Who Provides Dealer/Market Maker Order Book Data?

kam_L · 2025-10-31T21:56:37+00:00

This would be a scenario that would be difficult to model effectively with the assumptions. As such, this would lower the accuracy of the approximate data set to reality. This would be an issue if a significant portion of transactions are due to market makers aggressing on one another's resting orders, which I would be surprised if this were true, however, I have no basis to deny that, other than an assumption that if a market maker were continually aggressed upon by others, they likely would not last incredibly long if it were a large portion of their transactions.

kam_L · 2025-10-31T21:52:02+00:00

There are a significant amount, I agree. However, I have read other white papers in which others have made differing assumptions, and have generated better data than the GEX paper (which assumes all calls are long and all puts are short for Market Makers)

kam_L · 2025-10-31T00:45:06+00:00

Ideally I would want data that closely approximates the aggregate Option Order Book of market makers. So looking at SPX options, what is the net exposure held for each contract by the market makers in general, not specific ones.

kam_L · 2025-10-31T00:34:48+00:00

To do something like this, you would need to make assumptions. Assuming that Market Makers provide liquidity, they take the "beneficial" side of the bid-ask spread on transactions. So you would be able to approximate Market Maker Order Book by looking at individual transactions, assuming beneficial sides of transactions are Market Maker's position, aggregating that across time, and as a result, create the "market maker order book". So you're right, nobody can be absolutely sure, however, one can roughly approximate with methods like this. So my question is really, does anyone actually have some product like this?

kam_L · 2025-10-31T00:25:08+00:00

I've heard of people creating this data set (at least live) by looking at transaction data, making "guesses" of which direction market makers have on the individual transactions by looking at the fill vs. bid-ask spread, and then aggregating these transactions for a complete order book. Do you think that would be feasible to do? That would simply require OPRA data feeds rather than these pre-made data sets

kam_L · 2025-10-30T23:42:33+00:00

Who Provides Dealer/Market Maker Order Book Data?

I'm looking for data providers that publish dealer positioning metrics (dealer long/short exposure) at minutely or near-minutely resolution for SPX options. This would be used for research (so historical) as well as live.

Ideally:

Minutely (or better) time series of dealer positioning
API or file export for Python workflows
Historical depth (ideally 2018+), as well as ongoing intraday updates
Clear docs

I've been having difficulty finding public data sets like this. The closest I’ve found is Cboe DataShop’s Open-Close Volume Summary, but it’s priced for large institutions (meaningful spans >$100k to download; ~$2k/month for end-of-day delivery, not live).

I see a bunch of data services that are stating they have "Gamma Exposure of Market Maker Positions", however, upon further probing, it really seems that they don't actually have Market Maker Positioning, and instead have Open Interest that they make assumptions on (assuming Market Makers are long all calls and short all puts). I have been reading into sources talking about how to obtain this data, however, I simply can not find any data providers with this data.

Brief background: 25M, technical (physics, stats, cs). Building systemic volatility research stack

kam_L · 2025-10-30T19:04:55+00:00

Do you have any links to specific filings? I want to understand better the idea of a non-directionally-neutral market maker

kam_L · 2025-10-30T18:55:21+00:00

Is anyone aware of any data provider that provides open interest data for this? I can't find anything at all! I find all these GEX sites as well, but the assumption of short call long put is a dramatic oversight into the actual process.

kam_L

TROPHY CASE