search

jhirschibar / LittleJohn

Project to discover a deterministic value policy useful in managing a portfolio of short option spreads
5 stars 0 forks source link

Determine bid/ask/midpoint approach #30

Closed jhirschibar closed 3 weeks ago

jhirschibar commented 3 weeks ago

Determine approach to handle massive amounts of data brought in by quotes/trades data.

jhirschibar commented 3 weeks ago

Blocks #31 and #32

jhirschibar commented 3 weeks ago

Pull hourly quotes for options contracts.

Methodology: For each day, calculate the hourly timestamps starting at 9 am to 4:30 in nanoseconds (8 timestamps (t) + final for the day).

When sending requests, submit with [t, t+1] bounds. Set the number of records to 1 and store the single record that returns. Save the timestamp/date with the record, but also set the t-position (hour 1, hour 2, etc) for easy querying/sequencing later.