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Re: OptionsSimulate.c produces different .t8 than archive download
[Re: Spirit]
#473028
06/10/18 03:58
06/10/18 03:58
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Joined: May 2018
Posts: 134
SBGuy
OP
Member
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OP
Member
Joined: May 2018
Posts: 134
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Thanks for the response. The download description on: http://zorro-trader.com/download.php, says this. "D1 SPY Options 2011..2017 - Artificial option chain history (.t8 format, 30 MB)" So, I assume it contains options data from 2011-2017, inclusive. Based on simulations results, it appears there are options chain data when requested by contractUpdate(). The OptionsSimulate.c script has these variables: StartDate = 2011; EndDate = 2017; So, I assume it will generate options data from 2011-2017, as described in the Financial Hacker blog. The only difference as I understand it is that jcl provided a SPY.t8 download as an alternative to generating the .t8 using the script, which is time consuming. http://www.financial-hacker.com/algorithmic-options-trading/#more-2198
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Re: OptionsSimulate.c produces different .t8 than archive download
[Re: SBGuy]
#473063
06/11/18 19:33
06/11/18 19:33
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Joined: Feb 2017
Posts: 1,730 Chicago
AndrewAMD
Serious User
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Serious User
Joined: Feb 2017
Posts: 1,730
Chicago
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Without digging in, I will point out that dividend-adjusted history changes for every time that there is a dividend payout. Check this out: https://www.nasdaq.com/symbol/spy/dividend-historyYour dividend-adjusted history will be completely different every three months! Assuming the original script used dividend adjusted data, it should be a bit tricky to recreate the synthetic data exactly. Finally, it is not impossible for different data vendors to have different formulas for calculating dividend-adjusted history.
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Re: OptionsSimulate.c produces different .t8 than archive download
[Re: SBGuy]
#473065
06/11/18 20:19
06/11/18 20:19
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Joined: Feb 2017
Posts: 1,730 Chicago
AndrewAMD
Serious User
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Serious User
Joined: Feb 2017
Posts: 1,730
Chicago
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Aha, it is unadjusted. So which service provider is your data source for unadjusted data? And is this data identical to the Yahoo data that is no longer available? Do we even have a way to confirm this? By the way, the history script is under: Strategy/History.c It's available in the latest beta. Finally, check out the Z history editor, which lets you investigate t6 files. (Last time I checked, not t8.) Get it here: http://zorro-project.com/download.php
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