In my opinion if you add options to NT your software became unique in the world!
What do I mean?
I mean that not only you have to add options as instruments but you have to
extend your script language to manage selection of options and buy/sell of options
together with underlying.
This will be a vey powerful add-on for NT because it is substantially
impossible to find a software able to do this (It is not possible using Options Trader of Tradestation to develop a strategy based on underlying+options; you can only do a very simple backtest of a strategy based entirely on options!!).
This is just a macro-analysis:
1-to collect at least EOD data on option chain to populate a DB (Kinetick?)
2-function to select an option from a DB : a SQL like syntax like this:
"where type=CALL and striking_price < 100.00 and open_price > 20.0 and expiry=12/23/2011 order by striking_price desc"
2-As usual functions to Buy Long and Sell Short options
3- functions to create combos (bull spread, bear spread , box, etc etc): the sell or buy of a combos generate more than one position on options
4- function to roll positions at expiry so it is possible to test a long/medium term strategy
5- The performance summary will report underlying and option trades
Thank You
Regards
GB
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