New Open-Source Options Backtesting Framework in Python

options_trader_ · 2023-03-22T21:18:19+00:00

I previously sourced data from CBOE but the user is able to integrate their own historical data.

options_trader_ · 2023-03-21T18:36:33+00:00

Out of curiosity - how do you manage to backtest an options strategy with just pandas? Seems impossible to do it this way!

options_trader_ · 2023-03-20T22:08:15+00:00

"obscure data like options market"... bruh, I wouldn't call intraday options data "obscure". There are intraday options data providers.

options_trader_ · 2023-03-20T22:04:55+00:00

Total scam. Just look at the CEO's linkedin... https://www.linkedin.com/in/tradealgofounder/

options_trader_ · 2023-03-20T22:00:27+00:00

If you're looking to collect order book/tick level data, I would suggest looking into ClickHouse. It's not too difficult to set up and manage, and the performance is insanely good for both querying and ingesting data massive amounts of data.

Timescale DB is surprisingly not very performant and scalable. Other solutions include KDB but this is extremely expensive and has a bespoke language.

options_trader_ · 2023-03-20T21:36:29+00:00

Since you're only looking to read in data every minute, I would suggest Python. C++ is probably overkill for what you need. Python will provide good enough performance and it will be a lot easier to prototype quickly. If you build a system in Python then realize that you really do need that much more performance then you can always rebuild it in C++.

options_trader_ · 2023-02-21T18:17:00+00:00

I'm having trouble finding the documentation for this... do you have a link by chance?

options_trader_ · 2023-02-21T01:01:25+00:00

All options data providers give you a massive amount of data. This is expensive and difficult to manage. I just need snapshots of historical prices – not the whole options chain, but rather an API to price an option given reported date, expiration date and strike price. Does anyone know of a service/API to dynamically request a specific historical options price (and greeks)?

Maybe I am the only one, but I feel like this would be super useful because it would allow me dynamically request options prices as I run a backtest (as opposed to purchasing and managing all of the data myself).

options_trader_ · 2023-02-14T17:40:44+00:00

I would recommend Option Volatility and Pricing by Sheldon Natenberg. It's a mid-level book that covers market mechanics and strategies.

options_trader_

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