Hey Brian,
Alpaca recently released their options API. Do you have any plans of implementing access to this API directly into Quantrocket?
Thanks!
No specific plans yet. Most QuantRocket users are connecting to Interactive Brokers, so more of the development focus has been there. What advantages do you see in trading options with Alpaca over Interactive Brokers? Commission-free for retail is the main difference, but options strategies usually trade at lower frequency than equities strategies, so commissions tend to be less of a factor.
That's a fair point. We've been intraday trading with stocks on Alpaca.
What are most of your options users doing for their setup? Any advice or resources in this area would be huge for us!
We've been using moonshot and alpaca, but I am not sure that moonshot would support analyzing an options chain well.
Thanks!
Options support is more limited and would generally be done with a custom script. For options, you can think of QuantRocket as a convenience wrapper around the IBKR API. QuantRocket helps with data collection, scheduling, and order management, but the actual trading logic will go in a custom script.
Thank you for that info. Do know if the data that comes in from IBKR includes the options chain? If so, is there any documentation on how to collect it, what it looks like in quantrocket, etc.?
On the trading logic side, would moonshot or zipline be involved in the process at all?
Collecting option chains is described here. You can then collect historical data (for non-expired options only) or real-time data as you would for other asset classes. Collecting real-time option greeks is described here. Zipline won’t work with options; Moonshot should work in theory, but I suspect a custom script might be a more fitting approach.