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.