CSV output of trades by Richard Hale Shaw

Richard Hale Shaw INVESTOR

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https://screencast.com/t/OsxczOT9

In the CSV output from running a trade backtest, is it possible emit data that is more friendly if imported into a spreadsheet?

- Time appears to be Zulu (Greenwich Mean) but Excel doesn't seem to recognize and convert to local time.

- The option symbol is useful - but if you can additionally emit the strike, expiration, etc. that would save time having to look it up (or write a program to do so) and focus more on whether or not the backtest code is doing what it should.

- And what is the Status column?

Thanks!

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Richard Hale Shaw

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Alexandre Catarino

Thank you for your suggestions.
Status column is OrderStatus:

public enum OrderStatus 

{       

    New = 0,

    Submitted = 1,

    PartiallyFilled = 2,

    Filled = 3,

    Canceled = 5,

    None = 6,



    // Order invalidated before it hit the market 

    //(e.g. insufficient capital)..

    Invalid = 7,



    CancelPending = 8

}

Richard Hale Shaw

139 ,

Excellent. Thanks, Alexandre.

Do the libraries have any lookup functions that can take an option code and return its identifying components (strike, expiration, etc)?

Alexandre Catarino

The options code follows the OSI terminology.
In Lean, this code is written by the SymbolRepresentation.GenerateOptionTickerOSI method.
Once we get issued to it, we don't need a decoder:

SPY 160219P00201500



SPY:      underlying

160219:   Expire date (yyMMdd)

P:        Put Option

00201500: Strike (in $ multiplied by 1000)

Richard Hale Shaw

139 ,

Ok. I think what I was looking for is to take the OSI code and generate the components - but the method right below GenerateOptionTickerOSI, ParseOptionTickerIQFeed, seems to do just what I need.

So you feed the code to latter and you get back an OptionTickerProperties that's filled out with these, no?

Alexandre Catarino

Unfortunatelly, no.
That method parses the IQFeed Options Symbology that is different from the OSI terminology we use in the CVS output. It looks like the old-school symbology that uses letters to represent expire dates. Here is the Wikipedia article that discuss it: Option naming convention.

Richard Hale Shaw

139 ,

Got it.

So *is there* a method that parses the OSI code into its components?

Alexandre Catarino

Unfortunatelly, there is not.
However, if we were to implement it, it could look like this:

private Symbol ParseOptionCode(string codeStr)

{

    var code = codeStr.Split(' ');



    return QuantConnect.Symbol.CreateOption(

        underlyingSymbol: code[0],

        market: Market.USA,

        style: OptionStyle.American,

        right: code[1].Substring(7, 1) == "C" 

            ? OptionRight.Call 

            : OptionRight.Put,

        strike: decimal.Parse(code[1].Substring(8)) / 1000m,

        expiry: DateTime.ParseExact(

            code[1].Substring(0, 6), DateFormat.SixCharacter, null));

}

Richard Hale Shaw INVESTOR

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