Gahow Wang
05c2ac4c78
The indicative feed's quotes are derived, not OPRA quotes (Alpaca docs); the OPRA BBO needs the $99/month plan. Option bars are computed from OPRA prints and are free beyond the last 15 minutes, back to 2024-02. - snapshot also stores OPRA daily bars for every contract expiring within 0-100 days (active and same-day inactive, so 0DTE volume is kept), and bases option volume, os_volume and pc_volume on them. - snapshot samples three near-the-money contracts per name and compares the last 15:45-16:00 OPRA print with the indicative quote (share inside, IV error). status gives the pre-set verdict after 20 sessions: adequate if >= 90% inside and median |IV error| <= 1 vol point. - backfill fetches daily bars since 2024-02-01 for every S&P 500 member since then, one resumable file per underlying, pausing 16:10-16:55 New York; volume-panel builds the daily option-volume panel. - Bar requests send a timestamp end capped at now - 16 min: a date-only end of today returns 403. Adjusted (non-OCC) roots are skipped. The daily path and the backfill agree contract by contract on AAPL 2026-10-09 (1,068 contracts, identical volume). Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
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