Support Board
Date/Time: Tue, 06 May 2025 22:56:51 +0000
Post From: Charting options mark price in small timeframes
| [2024-11-18 00:55:53] |
| EverEdge - Posts: 17 |
|
Hello, I'm trying to chart the _mark_ price of a single option in sub-1 minute timeframes, e.g. a 5-second chart. To be clear, I'm not trying to execute off the chart. I use SC to execute futures only and a different platform to execute options. So, the chart would be for analysis only, and we are only charting single options for now, no spreads. To my knowledge, the best way (if not the only way) to get reliable real-time options data into SC is IQ feed. Please let me know if there are other options (no pun). So assume we have IQ feed connected, but the data I'm looking to chart is the then-current "mark" price, not the "last" price which is the price at which the last exchange transaction took place. I will call DTN and ask the same question at their end as to the availability and specificity of the data, but (1) is there a setting or mechanism in SC to specify that I'm looking to chart the mark price of a single option (which would be the same as the mid price of a spread), not last (nor bid, ask, etc.), and, (2) is there any constraint in SC I might not be aware of that would prevent me from _accurately_ displaying, say, a 5-second, 5-tick, or 50-volume chart of a single option, provided that chart update interval is set low, the chartbook does not have heavy items in addition to this chart, the machine has plenty of headroom in terms of cycles, memory, and I/O, and there is non-aggregated, non-filtered options data streaming in? Thanks in advance. |