Options trading
Author: heech
Creation Date: 10/23/2008 1:56 AM
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heech

#1
Hi all,

I *believe* I know the answer to this already after searching through the forum... but I just wanted to confirm:

- WL5 will allow me to get pricing for any current (non-expired) options within my strategies (using the '-xxxxx' naming convention used by Fidelity),

- however, WL5 will NOT allow me to actually do automated trading of options.

- any strategies back-testing I do will also not be available with expired options.

Is that correct? And if so... well, it's a little disappointing. I'm looking at a strategy that's heavily options dependent, and the only other solution I'm familiar with is TradeStation.
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Cone

#2
You should call Fidelity about the options available. We're not qualified to answer these questions that deal with Fidelity back-end issues.
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heech

#3
Hi Cone,

Okay, I'll get in touch with Fidelity about back-end data for expired options.

What about automated trading of options? Is Wealth-Lab integrated with Fidelity's trading interface, allowing me to submit orders for options?
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Cone

#4
I don't think so, but you should ask Active Trader Services about it. Generally speaking, Wealth-Lab is for backtesting stocks and futures.
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DaveAronow

#5
In general almost no backtesting packages have full support or even limited support for options, save for the option specific packages such as optionetics, etc. Historical data for expired options is expensive and often not very useful (for less liquid options there may be no trades so you have no way to determine a price and if you have a trade price without the bid/ask you don't know if you could have gotten that price.

IB offers expired futures data, but I've yet to see an online data vendor offering expired options data (usually you order a CD with daily prices).
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heech

#6
Hi Dave,

I've actually ended up buying some expired options data with EOD ask/bid, along with various volatility + greek calculations. The cost is approximately $150/yr. That should be good enough for at least a rough start. I found them at deltraneutral.com, or at least one of its sister site.

Now the question is how to import this CSV data in their format into something that would be usable with Wealth Labs... anyone out there want to help me with this? :)

I'm a C/C++/Java systems programmer with some experience in C#, but it looks like the API has been pulled by Fidelity. Wouldn't this be a GREAT feature for WL to implement in-house? :)
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Cone

#7
Just use the ASCII Provider. It's very configurable.
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heech

#8
Cone,

I'll do some research into that, but let me ask another question before I dig too deep into it.

The CSV file includes entries showing option root + expiration. Will the ASCII provider be powerful/configurable enough to interpret that data and let me do some simple queries on it? Pull up a specific option on a specific date based on root + strike + expiration?
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Cone

#9
No. ASCII Data must be one symbol per file. The root filename is taken to be the symbol name.