Options Strategy - Long Variable Window Warmup for Live Trading

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Hi Everyone! Hope all is well!

I am in the middle of putting together an options strategy and I'm looking for some assistance.  

Currently, I filter an options universe for a single security to find the option I want to trade when a given set of criteria is met.  With this option, I store that particular option's Implied Volatility (IV).  I then calculate a moving average of the last X number of days to basically tell my algo to NOT trade when IV is say 50% higher than the average over the last 30 days.

However, if I want to set this up to be a much longer moving average, say 250 days, the algo essentially needs to warmup the 250 days before it starts getting used.  So 250 days passes by, before that stored window begins to effect the trades.  

Once I port this over to live trading, my assumption is that I will need to live trade this algo for 250 days before this goes into effect.  Is there a better way to do this, so that once live trading, it can reference something where it gets that initial value and starts calculating from there?

Apologies if I'm not clear, somewhat new here! Looking forward to learning and hearing any feedback! 

-Nolan

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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.


Hi Nolan,

Options warmup is not currently supported by our platform. As a workaround, some users run backtests and store the results in the ObjectStore for later use.

Best,
Derek Melchin

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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.


Hi Derek,

Thank you for the quick response! I will give that a go come time to get it up and running live.

Best,

Nolan

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Update Backtest





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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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