I ran the example strangle selling code from financial hacker site on artifical SPY date (downloaded from Zorro site). I compared the option prices with ThinkOrSwim option prices. I see 10-40% differences in option prices so I believe the artificial historical data is far from optimal for backtesting. Can somebody recommend where to buy EOD option data and how to convert it to .t8 format? Thanks.
Re: Option Historical Data: where to buy and how to convert .t8?
[Re: konorti]
#470201 01/02/1815:5601/02/1815:56
We get data mostly from iVolatility, but there are also other sources. Conversion to .t8 is no problem using the dataParse function, but iVolatility has a dozen different formats, so you must adapt the format string.