Trying to create a scanner to help myself identify opening option sales. I'm pretty close, but the final thing I need to figure out how to do is determine if a trade was executed at or near the bid so I can see if the results from my scanner were option purchases or sales.
Seems like ToS understands this to an extent, as trades are in green/white/red font in the time & sales data based on the trade price in relation to the bid/ask spread. Just looking to see if there's a way to help incorporate this information into a scanner so I don't have to manually comb through the T&S data of every result in the scanner.
Potential limitations here are that there will be buys/sells for the entire option chain, and I'm moreso trying to scan for the large block trades as opposed to the overall option itself. Conceptually seems like that may be impossible due to that limitation, but wanted to see if anyone has been able to figure something out in this area.
Seems like ToS understands this to an extent, as trades are in green/white/red font in the time & sales data based on the trade price in relation to the bid/ask spread. Just looking to see if there's a way to help incorporate this information into a scanner so I don't have to manually comb through the T&S data of every result in the scanner.
Potential limitations here are that there will be buys/sells for the entire option chain, and I'm moreso trying to scan for the large block trades as opposed to the overall option itself. Conceptually seems like that may be impossible due to that limitation, but wanted to see if anyone has been able to figure something out in this area.
