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Option Backtesting in QuantConnect

Is it possible to trade options with QuantConnect?
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Yes! We just don't have the data right now. If you have your own data source we can hook that up by importing it as a custom source.

Kevin Roe also did an options simulation using the stock price.
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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.


Are you planning on obtaining option data in the future?

There's only http://www.ivolatility.com/ which offers options data download that I know of. Maybe, there's others. Interesting link https://quantcha.com for options searches - thanks for that!
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I use Option Net Explorer (ONE) for backtesting options strategies, but it's all by manual entry, and it doesn't have its own data stream. I get the stream of data from thinkorswim by TD Ameritrade. I have a free account with them (I don't actually do any trading with them because of the higher fees). ONE allows me to link it up to pull from thinkorswim. Is this a possibility here? I'm an options trader, and I would love to algorithmically trade with QuantConnect.

Thank you QC for creating this awesome community!
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Our pleasure @Michelle! If you're really keen with options you could really help by providing a sample of data and we'll start implementing the Option security type. We're really not options experts so if you've got some experience here we could definitely use your help creating the code.
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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.


I had actually looked into this earlier for @Michelle and the headache, as I recall it, is that thinkorswim uses DDE for the data stream :/

I'd be interested in helping on implementing the Option security type.
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Awesome thank you @Michael, I'll reach out on email & we should start with a quick call
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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.


@JaredBroad Is there any progress with the option data? Will it be available in the near future?
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No sorry @JP B its not high on our list at the moment and its primarily not possible because of data licensing issues.
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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.


@JaredBroad Unfortunately a common issue with market data providers.. Would it be possible to stream my own option data into the platform and use the normal OnData() function?
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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.


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