Like any other instrument, blotter will either need option prices
timeseries in either OHLC or BBO format.




On Fri, Apr 11, 2014 at 11:17 AM, Noah Silverman <noahsilverman@ucla.edu>wrote:

> Hi,
>
> I'm inserting a ton of old trading history into the blotter package for
> some analysis.
>
> A bunch of the trades were for options (and a few for futures.)  Blotter
> uses the Financial Instruments package to define the meta-data, and
> documentation there is clear on how to setup an option and related
> option chain.
>
> However, I also need to load in the historical data for each option.
> Yahoo, and Google do not provide historical option data, but I have
> purchased a few years of history inexpensively.  So, I need help
> figuring out what format and where the option pricing data needs to be
> so that blotter can correctly value the portfolio and track the trades.
>
> Thanks,
>
> --
> *Noah Silverman, PhD* | UCLA Department of Statistics
> 8117 Math Sciences Building, Los Angeles, CA 90095
>
>
>
> (NOTE:  Apologies for the cross-post. Originally posted in r-help, but
> then realized it is probably better asked here.)
>
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>
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