Add functionality to support MEIC strategy
maybe? someday?
F
Friendly User
- Options spread premium
Afaik in OO you can’t tell it to have a combined premium of like 1 dollar in a credit spread for MEIC so both the short put and long out
combined
result in around the premium, it doesn’t have to be exact. Just the best near to it.This is the first issue. The second is attached to that.
The idea of MEIC and how the BYOB backtest is using it is you tell the system to have a combined premium of like 1 dollar and
- give it multiple spread widths.
Not a single fixed but multiple like 30,35,40 dollar widths.
If none fits, no trade will happen.
If one fits it will choose the best fitting the criteria.
In TAT for instance you can tell the bot to choose the most otm spread or the highest credit/delta and many options more.
In OO I found no way of giving it multiple width, only one fixed.
I feel like OO is a good back tester for lots of strategies but for MEIC it lacks a few extra steps to get really good at it
M
Matthew Simon
maybe? someday?
M
Matthew Simon
Merged in a post:
Premium Target for Total Spread
John
Right now OO targets the premium of the contract when setting a premium target. I would like it to target premium for the total spread. This would help decide if you want to target a certain contract premium amount, or target for a total amount for the spread e.g., target 2.5: currently OO targets the contract nearest to 2.5 and the spread premium received depends on width, etc.
Spread premium target would be 2.5 (min or max) taking in to consideration of the long contract (using credit spread as an example here), so you would receive the premium closest to that target desired range.