Its a variable. You can set it.
Petra – thank you!
Indeed when set to ExpiryTime=1200, I see the old option trading behavior around the expiration time.
However, the option strategy performance I am testing is still different between the different Zorro versions.
Using the same Zorro script, same data, same R installation I have also noticed that Zorro 2.40 used to select longer expiry options (than specified 6 weeks) more often and Zorro 2.44 tends to be more precise – is it possible that some bugs in option selection procedure were fixed or some other changes were implemented?
