Hi,
I'm a bit stuck trying to figure out how to integrate historical option
data into the blotter package.
Trying to take a log of trading history and insert it all into Blotter.
I have:
1) historical data for a bunch of options as CSV files.
2) A log of trades
Processing the trades for equities was easy:
1) Use quantmod to fetch the symbols (historical data)
2) Loop through trade log and use addTxn function of blotter.
Not sure what to do with the options. I see a function named
"getOptionChain" in the quantmod package, but that just returns a list
of puts and calls for a single date. I have historical data for a few
years, and need to somehow munge it into a format that I can run through
blotter.
Thoughts:
1) Lie to blotter. Just makeup a symbol for the option. (i.e Apple
April 15 calls at $200 becomes "AAPL_Call_0415_200") and then set it up
in the environment to look/act like an equity.
2) Figure out how blotter/quantmod expects to see option data,
format my data accordingly and then pass it off to blotter as a proper
option.
Can anyone provide some insight on this?
Thanks!
--
*Noah Silverman, PhD* | UCLA Department of Statistics
8117 Math Sciences Building, Los Angeles, CA 90095
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