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I am wanting to create a strategy that would be able to place option orders more quickly than at the minute-level, which it seems is the limit of the provided data for quotes and trades. Despite this limitation it seems I can subscribe to data on the underlying at a much more precise interval, at the second or even tick level. Assuming I use a mathematical model to estimate the price of an option contract that factors in the greeks of the last quoted price and any subsequent changes to the underlying, would I be able to create options limit orders with second-level precision?
I know that the credibility of the backtest results would depend heavily on the integrity of the model, but I'm just wondering if the backtesting engine could be set up to allow this (in terms of satisfying the Fill Model).
Jared Broad
Sorry, the only data we provide for options is at minute-resolution which is already 300TB and barely "backtestable" in QuantConnect. I don't think we'll support finer resolutions for the foreseeable future. As you mentioned the underlying is available; and you could attempt to model the option pricing but I am not sure it would be worth the effort. The model would have its own inaccuracies.
You could probably do this by manually "setting" the prices of securities or importing a new custom data feed to seed the prices of intra-minute option assets. Setting the price would be like shown here.
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Reverb
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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