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Re: Easiest way to get 1m History? [Re: TimExcellent] #484385
10/18/21 21:35
10/18/21 21:35
Joined: Aug 2017
Posts: 70
Netherlands
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Grant Offline
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Grant  Offline
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Joined: Aug 2017
Posts: 70
Netherlands
Most prob not since it's only 150 MB in size. AFAIK, you need to pay for intraday options data at cboe.com ot other sources.

Re: Easiest way to get 1m History? [Re: Lapsa] #484386
10/18/21 22:07
10/18/21 22:07
Joined: Sep 2021
Posts: 6
Waikato
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TimExcellent Offline
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TimExcellent  Offline
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Joined: Sep 2021
Posts: 6
Waikato
Do you know how to produce synthetic 1 min options data from the 1 min SPY data, and output to the History folder?

Re: Easiest way to get 1m History? [Re: Lapsa] #484387
10/18/21 22:31
10/18/21 22:31
Joined: Aug 2017
Posts: 70
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Grant Offline
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I don't think it's a smart idea. A small difference between real & theoretic option prices wouldn't be a problem for EOD data, but it could have a big impact on the quality of your strategy in a high frequency scenario. I don't work with these data, so I could be wrong on this.

Anyway, you could create these prices in a spreadsheet, using a Black & Scholes or Cox-Ross-Rubinstein model (more precise), save it as an CSV file and convert it by using the dataParse function (see https://manual.zorro-project.com/history.htm)

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