Hello,
I am trying to set up my program so that I get following slice data for a security and a few of it’s options for every tick. I need this from Jan 1, 2019 until now
1. SPY ETF
2. SPY Option 3 year option "SPY 211217P00260"
3. SPY Option 2 year option “SPY 200919P00260”
4. SPY Option 3 month option “SPY 200919P00260”
I tried using filter as shown in option template program but my problems are:
1. Though I need specific option, I have to specify large spread (means too many options)
2. To get all three options I have specify time frame too large (too large)
3. I can live with hourly or daily data. Option data is provided every second and I don’t know how to specify coarse granularity.
This is making program extremely slow and simulation becoming almost unusable.
Any suggestion or sample program which shows how I can accomplish this efficiently? (I am using python)
Thank you
Sachin