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I would like to try some back-tests for the Vertical Spread RUT/SPY Option strategy with QuantConnect and met some issues.
Can I import my own data instead of using the data from QuantConnect?
The reasons are:
1 Quantconnect does not support index option so far( https://github.com/QuantConnect/Lean/issues/3616).
2 Quantconnect has data for the RUT option(https://www.quantconnect.com/data/tree/option/usa/minute/rut) since 2010, I have the data since 2000.
3 RUT option data from Quantconnect contains no field of "Delta", which is important for my strategy.
Appreciate your help or hint in advance;
Shile Wen
Hi Rex,
Importing custom data is supported, however, the option pricing depends on the underlying price, and we do not currently support the data for the underlying cash indices (SPX, RUT), and it's not possible to replace this using custom data. Instead of using Index Options, I suggest using options on equities that track these indices, e.g. SPY for SPX and IWM for RUT.
Best,
Shile Wen
Rex Fan
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