Search found 2 matches

by pkoufalas
Sun Oct 08, 2006 10:57 am
Forum: Testing and Simulation
Topic: SPX options data, Datastream
Replies: 0
Views: 2144

SPX options data, Datastream

G'day I have been testing a basic options arbitrage strategy using SPX options data I bought from MarketDataExpress (CBOE). To give confidence to my implementation, I'm trying to closely reproduce backtesting results from a 2002 academic research paper from which the strategy is taken. Their source ...
by pkoufalas
Fri Sep 02, 2005 6:11 am
Forum: Testing and Simulation
Topic: Time and sales data interpretation
Replies: 3
Views: 3456

Time and sales data interpretation

G'day all. I am using EOD OHLC (+V+OI) data for backtesting. I have modelled slippage and spread using a percentage move away from the nominal fill price, as suggested by some members. I have access to some time and sales data and am wondering how that differs from the EOD OHLC data that I have. Tha...