open/close option positions not in front contract.

Posted By: jzastrow

open/close option positions not in front contract. - 03/01/18 08:32

When an option position is openend/closed in a contract expiring in a later contract than the next expiring one, is there always the correct price value used from the .t8 fUnl field?

The logs seem only to show the current price taken from the asset.

assetHistory("CHRIS/ICE_T4", FROM_QUANDL | UNADJUSTED);

Loading this data is not useful at all, even unadjusted.
Do I acutally need an asset history beside the t8?
Posted By: jcl

Re: open/close option positions not in front contract. - 03/02/18 17:30

Yes, an asset history is always needed, even when the unadjusted price is also stored in the t8 file.
Posted By: jzastrow

Re: open/close option positions not in front contract. - 03/07/18 10:06

I'm using t8 files with daily bars where the prices are calculated for the closing price only.

How can i create also virtual bars for high/low values during the day because e.g. ATM options change their prices a lot?

Split trading days in 4 bars (open, hi, low, close)?
But one needs to be careful not to create a strategy with a bias to that "fake" order.
© 2024 lite-C Forums