In the docs futures support is mentioned but very little discussion of options.
There was also another forum thread here about getting options chains. Has there been much movement on this?
The most accurate answer right now is that we unofficially support trading options.
You can:
- collect option chains
- collect historical bar data for non-expired options
- collect real-time option greeks (as well as bid/ask/last price, etc.)
- order option combos (the docs focus on futures combos but option combos are supported and tested too)
So the basic pieces are in place for trading options. The best way to put the pieces together would be with a custom script.
Backtesting options strategies is currently not as well supported due to the lack of historical data for expired options. Also, since options strategies tend to be rather different from other asset classes, it's not clear how well they would graft onto Moonshot. They might, but we haven't tested to see if it's awkward.
The reason we don't currently say much about options in the docs (other than the links above) is because we haven't yet taken the time to simulate running an options strategy from start to finish. Only once we do that (and iron out any rough edges it reveals) will we be more comfortable in advertising official support for options.
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yep, trading is all I'm looking for at the moment. Don't want to have recreate a whole load of logic for running trading with IB if I don't have to and can use quantrocket instead!
Hi All, Brian - looked all through documentation/ while I was able to collect option chains - I was not able to find code on how to create ibkr - options database/bundle for zipline trading. Looking to trade SPY Put Options.
from quantrocket.master import download_master_file, collect_ibkr_option_chains
import io
f = io.StringIO()
download_master_file(f, exchanges=["ARCA"], sec_types=["ETF"], symbols=["SPY"])
collect_ibkr_option_chains(infilepath_or_buffer=f)
Zipline doesn’t natively support options so you can’t load options into a bundle or use the Zipline APIs to work with options. Most QuantRocket users who trade options use the QuantRocket API to place options orders directly to the blotter. You could do this from within your Zipline code if you like. Note that IBKR does not provide historical data for expired options so backtesting of options strategies is limited. Trading options is supported but is currently not as well documented as other asset classes.