Documentation / Market Data

Market Data

Configure your data sources and manage your local market data

Where does market data come from?

Live data

Data streams directly from your connected broker in real time. Options chain and underlying price data all come from the live feed — no separate configuration needed beyond connecting your broker.

With Tradier, you can also choose to have Stratsigma capture and save live data, turning it into your own historical data source.

Historical mode

Two independent providers are configured in Settings → Data Sources — one for the underlying price, and one for the options chain.

Underlying price provider:

  • Interactive Brokers: Provides 10 years of accurate intraday 5-minute data for all underlyings including SPX, NDX, and RUT.
  • Tradier: Provides 1 year of data for stocks and ETFs. Does not provide intraday bars for index underlyings (SPX, NDX, RUT).
  • Massive: An external market data provider. Offers free and paid plans for stock and index intraday data. Free tiers only offer end-of-day prices.
  • Saved Market Data: You can create your own local database of historical market data by capturing live data from Tradier and importing ("backfilling") data from Massive.

Options chain provider:

  • Massive: Provides bid/ask quotes; requires the Advanced plan.
  • Saved Market Data: You can create your own local database of historical market data by capturing live data from Tradier and importing ("backfilling") data from Massive.

Live Capture — building your local data history

When live capture is enabled, the platform saves a snapshot of the options chain every 5 minutes during market hours. Over time this builds a local history of real bid/ask prices that you can use to review your trades or for backtesting.

Use the Save Live Data toggle — in Settings — to turn live capture on or off globally.

What gets captured:

  • Symbols from your open trades are captured automatically.
  • Symbols specified in the Data section of Stratsigma.

Backfilling historical data

You can import historical data from Massive and store it in Stratsigma in the Data section. This enables you to subscribe to Massive for a brief period of time, import the data you need, and thereafter cancel your subscription. This saves you ongoing historical data subscription fees.

  1. Enter the underlying symbol and set your filters: date range, expiration range, and strike range.
  2. Click Discover to see how many records will be fetched and how many already exist.
  3. Click Import to start. A progress bar tracks completion.

Check Force re-import to overwrite existing records. Leave it unchecked to skip duplicates.

Manual file import

You can load data from a local file using the Import button in the Manage Data section. Supported formats: .csv, .csv.gz, and .gz.

The file format matches what the Export button produces, so you can export, modify, and re-import without any conversion. After import, Stratsigma reports how many records were loaded and how many were skipped as duplicates.

Any active filters in the Manage Data section (Underlying, Date Range, Expiration Range, Option Symbols) are applied during import — only matching rows are loaded.

Browsing, exporting, and deleting your data

The Manage Data section on the Data page lets you search, export, and delete snapshots.

Browse:

Filter by underlying, date range, expiration range, and strike interval. Results show Bid, Ask, Last, IV, and Volume.

Export:

Download matching records as .csv.gz files. If your filter spans multiple underlyings, one file is generated per symbol.

Delete:

Deletion is two-step: clicking Delete first shows a count of matching records, then you confirm to perform the bulk delete.

A note on index symbols (SPX, NDX, RUT)

Tradier and the Massive free tier do not provide intraday 5-minute bars for index underlyings. Without accurate intraday prices, all BSM-derived option prices and Greeks for those symbols will be off — sometimes significantly on volatile days.

For accurate intraday analysis of index options, set Interactive Brokers as your underlying price provider in Settings. IB provides precise 5-minute bars for SPX, NDX, RUT, and all other underlyings. This requires the IB Connector to be running.

Without IB, historical index views are reliable at end-of-day level only.