Access thinkorswim Option Data through DDE
Overview
The RTD database templates include predefined tables for retrieving real-time data from thinkorswim desktop.
Option tables are designed to fetch data for options. Use the quote tables for stocks, futures, and currency pairs.
Both DDE and RTD formulas can be utilized, with RTD being the preferred method. Note that thinkorswim desktop may crash if more than 200,000 topics are requested.
DDE formulas can be converted to RTD using the patches available in the database template folders.
Data is retrieved from the thinkorswim desktop DDE server, which requires administrative privileges to run RTD DB.
Disable unnecessary columns to minimize server overhead.
The DDE server does not provide an actual data time field.
The datetime, date, and time fields are updated using local system time adjusted to the table's configured time zone (Eastern Standard Time).
Real-Time Data Tables
Table Configurations
| table_schema | table_name | load_code | is_history |
|---|---|---|---|
| rtd | tos_option_list | ||
| rtd | tos_last_option_data | SELECT code FROM rtd.tos_option_list | |
| rtd | tos_historical_option_data | SELECT code FROM rtd.tos_option_list | |
| rtd | tos_option_data_ticks | SELECT code FROM rtd.tos_option_list | 1 |
* Use the table name links to navigate to their descriptions.
Task Table Examples
tos_option_list:
| code |
|---|
| .AAPL260116C200 |
| .AAPL260116C300 |
| .AAPL260116P200 |
| .AAPL260116P300 |
Primary Key Columns
| table_schema | table_name | column_name | rtd_formula | comment |
|---|---|---|---|---|
| rtd | tos_last_option_data | code | PK | |
| rtd | tos_historical_option_data | code | PK | |
| rtd | tos_historical_option_data | date | =Date() | PK |
| rtd | tos_option_data_ticks | id | PK, IDENTITY |
Real-Time Data Formulas
tos_last_option_data
This table contains the most recent values of option data from thinkorswim desktop.
| column_name | rtd_formula | comment |
|---|---|---|
| code | PK | |
| datetime | =DateTime() | |
| date | =Date() | |
| time | =Time() | |
| description | =TOS|DESCRIPTION!'[code]' | |
| last | =TOS|LAST!'[code]' | |
| change | =TOS|NET_CHANGE!'[code]' | |
| percent_change | =TOS|PERCENT_CHANGE!'[code]' | |
| last_size | =TOS|LAST_SIZE!'[code]' | |
| last_x | =TOS|LX!'[code]' | |
| mark | =TOS|MARK!'[code]' | |
| mark_change | =TOS|MARK_CHANGE!'[code]' | |
| mark_percent_change | =TOS|MARK_PERCENT_CHANGE!'[code]' | |
| bid | =TOS|BID!'[code]' | |
| ask | =TOS|ASK!'[code]' | |
| bid_size | =TOS|BID_SIZE!'[code]' | |
| ask_size | =TOS|ASK_SIZE!'[code]' | |
| bid_ask_size | =TOS|BA_SIZE!'[code]' | |
| bid_x | =TOS|BX!'[code]' | |
| ask_x | =TOS|AX!'[code]' | |
| open | =TOS|OPEN!'[code]' | |
| high | =TOS|HIGH!'[code]' | |
| low | =TOS|LOW!'[code]' | |
| close | =TOS|Close!'[code]' | |
| volume | =TOS|VOLUME!'[code]' | |
| open_int | =TOS|OPEN_INT!'[code]' | |
| implied_vol | =TOS|IMPL_VOL!'[code]' | |
| delta | =TOS|DELTA!'[code]' | |
| gamma | =TOS|GAMMA!'[code]' | |
| theta | =TOS|THETA!'[code]' | |
| vega | =TOS|VEGA!'[code]' | |
| rho | =TOS|RHO!'[code]' | |
| extrinsic | =TOS|EXTRINSIC!'[code]' | |
| intrinsic | =TOS|INTRINSIC!'[code]' | |
| probability_itm | =TOS|PROB_OF_EXPIRING!'[code]' | |
| probability_otm | =TOS|PROB_OTM!'[code]' | |
| probability_touch | =TOS|PROB_OF_TOUCHING!'[code]' | |
| covered_return | =TOS|COVERED_RETURN!'[code]' | |
| max_covered_return | =TOS|MAX_COVERED_RETURN!'[code]' | |
| last_update_timestamp |
tos_historical_option_data
This table stores daily historical records of option data from thinkorswim desktop.
