Back in the day I had to learn and test on a learning platform of a Market Making firm in Chicago, so I'm very versed in Options. I'm not sure how deep Tomasz knowledge is with them. It would be a huge undertaking I think. It would be much easier to have AB work with an existing piece of software all ready in existence, or a API to think or swim etc.
Do you have historical data (db) for options prices? It is very difficult, because when you seen some of those offered online, they are very expensive and unfortunately with regards to these options databases, the devil is in the details.
For example, to get the implied volatility (which actually changes during the day) you need simultaneous bid and offer snapshots at the exact time the option trade takes place. When dealing with EOD options, the activity of ITM and OTM options last trades may have been sparse and earlier in the day. So what underlying price are they using to calculate implied last trade, bid/offer, mid ….and when? It becomes a mess. Also because there can be 2 million series LISTED on any day (and new ones get added as the calendar moves and the Underlying moves. So are these databases complete?
I wrote a program to download and store all the series listed every day and store it. It started running maybe mid last year, although it has symbols and OI, it doesn't have pricing. I just thought I could use the options symbol database some day. BTW, you can get the intraday options backfill from Google Intraday using the OPRA: prefix.
As far as back testing, for fun I resurrected a C# project that use to exist out there called Options Oracle, I fixed it and was going to rename it OO Phoenix version, but didn't want to mess with licensing. I think it is suppose to be backtest capable.
-S
From: amibroker@yahoogroups.com [mailto:amibroker@yahoogroups.com]
Sent: Sunday, March 20, 2016 11:54 AM
To: amibroker@yahoogroups.com
Subject: [amibroker] Options trading/backtesting in AmiBroker
Hi,
can AmiBroker be used for options trading and for backtesting options trading
strategies?
I think the database structure should have the following additional fields
important with options:
Bid, Ask
I'm not sure whether AB has these fields.
OTOH I think I saw somewhere that OpenInterest (OI) was mentioned,
so is this field already available in the AB database?
Would be good if someone could give a summary of suitability of AB for options
trading. Thx.
Posted by: Howard B <howardbandy@gmail.com>
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