Closed youbrain closed 5 months ago
32ethers
commented
5 months ago Check this picture,
Ask means someone are selling, bids means someone are buying
So if you want to buy option, you have to find available orders from asks.
the row you provided is
| asks | bids |
|---|---|
| [] | [[0.0005, 10]] |
So indeed there are nothing to buy.
32ethers
commented
5 months ago By the way, I check the asks and bids of ETH-16FEB24-2900-P at every hour, and find some ask price are ridiculous.
If you purchase without checking the price, The backtesting results will exhibit significant deviations.
I will consider adding some auxiliary functions to avoid this situation.
| time | asks | bids |
|---|---|---|
| 2024-02-15 01:00:00 | [] | "[[0.012, 3]]" |
| 2024-02-15 02:00:00 | [] | "[[0.0255, 3]]" |
| 2024-02-15 03:00:00 | [] | "[[0.023, 3]]" |
| 2024-02-15 04:00:00 | [] | "[[0.018, 3]]" |
| 2024-02-15 05:00:00 | [] | "[[0.021, 3]]" |
| 2024-02-15 06:00:00 | [] | "[[0.0005, 10]]" |
| 2024-02-15 07:00:00 | [[15, 14]]" | "[[0.0265, 17]]" |
| 2024-02-15 08:00:00 | [],"[[0.0005, 10]]" | |
| 2024-02-15 09:00:00 | "[[15, 13]]" | "[[0.0265, 16]]" |
| 2024-02-15 10:00:00 | "[[15, 13]]" | "[[0.023, 17]]" |
| 2024-02-15 11:00:00 | "[[15, 14]]" | "[[0.0185, 17]]" |
| 2024-02-15 12:00:00 | "[[15, 14]]" | "[[0.0225, 17]]" |
| 2024-02-15 13:00:00 | "[[15, 13]]" | "[[0.022, 16]]" |
| 2024-02-15 14:00:00 | "[[15, 13]]" | "[[0.016, 17]]" |
| 2024-02-15 15:00:00 | "[[0.069, 70]]" | "[[0.0005, 80]]" |
| 2024-02-15 16:00:00 | "[[0.094, 85]]" | "[[0.013, 84]]" |
| 2024-02-15 17:00:00 | "[[0.092, 85]]" | "[[0.0135, 85]]" |
| 2024-02-15 18:00:00 | "[[15, 14]]" | "[[0.0135, 17]]" |
| 2024-02-15 19:00:00 | "[[15, 14]]" | "[[0.0105, 17]]" |
| 2024-02-15 20:00:00 | "[[15, 14]]" | "[[0.005, 17]]" |
| 2024-02-15 21:00:00 | "[[15, 14]]" | "[[0.009, 17]]" |
| 2024-02-15 22:00:00 | "[[15, 13]]" | "[[0.0215, 16]]" |
| 2024-02-15 23:00:00 | "[[15, 13]]" | "[[0.0145, 16]]" |
youbrain
commented
5 months ago Fine. Let's say I need to buy a pair now, call and put options. i go to Deribit, And I can buy any option on the order book. But based on the data you sent me, only 20% of that order book will be available to me when I will backtest.
Another example is how I can test buying the option “ETH-16FEB24-2900-P” when the current time and date is 2024.02.15 08:00. If I was there in real time, I could go to debit and easily buy this option, while during backtesting this option is not available to me at that time I hope you understand what I'm trying to say
32ethers
commented
5 months ago Alright, I think it's quite normal for there to be no orders placed at a certain moment in the options market.
After all, compared to token trading, the liquidity in option market is much lower.
For example, you can observe that the bid-ask spread (the difference between the buy 1 and sell 1 prices) is usually quite large, and there is also a significant difference between these prices and the mark price in the middle.
Of course, we cannot rule out the possibility that there might be an issue with my data. However, I trust my data because it is regularly collected from Deribit's API.
Because Deribit does not provide an API for historical order books, this issue is difficult to verify. If you have other data sources (such as Tardis), please share them with me for verification. If any issues are found, I will correct them promptly.
youbrain
commented
5 months ago Thank you, i will share with you tardis deribit data when download it
Hello there. Currently, I'm working on a script that finds and buys call & put, daily options for specific price range. For example, when the date is 2024.02.15 08:00 I want to buy the nearest daily put option for price 2910. Nearest is ETH-16FEB24-2900-P.
row about this option
Code:
market.buy('ETH-16FEB24-2900-P', 1)Exception:
demeter._typing.DemeterError: insufficient order to buy, required amount is 1, available amount is 0I think that "bids" column in .csv's that you send via dropbox is not full. Otherwise, how I can buy daily put&call options for specific price range.
Thank you for your response, On the edge of a breakdown Love, Alex