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Each time when I run my backtesting I receive different prices for SPX index options (minute resolution), same code for SPY works fine.
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Mia Alissi
To address the issue of receiving different prices for SPX index options during backtesting, here are some steps and considerations based on the information gathered:
Data Subscription and Integrity:
Pricing Model Consistency:
OptionPriceModels.black_scholes()is a common choice for pricing options. Make sure this model is applied consistently across both SPX and SPY options in your algorithm.Algorithm Code Review:
add_indexandadd_index_optionmethods are used correctly with the appropriate resolution and market parameters.Testing and Debugging:
By following these steps, you should be able to identify and resolve the discrepancies in SPX index option pricing during backtesting. If you need further assistance with specific parts of your code, feel free to share them!
Sources: Costs - QuantConnect.com, Pricing - QuantConnect.com, Index Option Call I T M Greeks Expiry Regression Algorithm, US Index Options - QuantConnect.com, Universes - QuantConnect.com
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Vasily Aristarkhov
Of course, I check everything many times. As I said - the same code works well with SPY options, but SPX/SPXW options and other index options have issues. Every new backtest shows another priceses for option contracts. Probably it is related to some issues with data feed, synchronization?
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.
Vasily Aristarkhov
I've found the issue, for tracking SPX index I used hour interval instead of a minute what gives random values at minute resolution
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.
Dan Aldea
Hi Vasily, for SPX 0DTE, do you use the symbol “SPX”, or it's something different like SPXW for weeklies?
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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