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Hi there,
Found the following Options data issue for SPY Puts today.
2015-08-19 09:31:00SPY 150821P00166000-Fill: $57.00 USD
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Louis Szeto
Hi Mark
We believe the datapoint is valid. This is a quote bar data not a trade bar, in which market makers would make extreme quotations. Please provide an example backtest if you need further assistance. Thank you.
Best
Louis
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Mark Reeve
Hi Louis,
Is it possible to specify a backtest use only TRADE bar data instead of Quote data? I have found that almost any options strategy backtesting over a few years using deep OTM options is a mess as price spikes occur that would never have been traded at.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Mark Reeve
Hi @louis-szeto_1 ,
I ran another backtest today using QQQ options. Check it out below. I find it hard to believe that is a valid data point on that same date.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Varad Kabade
Hi Mark Reeve,
Thank you for your patience.
In order to not fill at the bid and ask, we need to write a custom fill model that uses the TradeBar price.
To iterate through only trade bars, we need to use the Contracts property of OptionChain class. Refer to the following docs for more information. We receive data from vendors, and any suspicious ticks are removed already, so we believe the data can be trusted. We recommend rerunning this algorithm because we have reprocessed options data.
Best,
Varad Kabade
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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