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The National Stock Exchange of India allows traders and investors to download bhavcopy equities data (NSE Stock Quotes), as well as bhavcopy derivatives data. The Derivatives data contains futures and options non-continuous contracts historical data.
The current downloader gets these quotes data from the NSE website, decompresses the ZIP archive file, parses the data, creates the futures and options symbols, and finally fills your database. The data is downloaded by date; you can choose the start and end date in the downloader form.
No specific futures or options symbol names are reported. However, the company symbols and the expiration dates are available, so I have created the symbol names using the following format: [Symbol name]_[Expiration Date]. For example, the contracts for ABAN (Aban Offshore Ltd.) are:
ABAN_26-FEB-2009
ABAN_26-MAR-2009
ABAN_29-JAN-2009
ABAN_30-APR-2009
...
If you want, you can change this in the Pre-Script code.
For options, the symbol format is as follows: [Symbol name]_[Expiration Date]_[Strike Price]_[Put or Call]
PA for Put and CA for call.
Example: CROMPGREAV_29-Jan-2009_110_PA
This is a put option for the security "CROMPGREAV". The put option expires in 29 Jan 2009 and it has a strike price of 110.
Sometimes the open, high and low fields reported by the NSE are set to zero. In that particular case, I have used a Pre-Script that changes these values and sets them to the close price value.
This NSE derivatives source is http://www.nseindia.com/archives/archives.htm
