[R-SIG-Finance] Using quantstrat with options

[Brian G. Peterson]

There should conceptually be no difficulty with lots of symbols and 1-
minute data.  We pretty routinely use quantstrat on tick data or 1-
second data.

We pretty regularly segment our backtests with a loop around the calls
to applyStrategy that load data monthly or quarterly, add symbols to
portfolios or create new portfolios for each segment, and then run that
subset of the overall backtest series.

I do not trade options, so I can't help there, but you should be able
to manage the meta-data for the contracts by adding fields to your
instrument definitions.  If things like tick sizes and multipliers are
set correctly for the root symbol, then the accounting should work.

Regards,

Brian

-- 
Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock

On Thu, 2018-03-29 at 12:17 -0500, Sal Abbasi wrote:
> 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
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