Hi all,
Please any one used Zorro to trade futures options ? e.g. /ES or /MES or /NQ ? I am trying to construct asset loop "while(asset(loop("ES","MES","NQ"))) " but the problem is futures expiry is every 3 months ( Quarterly) and I want to trade weekly FOP for the same underlying For e.g. I want to trade 20240105 weekly expiry ES FOP for March 20240315 expiry FUT. I am confused as to how to address this in code within asset loop and able to accurately call correct weekly option chain , select correct strike price ( based on 30 delta) based on Quarterly FUT current price and accordingly manage assetVar for each assets within loop which i believe is automatically rotated by Zorro based on asset selected at the time subject to loop and asset is correctly set?

It is easy to write this for other assets like Index or stock options but futures options is a different challenge !? specially for newbies and no sample codes in Zorro's help file !

Please your help is very much appreciated. Thanks

Between -Happy 2024 everyone !

Cheers

You can either use a specific symbol for a FOP that includes expiration and strike - see https://zorro-project.com/manual/en/symbol.htm. Or you download the options chain that includes all expiration and strike combinations, and select your FOP from the chain. For the options chain you only need the underlying symbol.

Thank you so much for your help JCL , The preference is second option as i understand first option may need asset list for all possible options exipry & strike updated ? For the second option - which is to download options chain with all expiration : The underlying is futures symbol which is very specific and need expiry date so I will have to update Asset csv file with 4 quarterly futures expiry and call them from asset loop , the problem is due to future symbol having expiry date it only download specific expiry month options and not weekly e.g. quarterly futures expiry as an asset symbol would only download march expiry chain and not weekly expiry . Also is there a way to span across different futures ( e.g. two different futures assets - march expiry and June expiry ) to load options chain as for calender or diagonal spread strategies ? please your input and help is much appreciated . Thanks again

Cheers