Hello, How to get options data for NIFTY that can be fed to amibroker in realtime.? Regards, John.
--- On Sat, 9/13/08, Super Man <[EMAIL PROTECTED]> wrote: From: Super Man <[EMAIL PROTECTED]> Subject: [amibroker] Simulating Option Trading To: [email protected] Date: Saturday, September 13, 2008, 9:52 AM I was trying to simulate option trading using Amibroker. For my Index, I have imported the near month and far month option data as follows: A ticker symbol IND_2000_CE_ 1, means a call option expiring in the near month with a strike price of 2000. IND_2000_CE_ 2 would mean an option expiring a month after the current month. Now, I want to implement a calendar spread as follows. First, I will identify the closest expiry price on the 13th of each month. Then, I will short the far month (eg IND_2000_CE_ 2) and buy the near month series (IND_2000_CE_ 1). On the option expiry day, I will cover the Far month series and sell the near month series. My code looks something like this. SetTradeDelays( 0,0,0,0); SetOption("PriceBoundChecking",False); y = Year(); m = Month(); d = Day(); w = DayOfWeek(); IndexC = Close; Buy=Sell=0; DayBuy = 13; //Optimize("Day",0,1,23,1); for(i=0; i < BarCount; i++){ if(d[i] == DayBuy){ Buy[i] = 1; //Short[i] = 1; NP = int(IndexC[i] /100)*100; //Find the closest series TickerNear = "NIFTY_"+NP+"_PE_1"; TickerFar = "NIFTY_"+NP+"_PE_2"; ShortArray = Foreign(TickerNear,"Close"); BuyArray = Foreign(TickerFar,"Close"); BuyPrice[i] = BuyArray[i]- ShortArray[ i]; //ShortPrice[ i] = ShortArray[i] ; } if(ExpiryDay( y[i],m[i] ,d[i],w[i] )){ Sell[i] = 1; //Cover[i] = 1; SellArray = Foreign(TickerFar,"Close"); CoverArray = Foreign(TickerNear,"Close"); SellPrice[i] = SellArray[i] -CoverArray[ i]; //CoverPrice[ i] = CoverArray[i] ; } } Buy=ExRem(Buy, Sell); Sell=ExRem(Sell, Buy); Currently, I am facing two problems: 1. Though I am able to use the price of options when buying selling (using Foreign), when I do a Buy and Short on the same day, Amibroker automatically interprets it either as a Buy or Sell depending on backtester settings (instead of a Buy and Short which will be later followed with a Sell and Cover). Is there any way to force Amibroker to accept a buy and short for the same day? 2. Though the code above gives correct results, I am not able to exploit the complete power of Backtester because the drawdown figures are meaningless (It assumes, it is deriving the price from the index -- where as it is working on a different ticker (for the options). Any fix to this problem? Thanks, Zee
