options trading - prices and combo

Hi,

I just discovered Zorro and I'm very interested in option trading - which is what I do for living. I try to find answers in manual but it I'm still not sure.

I found that in Zorro enter is always on ask or bid price - at least when speaking about forex. Is the same in option trading ? I'm asking because I trade mainly SPX options where ask and bid prices are almost never use to make trades. Trade is usually placed between ask and bid, for backtest I use prices little above or below mid price . Using ask or bid prices in backtests is pointless because spread are very wide and could kill most of strategies.

So my first question is : Could I test strategies using some offset from mid price (mean of ask and bid) ?

And second question : could we use combo contracts as trading asset - and sending buy/sell order for it (for example butterfly - combination of 4 options) - as a one buy/sell order ?

No, Zorro does not always enter on ask/bid, it's up to your implementation.
Your in luck, in fact jcl (one of the authors of Zorro) just released his second blog post on options trading the other day. You should find some inspiration there

http://www.financial-hacker.com/algorithmic-options-trading/
http://www.financial-hacker.com/algorithmic-options-trading-2/

I think that if you want to backtest entering on some other values then bid/ask, you need tick data, right? Maybe minute data would work too, I am not sure.
Unfortunately that's quite expensive with options, especially if you need more stocks.
And if I am not mistaken, tick data wouldn't simulate exactly what would happen anyway, because when trading options, you know what price you get when you trade only, especially when there is a big spread.

As for combo trades, I think that Zorro handles each option separately. I don't know how to send combo orders.