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At 6:56 PM -0500 3/13/00, Eric Cahoon wrote:
>Now that I understand a little more about using multiple data streams, I now
>have a question about testing options trading strategies in TradeStation.
>Let's say I am interested in developing a system that buys calls options on
>an index when bullish and buys put options on an index when bearish. Is
>this done easily in TradeStation or does it require some programming (which
>is fine, I am just curious)? Any experience with testing options trading
>systems would be greatly appreciated!
You do not explain much about what method you plan to use but the main problem is in getting accurate option prices. BMI option quotes are useless. Dial Data prices are not too bad if all you need is daily data.
You can avoid this by calculating your own "pseudo" options prices using the BlackScholes, ImpliedVolatity, and DaysToExpiration functions in TradeStation. You will probably need to use VIX and the underlying security/index as additional data series. You may have to do your own accounting for profitability, etc., since you will need to trade on the data1 series which is not likely to be very accurate.
The programming can get pretty complicated since you need to handle rollovers at option expirations if you hold positions for periods of days to weeks.
Bob Fulks
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