A step-by-step guide to building a live options analytics database using Python, SQLite, and SpiderRock MLink's LiveImpliedQuote feed. Covers database schema design with dual-table architecture (append-only history + latest-view upsert), REST API polling, data normalization, smile reconstruction, ATM IV and skew proxy tracking over time, and basic threshold-based alerting. Uses TSLA as the target symbol throughout.
Table of contents
Table of ContentsPrerequisitesWhat Data We're UsingSetup: Importing PackagesDatabase DesignPulling LiveImpliedQuoteNormalizing the Response Into RowsWriting to the DatabaseRunning a Short Polling CaptureAnalysis: Smile Reconstruction From the DatabaseAnalysis: ATM IV and Skew Over TimeAlert-Style ThresholdsWrapping UpSort: