[R-SIG-Finance] Using quantstrat with options

[Sal Abbasi]

Thank you.  Just loaded up a few symbols and it seems to be working great so far.

> On Mar 29, 2018, at 12:32 PM, Brian G. Peterson <brian at braverock.com> wrote:
> 
> 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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