Search found 2 matches
- Sun Oct 08, 2006 10:57 am
- Forum: Testing and Simulation
- Topic: SPX options data, Datastream
- Replies: 0
- Views: 2894
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 ...
- Fri Sep 02, 2005 6:11 am
- Forum: Testing and Simulation
- Topic: Time and sales data interpretation
- Replies: 3
- Views: 4498
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...