[R-SIG-Finance] Using quantstrat with options

[Sal Abbasi]

What is a good way to model holding an option till expiry?

The only way I can think about is this:

1.  For each option, add or update the final bar’s price to option expiry value (0 or intrinsic value).  For many options, there is no market data at expiry date / time since the option is too deep in the money or out of the money, so I would have to add the final bar if it does not exist.
2.  Add or update the penultimate bar so the order can be generated at the penultimate bar and executed at the final bar.
3.  Add an indicator for time to maturity
3.  Add a signal for ttm == 1 minute (since my bars are 1 minute long)
4.  Added a rule to exit when ttm == 1 minute (the order is generated at ttm == 1 minute and gets executed when ttm == 0)

Is there a cleaner way to accomplish this?

Best,

Sal

> On Mar 29, 2018, at 3:06 PM, Sal Abbasi <abbasi.sal at gmail.com> wrote:
> 
> 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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>