QuantRocket

Feature Request: options trading (ComboLegs) + realtime quotes


#1

Hi,

really like the platform you built so far. As an options trader, it would be awesome to also have support for multiple order legs in Blotter, and a component to retrieve real-time quotes (e.g., option chains). Both is supported in the native IB api.

Are you planning to implement them in Quantrocket as well?

Best regards!


#2

Offering some kind of meaningful options support is a priority, perhaps second only to supporting live trading with zipline. However figuring out the right approach is made more challenging by the fact that IB doesn’t have data for expired options. What would you want to see? Would combo orders and realtime quotes give you enough? Would the lack of historical data be a concern?


#3

Hi Brian,

sounds awesome. For me in the beginning would be good to be able to analyse current options chains and order them via blotter. So far I base my decision more on the implied volatility of the underlying.

Long-term but not sure worth the effort could be the possibility to store eod option chains to a certain delta (e.g., 0.05) to enable backtesting. That would unfortunately only last back for the timeframe one has actively logged the prices.

Cheers,
Sebastian