| column_name | rtd_formula | comment |
|---|---|---|
| code | PK | |
| date | =Date() | PK |
| time | =Time() | |
| description | =TOS|DESCRIPTION!'[code]' | |
| last | =TOS|LAST!'[code]' | |
| change | =TOS|NET_CHANGE!'[code]' | |
| percent_change | =TOS|PERCENT_CHANGE!'[code]' | |
| last_size | =TOS|LAST_SIZE!'[code]' | |
| last_x | =TOS|LX!'[code]' | |
| mark | =TOS|MARK!'[code]' | |
| mark_change | =TOS|MARK_CHANGE!'[code]' | |
| mark_percent_change | =TOS|MARK_PERCENT_CHANGE!'[code]' | |
| bid | =TOS|BID!'[code]' | |
| ask | =TOS|ASK!'[code]' | |
| bid_size | =TOS|BID_SIZE!'[code]' | |
| ask_size | =TOS|ASK_SIZE!'[code]' | |
| bid_ask_size | =TOS|BA_SIZE!'[code]' | |
| bid_x | =TOS|BX!'[code]' | |
| ask_x | =TOS|AX!'[code]' | |
| open | =TOS|OPEN!'[code]' | |
| high | =TOS|HIGH!'[code]' | |
| low | =TOS|LOW!'[code]' | |
| close | =TOS|Close!'[code]' | |
| volume | =TOS|VOLUME!'[code]' | |
| open_int | =TOS|OPEN_INT!'[code]' | |
| implied_vol | =TOS|IMPL_VOL!'[code]' | |
| delta | =TOS|DELTA!'[code]' | |
| gamma | =TOS|GAMMA!'[code]' | |
| theta | =TOS|THETA!'[code]' | |
| vega | =TOS|VEGA!'[code]' | |
| rho | =TOS|RHO!'[code]' | |
| extrinsic | =TOS|EXTRINSIC!'[code]' | |
| intrinsic | =TOS|INTRINSIC!'[code]' | |
| probability_itm | =TOS|PROB_OF_EXPIRING!'[code]' | |
| probability_otm | =TOS|PROB_OTM!'[code]' | |
| probability_touch | =TOS|PROB_OF_TOUCHING!'[code]' | |
| covered_return | =TOS|COVERED_RETURN!'[code]' | |
| max_covered_return | =TOS|MAX_COVERED_RETURN!'[code]' | |
| last_update_timestamp |
tos_option_data_ticks
This table stores tick-level history of option data from thinkorswim desktop.
| column_name | rtd_formula | comment |
|---|---|---|
| id | PK, IDENTITY | |
| code | ||
| datetime | =DateTime() | |
| date | =Date() | |
| time | =Time() | |
| description | =TOS|DESCRIPTION!'[code]' | |
| last | =TOS|LAST!'[code]' | |
| change | =TOS|NET_CHANGE!'[code]' | |
| percent_change | =TOS|PERCENT_CHANGE!'[code]' | |
| last_size | =TOS|LAST_SIZE!'[code]' | |
| last_x | =TOS|LX!'[code]' | |
| mark | =TOS|MARK!'[code]' | |
| mark_change | =TOS|MARK_CHANGE!'[code]' | |
| mark_percent_change | =TOS|MARK_PERCENT_CHANGE!'[code]' | |
| bid | =TOS|BID!'[code]' | |
| ask | =TOS|ASK!'[code]' | |
| bid_size | =TOS|BID_SIZE!'[code]' | |
| ask_size | =TOS|ASK_SIZE!'[code]' | |
| bid_ask_size | =TOS|BA_SIZE!'[code]' | |
| bid_x | =TOS|BX!'[code]' | |
| ask_x | =TOS|AX!'[code]' | |
| open | =TOS|OPEN!'[code]' | |
| high | =TOS|HIGH!'[code]' | |
| low | =TOS|LOW!' | |
| close | =TOS|Close!'[code]' | |
| volume | =TOS|VOLUME!'[code]' | |
| open_int | =TOS|OPEN_INT!'[code]' | |
| implied_vol | =TOS|IMPL_VOL!'[code]' | |
| delta | =TOS|DELTA!'[code]' | |
| gamma | =TOS|GAMMA!'[code]' | |
| theta | =TOS|THETA!'[code]' | |
| vega | =TOS|VEGA!'[code]' | |
| rho | =TOS|RHO!'[code]' | |
| extrinsic | =TOS|EXTRINSIC!'[code]' | |
| intrinsic | =TOS|INTRINSIC!'[code]' | |
| probability_itm | =TOS|PROB_OF_EXPIRING!'[code]' | |
| probability_otm | =TOS|PROB_OTM!'[code]' | |
| probability_touch | =TOS|PROB_OF_TOUCHING!'[code]' | |
| covered_return | =TOS|COVERED_RETURN!'[code]' | |
| max_covered_return | =TOS|MAX_COVERED_RETURN!'[code]' |