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Hi guys
I wanted to clarify a bit how orders are filled for options. From experience, I know that in-the-money and far-out-of-the-money options tick very seldom (but are quoted all the time).
Are the option fills calculated only on tick data (i.e. on option trades that really happened in the past) or are they executed on historically quoted bid/ask prices even if there was no trade at that particular option?
Thanks a lot!
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Louis Szeto
Hi Nimrare
In default, minute resolution or below will be filled by L1 data, i.e. Options are filled by quotes. You could overwrite this behavior with a custom fill model.
Best
Louis
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.
Nimrare
Hi Louis Szeto
Thank you very much for your answer! That is perfect.
Best,
nimrare
Nimrare
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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