Hi All,

I've written a couple of options algorithms now and wondering if anyone can share some best practices to make them backtest more quickly?

I've built algorithms using the option chain (I wanted the Greeks) and I've also tried just adding a specific contract (cannot use the Greeks this way because there is no pricing model).

So far my tests have focused on a single equity and those run much slower than equities.  I understand there is much more data to be processed and assume that is why it is slower.  

In order to get access to data like the greeks and implied volatitliy for decision purposes we have to use the Option Chain.

I'm just curious for people who have written Option algorithms, do you have any best practices you follow?  Do you limit the number of equities you use in one algorithm at a given time?