|
PureBytes Links
Trading Reference Links
|
On Fri, 18 Aug 2000 08:47:54 -0400, you wrote:
>>Is it really necessary to have bid/ask histories? Imo, most TA people
>>do not use them in their systems, even if they may be very helpful.
>
>Yes it is - in fact it is the only true way to know what an option's price
>has been / is.
>
>A lot of trades in options are spread trades. When I place a spread trade,
>the prices of the individual legs are left to the discretion of the floor
>market maker. The floor usually will give a b-a quote for the spread itself,
>and when filled, they will give you the individual legs that you see print
>on the tape. These individual legs usually get "filled" at prices that have
>very little to do with the underlying at that point of time. Also, the trade
>itself may be reported late (and the underlying may have moved significantly
>away).
I would like to make a difference here between TA-based option trading
(i.e.system backward testing and signal generation) and actual
trading (getting my orders filled):
For the TA-based part, imo bid/ask prices are not really relevant (at
least for my DAX option trading), because their effects are more or
less uni-directional and constant over time, which makes it possible
to consider them globally. So I need no historic bid/ask prices for
system back testing etc.
For performing the actual trades, bid/ask prices are needed to set
appropriate limits, which I calculate in a what-if-extension of my
trading system, using actual underlying price, volatility,
riskless-rate, and bid/ask values.
Just to mention, that I concentrate on "directional trades",
suppressing spreads as far as possible.
mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.
|