If someone got the point of backtesting an algorithmic options
strategy and obtained data - the one would "normally" use the greeks, rather sooner then later.
Having to store and process same data twice just magnifies the "size" problem for a typical user.
Some more questions:
1. What should the sequence of fields in a dataset be for the ContractRaw to work?
2.
contract (int Type, int Days, var Strike): CONTRACT*
Will ContractRaw get set to the contract found with this function? If not, then what's the suggested way of setting it upon calling this function?
3. Using "ContractUpdate()":
- to improve efficiency, it would be great to be able to limit retrieved chains to "max N-days" from now and "X-stds" strikes from current price, or do this manually - as per manual.
2.
In [Test] or [Train] mode the chain is copied from a dataset containing CONTRACT records, which is either automatically obtained from a Name.t8 file, or copied from a previously loaded dataset with the given Handle
What should be the sequence of fields in such dataset?
4. What's the principle of sequencing records in a chain - from 1..to NumContracts?
5. What CONTRACT Struct fields are populated by ContractPrice()in RT?
Will the price of underlying get updated?
I am trading spot FX, but would like to implement a strategy with options on futures..
Best
Z.
