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Does anyone know if there are any plans to have higher time frames for Options data? (Hr, 4Hr Daily, etc)
The 1 minute resolution is brutal for backtest speed... especially if I only need daily data.
I just joined recently, so bear with me if the answer is common knowledge in the community.
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Jared Broad
Yes I appreciate how slow that must be fore your use case! Did you check out the option contract provider? That gets pretty good speeds.
We will do it next year. It's not a huge task we're just swamped at the moment.
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz.
Just realized i never responded to this. Apologies.
No worries. If it's easy enough I can take a crack at it, with some directional guidance.Â
Jared Broad
It's reasonably hard. We realized some things this year about how option exercise works:
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz.
Ah, yeah that definitely sounds non-trivial.
Another question, in pursuit of solving the core problem (for me), which is speed:. Is it 'easier' to get more powerful nodes so the backtests can run faster?Â
Derek Melchin
Hi .ekz.,
Yes, a more powerful backtest node is one way to increase the execution speed. Another way to speed up the backtest speed would be to use C# instead of Python.
Best,
Derek Melchin
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Carsten
Jared Broad Â
Any new updates or tricks to speed up if one only needs daily option data?
thanks
Varad Kabade
Hi Carsten,
We have started working on Daily option data. Unfortunately, it's not only a matter of consolidating data, because of the handling of assignments and expiration in the engine. We will announce it to the community whenever it is ready.
Best,
Varad Kabade
.ekz.
Thanks Varad Kabade .
Question: will hourly options data be available at the same time as Daily options data?
Derek Melchin
Yes, hourly and daily resolution options will be available within a week.Â
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
.ekz.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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