Posted By: AFJG
SPY_Options.t8 - 09/30/17 17:19
I have successfully downloaded R and RQuantlib. I created a T6 file in "Yahoo" Format which comes out as Time, O,H,L,C,Spread,Vol.
I have run OptionSimulate.c without any apparent problems but the file seems to be a nonsense. I have looked at the struct in the manual and contract.c and opened the binary file with python / numpy since I am none too familiar with C.
ZHistoryEditor does not permit viewing of t8 files.
When I run the script contained here "http://www.financial-hacker.com/algorithmic-options-trading/" merely get a chart of the time series:
Any ideas? Unfortunately I can't upload either the t8 or t6 file here
I have run OptionSimulate.c without any apparent problems but the file seems to be a nonsense. I have looked at the struct in the manual and contract.c and opened the binary file with python / numpy since I am none too familiar with C.
ZHistoryEditor does not permit viewing of t8 files.
When I run the script contained here "http://www.financial-hacker.com/algorithmic-options-trading/" merely get a chart of the time series:
Code:
#include <contract.c> void run() { BarPeriod = 1440; StartDate = 2004; EndDate = 2005; assetList("assetsFIX"); //assetHistory("SP",FROM_YAHOO|UNADJUSTED); asset("VIX_2004"); if(is(INITRUN)) dataLoad(1,"VXX_Options.t8",9); Multiplier = 100; contractUpdate("VIX_2004",1,CALL|PUT); int Type = ifelse(random() > 0,CALL,PUT); contract(Type,30,priceClose()); static int LastExpiry = 0; if(ContractType && LastExpiry != ContractExpiry) { enterShort(); LastExpiry = ContractExpiry; } }
Any ideas? Unfortunately I can't upload either the t8 or t6 file here