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open/close option positions not in front contract. #471363
03/01/18 08:32
03/01/18 08:32
Joined: Feb 2018
Posts: 15
J
jzastrow Offline OP
Newbie
jzastrow  Offline OP
Newbie
J

Joined: Feb 2018
Posts: 15
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?

Re: open/close option positions not in front contract. [Re: jzastrow] #471393
03/02/18 17:30
03/02/18 17:30
Joined: Jul 2000
Posts: 27,977
Frankfurt
jcl Offline

Chief Engineer
jcl  Offline

Chief Engineer

Joined: Jul 2000
Posts: 27,977
Frankfurt
Yes, an asset history is always needed, even when the unadjusted price is also stored in the t8 file.

Re: open/close option positions not in front contract. [Re: jcl] #471518
03/07/18 10:06
03/07/18 10:06
Joined: Feb 2018
Posts: 15
J
jzastrow Offline OP
Newbie
jzastrow  Offline OP
Newbie
J

Joined: Feb 2018
Posts: 15
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.


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