A reliable source of historical options data is important to backtest trading strategies. Keeping this into consideration, we’ve come up with intraday 1-minute options data for Nifty and Banknifty. You can download this data into your computer and use it for your analysis in Excel, Python, or Amibroker.
As of now, we have data available for Nifty and BankNifty from 1st Jan 2021. We are in the process of adding more symbols.
It includes index spot data, futures data, and weekly+monthly options data. The options data is for the near week or month. Far week/month expiry data is not available.
The data is in a 1-minute intraday format and contains Open, High, Low. Close, Volume, and Open Interest.
The data would be automatically updated every week.
File Format and Naming Conventions
All the data files are in CSV format and can be readily imported into any charting tool.
If the filename contains the text “WEEKLY”, it means it’s weekly expiry data. Normally NSE options expire on Thursday of every week.
If the filename contains the text “MONTHLY”, it means it’s monthly expiry data. Normally NSE options expire on the last Thursday of every month.
For the last week of the month, there won’t be any weekly data files.
Also Read: Intraday 1 Minute data: Free Download
Symbol Naming Conventions
Following are the symbols available in different data files:
- NIFTY – Spot data for Nifty
- NIFTY-FUT – Futures data for Nifty
- NIFTY<StrikePrice><CE/PE> – Monthly expiry data for Nifty
- NIFTYWK<StrikePrice><CE/PE> – Weekly expiry data for Nifty
- BANKNIFTY – Spot data for BankNifty
- BANKNIFTY-FUT – Futures data for BankNifty
- BANKNIFTY<StrikePrice><CE/PE> – Monthly expiry data for BankNifty
- BANKNIFTYWK<StrikePrice><CE/PE> – Weekly expiry data for BankNifty
Steps to Import Historical Options Data in Amibroker
Step 1: Open Amibroker. Click on File → New → Database
Step 2: Specify the database name. We have named it “IntradayOptionsData” as seen in the below screenshot. And then click on “Create”
Step 3: Set “Base Time Interval” as 1 Minute, and “Number of Bars” as 500000, and click on OK.
You’ll get a warning message when you click on OK, but just ignore that for the time being.
Step 4: Click on File → Import Wizard → Pick Files, select all the CSV files that you’ve downloaded, and click on Next
Step 5: Define fields as shown in the below image. You’ll have to check on “More Columns” to get two extra columns.
Make sure to “Skip first 1 Line”, and change the separator to “Comma or Space”
Step 6: In the next screen, click on “Add current settings to ASCII importer Definitions”, and change the description and format file name. Then click on Finish
Step 7: It may take a few minutes to import the data. Once the data is imported you’ll see error logs (if any)
Step 8: Next you can group the symbols into watchlists for ease of analysis. Create one watchlist of Nifty symbols and one for Banknifty symbols.
From the symbols pane in the left, select all Banknifty or Nifty symbols, right-click and click on Watchlist → New Watchlist
This completes the data import into Amibroker for the first time.
Please note that for next time onwards, when you want to import only new data files, you can skip steps 4, 5, and 6 as you would’ve already created the importer definition. Instead, you can click on File → Import Ascii, select your files and directly import them based on your definition.
Download Historical Options Data
Get the download link by entering your email below. Alternatively, you can use this link.
The data would be updated on a weekly basis and would be available in the same Google drive location.
Please let us know if you’ve any questions, comments, or suggestions.