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Options and Forward Fill Data // Combo/Spreads trade data

Hi, due to the nature of options (many strikes, leading to large periods of time without trades for individual strikes even if the underlying is high volume), I'm curious how your forward fill data works.

Specifically, I'm interested in the "lastPrice" for the option contract. Do you do any correction for that price if it's forward filled based on the underlying movement or is that something that should be done by an algo? 

It doens't look like the timestamp for the last trade is directly available in the object, is that something you might be considering adding? As we're in minute resolution, it's something that could be saved internally but that would be a little cumbersome. Additionally, a little more accuracy might be obtainable with a refined timestamp in order to get the underlying price if there happens to be high movement during that minute.

Secondly, it doesn't look like there's been any recent progress on Combo Orders for IB? 

Looking at AlgoSeek's data, it looks like you could reverse engineer some spreads (they have pretty precise time tables, so it's fairly obvious when a spread is traded).

Are you considering any ways to access that data? Also a question that might be more suited for AlgoSeek directly, do you have quote data for spreads? (while often times this can be constructed from the legs, when other people are trading the spread you're looking at there can be large differences). I'd be curious to know if the spread quote data could be used to fill orders in backtesting (If I had a limit order open that matched a bid on a spread but not the individual legs - would it fill?)

Thanks,

Duncan

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Hey Duncan! Fill forward is the last trade or quote that the algorithm has received. You can disable it with fillForward false parameter when you add the option.

We prioritize bugs over features and have had a long period of bug fixes and stability improvements. This has made LEAN much much better for live trading and the community growth in live trading has exploded over the last year. We'll add other features such as combo orders soon but documentation and bug fixes come first.

Open source contributions are a loophole to this :) If you'd like a feature fast-tracked please implement it in LEAN and contribute it to the open source page.

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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.


Fair enough. Do you have the quote / trade data for combo orders from your provider?

Alternately, if you have data in the format shown on their sample page, it should be possible to back out combo trades at least. That might have to be back-end only, depending on what they'd let you give access to. 

Otherwise, there isn't really any point in writing the code for backtesting, and instead just getting something going to map to IB's combo order api. 

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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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