (10 years of 5-minute bars)
  • Historical options: let Stratsigma capture and save your Tradier feed (free) into Saved Market Data

The topics below explain each provider and how to build your own Saved Market Data. One note before you start: market-data subscriptions are licensed for your personal use. Don't redistribute the data to others.

Choosing Your Data Providers

Providers are set under Settings → Market Data, in three dropdowns:

  • Live Data → Data Provider: where current prices stream from (None, Tradier, or Interactive Brokers)
  • Historical → Data Provider for Stocks and Indices: historical underlying prices
  • Historical → Data Provider for Options: historical options-chain quotes

Interactive Brokers is only selectable while its Connector is running. Otherwise it appears greyed out.

Historical stocks & indices (the underlying)

  • Interactive Brokers: the best source, with 10 years of 5-minute bars for all underlyings, including SPX, NDX, and RUT. Requires an IB account and the Connector running.
  • Tradier: 1 year of data; index values are derived rather than true spot.
  • Massive: available, but expensive for 5-minute data and with limited history.
  • Saved Market Data: your own local history (see below).

Historical options

  • Massive: the only external provider with what the options model needs: bid/ask quotes at 5-minute intervals. It's expensive, around $199/month.
  • Saved Market Data: your own local history (see below), how most users avoid the Massive bill.

Saved Market Data: Build Your Own History

Saved Market Data is your own local store of historical prices, and how you get accurate, affordable history without paying for an external feed indefinitely. There are two ways to fill it:

1. Capture your live Tradier feed (free, day-forward)

Turn on Save Live Market Data and Stratsigma records the bid/ask, Greeks, and trades flowing through your Tradier feed during market hours, building real historical data at no cost. It's "day-forward" (it covers from when you switch it on), which is plenty for reviewing trades and near-term backtesting. Open trades are captured automatically; you can add other symbols too.

This works with Tradier only: Tradier's web API lets Stratsigma capture in the background whether or not you're at your computer. Interactive Brokers requires you to be logged into TWS, which isn't practical for continuous capture.

2. Import once from Massive, then cancel

For history that predates your live capture, subscribe to Massive for a single month, import the symbols and date ranges you need into Saved Market Data, then cancel. You pay roughly $199 once instead of every month.

Once data is in Saved Market Data, point your historical provider dropdowns at it and your backtests run against your own local store.

Live Capture

The Data section (Historical Market Data) is where you manage capture and storage. Under Save Data → Live Capture:

  • Symbols from your open trades are added automatically and tagged From Trade. Stratsigma saves their data from the day you open the trade until you close it.
  • Add any other symbols you want to build history for in the symbol box (e.g., SPY, QQQ, AAPL).
  • Remove a symbol with its "×".

Capture runs during market hours and saves bid/ask, Greeks, and trade prints. The master on/off is the Save Live Market Data toggle in Settings.

Importing Data from Massive

Under Data → Save Data → Data Import, pull historical options data from an external provider to fill gaps from before your live capture began:

  1. Enter the Underlying symbol and, optionally, narrow by strike range, Date Range, and Expirations. Or paste explicit Option Symbols (comma-separated OCC symbols, e.g. SPY250117C00600000) to fetch exactly those contracts.
  2. Choose the provider (Massive).
  3. Optionally enable Include volume to store volume alongside quotes.
  4. Click Import.

Leave Force re-import off to skip records you already have; turn it on to overwrite them. This is the "subscribe once, import, cancel" workflow. Grab the history you need in a single billing month.

Managing & Exporting Your Data

Under Data → Manage Data, browse, export, import, or delete saved data. Set the filters once (underlying(s), strike range, source, e.g., Live Capture from Tradier vs Massive, date range, expirations, or specific OCC symbols) and they apply to every action:

  • Browse: inspect the matching records.
  • Export: download matching data as CSV, useful for backups or moving data between machines.
  • Import: load market data from a CSV file, including data you obtained from another source.
  • Delete: remove the records matching your filters.

The Storage Statistics table summarizes what you've stored (per symbol, the source, date range, record count, and size, plus a grand total) so you can see your history at a glance and manage disk usage.

A Note on Index Data (SPX, NDX, RUT)

Index underlyings need real intraday prices to value options correctly. Tradier reports derived index values rather than true spot, and Massive's lower tiers may only offer end-of-day. Without accurate 5-minute bars, the model's option prices and Greeks for SPX, NDX, and RUT can drift, sometimes badly on volatile days.

For accurate index analysis, use Interactive Brokers as your historical provider for stocks and indices. It supplies precise 5-minute bars for SPX, NDX, RUT, and everything else (with the Connector running).