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Options
Posted: Sat May 05, 2007 2:58 pm
by drip007
Does anyone know if tblox is capable of performing simulations using historical option series data? I would think that if they were added to the futures dictionary, or if a new dictionary were added, this could be done.
Posted: Sat May 05, 2007 3:03 pm
by Tim Arnold
If you have a series of option pricing data, it can be tested as such the same way stocks are tested. If you need a dollars per point of anything other than $1, then you should load the data as a future.
Just create the appropriate entry in the futures dictionary if you want to do this way.
To load as a stock is fairly easy, since the stock dictionary is optional anyway. But again, you would need to determine if the P&L for the trades is correct or not.