Thanks jcl, this clears it up somewhat.

Suppose I want to try a simple strategy using the additional data. Suppose I have options.t8 and options_with_additional.t99, where the latter is simply a superset of the former (i.e. the T99 also includes, beside additional data, the data that's already in T8).

I'd first load up both datasets, and update the contract chain with contractUpdate to the T8 dataset.

After that, I need to find the date for which I'm wanting to trade, and get the appropriate rows from the dataset using dataFind and the bar date (wdate?). Then, I'd loop thru the dataset, and figure out which contract(s) I want to trade. With this information, for each contract I want to trade, I'd create the CONTRACT struct, and try to find a matching contract within the chain (contract() function), and enter the appropriate positions.

Would this be a sensible approach?

Alternatively, from what I can figure from your answer, you were suggesting first going thru the contracts, and then use dataFind to use the appropriate greeks. In this approach, it's not clear how would I loop thru all the possible contracts to identify the ones that I want to trade.