Brian G. Peterson
http://braverock.com/brian/
Ph: 773-459-4973
IM: bgpbraverock
On Thu, 2018-03-29 at 12:17 -0500, Sal Abbasi wrote:
> Has anyone used quantstrat with options? I?ve found lots of examples
> where people are using it with equities and one where someone is
> using it with futures but have not been able to find any examples of
> people using it with options yet. I?m trying to backtest some index
> options strategies, and wanted to ask about a pragmatic way of using
> quantstrat when there are so many symbols involved (one per strike /
> maturity). Also there is a lot of market data involved since I?m
> using 1 minute bars, so I was wondering whether I should create a
> subset of my market data for the minimum required before feeding it
> to quantstrat or whether people have done something where quantstrat
> can look up the data it needs from indexed files on disk as it runs
> and does not need to hold it in memory.
>
> Best,
>
> Sal
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