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Using Option Chains at 1 Minute Intervals #483086
05/03/21 04:00
05/03/21 04:00
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Robert_ Offline OP
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Zorro does support option strategies, and can read historical option data from sources such as IVolatility.

It seems that for options Zorro may select the option data file based on date only, assuming that the option file contains EOD option data for that day only.

So if you are working on an intraday option strategy, and option data from IVolatility, which contains the options chains at each minute of the day, how do you select the correct option change at the time of the current bar ? It's not entirely clear how "Asset" function can select the correct data for a given bar that is being processed.

If anyone has done this before, any guidance would be appreciated.

Re: Using Option Chains at 1 Minute Intervals [Re: Robert_] #483091
05/03/21 21:35
05/03/21 21:35
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The tutorial has an options strategy where you can see how it works. But for using 1 minute options data you must obviously set the bar period also to 1 minute.

Re: Using Option Chains at 1 Minute Intervals [Re: Robert_] #483099
05/04/21 05:28
05/04/21 05:28
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Posts: 348
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Petra Offline
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Petra  Offline
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There are some subtle differences when you use 1 minute data, for instance you must then update the contracts differently in backtest and in live trading.

In backtest the options chain has also the prices, so load it at any bar. But live it loads no prices but can take up to 10 minutes, so better load it live only once per day.

Re: Using Option Chains at 1 Minute Intervals [Re: Petra] #483101
05/04/21 07:46
05/04/21 07:46
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pieran Offline
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Is there a descripttion in the manual for these subtle differences? I did not find these.
At the moment I am struggeling at importing IVolatility one minute data. I am using the sample file they are providing, but the CSV to Options script seems to have a problem with the import format:

// 2019-10-29 09:30:00,9327,SPX,2019-10-30,1800,C,E,SPXW 191030C01800000,1234.1,1237.3,2019-10-29 09:11:36,2019-10-29 09:11:36,7,7,W,W,0,0.3538,3034.4788,0.99993,0,0,0,0.0632,-1,0,2019-10-29 09:27:37,2019-10-29 09:30:00
string Format = "%Y-%m-&d %H:%M:%S,,,i,f,s,s,,f,f,,,i,i,,,i,,f"; // from the sample above

Last edited by pieran; 05/04/21 07:46.
Re: Using Option Chains at 1 Minute Intervals [Re: Robert_] #483103
05/04/21 08:11
05/04/21 08:11
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Petra Offline
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Petra  Offline
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For backtesting you need not care about subtle differences. But when live trading you should know how long it takes to download the contract chain from your broker. If longer than one bar period, you can obviously not load it at any bar and must load it less frequently. Preferably once per day and outside market hours. If you have problems, we have a service for programming your options strategy.

The ivolatility option formats are very different and change all the time, so you must normally adapt the code to the format of your data. We also have a service for that.



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