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Michael,
I am trying to build a strategy that would creating a "floating long
butterfly" moving by a correlated system on the base security (in this case
an Index). Do you have any tips for me?
I am facing the same problems that you mentioned, specially with bid/ask
prices. There is no way other than to collect them in real time from trading
screens and store them in some DB. Of course, no historical data of real
measure.
Moshe Shalom
Israel
-----Original Message-----
From: owner-metastock@xxxxxxxxxxxxx [mailto:owner-metastock@xxxxxxxxxxxxx]On
Behalf Of Michael Suesserott
Sent: Monday, August 14, 2000 1:17 PM
To: metastock@xxxxxxxxxxxxx
Subject: What options to sell?
Rudolf,
about nine years ago I worked with a German trading company on exactly such
a project. We did our own C++ programming (quite a novel language at that
time) with a programming staff of about a dozen highly qualified people,
plus two Cray supercomputers and a number of UNIX workstations.
I can't go into the details because I am still under non-disclosure, but I
can tell you that option data were the greatest problem we had to face. Not
only a dearth of them, but also the unrealistic, untimely, frequently
faulty, reporting done to this day by most of the US futures exchanges.
Prices were stale, sometimes days old, and bid and ask prices, if available
at all, were practically worthless. After a lot of effort, time, and money
spent, the option part of the project was finally abandoned, and only a
futures trading system emerged.
Now with the advent of new electronic exchanges, and you are right to
mention the DAX contracts here, the situation might slowly change. Still,
even with the DAX, I don't know if there would be a bid/ask history on
options that goes back a sufficient number of years.
I agree that this is not a question of any standard trading software. I
merely mentioned "Essex Option Pro" to give an example of what is available
right now for the general public.
I can only repeat that I have yet to see a real mechanical option trading
system. If you know of one, or have written one yourself, I'd be interested
to know.
Kind regards,
Michael Suesserott
-----Ursprungliche Nachricht-----
Von: owner-metastock@xxxxxxxxxxxxx
[mailto:owner-metastock@xxxxxxxxxxxxx]Im Auftrag von rudolf stricker
Gesendet: Friday, August 11, 2000 11:22
An: metastock@xxxxxxxxxxxxx
Betreff: Re: AW: What options to sell?
On Sun, 13 Aug 2000 20:34:20 +0200, you wrote:
>don't forget we are talking options here. It is well nigh impossible to
>create a mechanical option trading system, let alone optimize it.
???
>The first
>reason is the fundamental lack of historical data for the millions of
>options generated through the different option series with their strikes;
Why to construct a system for _all_ options and for _all_ strikes and
expiries? (We also would not try to construct one system for all e.g.
financial shares.)
Why not concentrate on one kind of options (e.g. DAX) and strike
prices e.g. at-the money? For these options we can construct a
equivalent _continuous_ option price from historical data, which
reflects nicely the underlying price as well as the market volatility.
And using these data, we can use all the TA techniques available to
set-up and optimize an appropriate system. - Why not?
>furthermore, there are additional outside factors such as early exercise in
>the OEX etc.
Ok, this requires more modeling effort, but only for
non-european-style options.
>I have yet to see a real mechanical trading system for options. There have
>been attempts at such systems, such as Essex Option Pro, but these are
>extremely limited.
Constructing a trading system for options imo is not so much a
question of a special software, even if some "standard trading
software" may have some restrictions, e.g. concerning its capabilities
to define appropriate goal functions and its optimization techniques.
mfg rudolf stricker
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