[R-SIG-Finance] Using quantstrat with options

[Sal Abbasi]

Has anyone used quantstrat with options?  I’ve found lots of examples where people are using it with equities and one where someone is using it with futures but have not been able to find any examples of people using it with options yet.  I’m trying to backtest some index options strategies, and wanted to ask about a pragmatic way of using quantstrat when there are so many symbols involved (one per strike / maturity).   Also there is a lot of market data involved since I’m using 1 minute bars, so I was wondering whether I should create a subset of my market data for the minimum required before feeding it to quantstrat or whether people have done something where quantstrat can look up the data it needs from indexed files on disk as it runs and does not need to hold it in memory.

Best,

Sal