Support Board
Date/Time: Tue, 06 May 2025 23:16:39 +0000
Post From: Charting options mark price in small timeframes
| [2024-11-20 03:48:48] |
| EverEdge - Posts: 17 |
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Thank you for the reply and sorry I wasn't more specific about the option type. I'm talking about equity and equity index options. I'm aware that Denali provides CME futures options. So I'd have to use IQ feed. As far as plotting prices other than "last", in fact, bid or ask price would do as well if mark is not available. Mark is a calculated value in option chains anyway that tends to be the average of the NBB and NBO, but it can differ between brokers. The main issue I'm trying to solve is created by the fact that I conduct analysis on the underlying but trade the single long option for leverage for this group of strategies. The underlying and its option do not have the same amount of liquidity and volume. Therefore, in a very small timeframe e.g. a 5-tick option chart mirroring, say, a 500 volume underlying chart, the underlying may print an entire consolidation pattern but the option chart may show a single horizontal line or a single bar simply because far fewer transactions have occurred in the option as compared to its underlying. So it makes no difference whether and how you "ratio" the underlying vs. option chart aggregations, and whether you use a time-based, tick/transaction-based, or volume-based chart. Still the same basic issue. Without the option chart forming a pattern similar to the underlying chart, it's tough to determine, say, stop location, and get risk off. However, while the underlying is printing those bars in a consolidation pattern, the option bid/ask/mark quotes are, in fact, ticking up and down, very closely mirroring the underlying. So plotting those quotes would solve the problem. The standard option chart won't print those movements because it's based on last price and no transactions are occurring. So, if we could plot bid, ask, or mark instead of last on the option chart, we'd be all set. I have consulted with DTN and they say their streaming price data is based on last (as expected), but they do save bid/ask history data so nothing needs to be calculated (i.e. mark) by using an API call. That's the good news as far as historical charting. The bad news is that they only save the bid/ask history on _transactions_, which is not what we want as per above. The bid/ask data _is_ available on the stream as quotes, but it's not saved unless a transaction has occurred (Please see screenshot). So, the only way to plot all bid/ask data regardless of whether transactions are occurring or not would be to scrape it via code from the IQ feed stream. This is all according to DTN tech support and market data team. Which brings me to the question: Based on your reply, it does sound like SC might have the ability to plot the bid or ask (or even the mark-equivalent with the -BAAVG suffix) in real time from the stream, and then save it in an .scid file. That would be the equivalent of the scraping code that DTN support is talking about. The studies you mentioned look very helpful as well, but I'd like to double-check the data recording mode functionality. I've read the docs. It says: "These data recording suffixes affect the method by which Trade (actual trades) and Quote (Bid and Ask) data are written/recorded to an Intraday chart data file". That sounds like either can be done. If that's accurate, then how do you differentiate between using the suffixes for trade / actual trades as in to plot the bid price only when a trade has occurred (which is not what we want as per above) vs. to plot bid or ask quotes regardless of whether trades are occurring or not (which is what we do want)? Is following the instructions under the "creating a 1-tick bid or ask chart" subheading be sufficient? Thanks again. Much appreciated. |
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