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Is More Historical Option Data being added? I was running some strategies and tested something as far back as 2007, but nothing started trading until Jan 2009. I then found that documentation sites only Jan 2010 and further. And I also found another Further Post where it is mentioned that QC had from 2007 but because of symbol name change mapping won't be able to get further back.
2 sub questions:
1)Is there any chance you guys fixed this and will be able to go back to 2007? would be great to see how option strategies performed during the 2008 crisis.
2) Is 2009 data reliable? documents say only Jan 10 onward. (I'm using SPY)
thanks for any information
Rahul Chowdhury
Hey Andrew,
In 2010 the Options Clearing Corporation (OCC) set in place a new method for designating option symbols.
The option tickers before 2010 are currently incompatible with QuantConnect's systems.
Learn more about that here:
https://www.investopedia.com/articles/optioninvestor/10/options-symbol-rules.asp
Best
Rahul
Andrew Chan
Thanks for the response Rahul, but even if the symbols changed shouldn't it still work? since the Old OCC symbol format is not used in the file format and the files in
https://www.quantconnect.com/data/tree/option/ are stored in the new/current format ( github.com/QuantConnect/Lean/tree/master/Data/option )
Jared Broad
There is no way to map the tickers; in the event of a rename or ticker mapping we won't know the new option chain to monitor. The data post-2010 automatically changes the option ticker in the event of a rename/mapping so it is officially not supported, but use at your own risk. It is likely you'll be backtesting on option chains of totally different companies without realizing :\
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.
Manoj Agarwala
Is there way to test before 2010 by breaking the testing into 2 parts:
- before 2010
- after 2010
The algorithm can through an exception if it encounters a cross over. I badly need to test how my algo wpuld have performed during the 2008 crisis.
Jared Broad
Unfortunately, it's not a simple ask Manoj - we manually mapped the tickers for the SPY ticker since 2007 for a commercial client and the community can now backtest on historical data. It was a difficult task requiring manually mapping the pre-2010 OCC symbology and tracking down the contracts. It took 1-week of engineering time and $2,000 of data. We can do this service for $5,000 per ticker requested on a case by case basis.
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.
Andrew Chan
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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