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OptionTrader
Model data discrepancies
10 replies, 1732 viewings
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OmniTrader Upgrade Forums
OptionTrader
Model data discrepancies
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Last Activity 12/1/2022 8:14 AM 10 replies, 1732 viewings |
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John J Veteran   Posts: 272 Joined: 8/3/2010 Location: Leduc, AB  User Profile |
I realize that historical options data are calculated values (model data). That being said, shouldn't option prices in an Option Grid and Equity Trades Report match each other for a particular date in history? I went through an Equity Trades Report (Credit Magic back test), and compared the exit prices to those found in the Option Grid for the stocks in question. I found most to be off, but some are way off. Let's have a look at a SVXY trade which exited on 1/16/18. The screenshots speaks for themselves? [Edited by John J on 10/2/2018 12:32 PM]  Attached file : Capture1.JPG (117KB - 710 downloads) Attached file : Capture2.JPG (242KB - 679 downloads) | ||
| Barry Cohen Sage   Posts: 6338 Joined: 1/19/2004 User Profile |
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| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
Similar to the one Tom Helget posted over here; http://forum.thenirvanaclub.com/thread-view.asp?threadid=7890 [Edited by John J on 10/3/2018 6:51 PM] Attached file : Capture.JPG (25KB - 641 downloads) | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
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| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
I was too quick with the previous reply. In the example above different strategies were used together with the TP from Credit Magic (unchanged). Regardless of the strategy being used, how are the model data being calculated, and why does it differ from the Equity Trades Report? Anyhow, below screenshot (Equity Trades Report) is from the long/short version of Credit Magic (see attached). I picked a Baker Hughes (BHGE) trade, opened on 1/19/18 and closed on 1/24/18. According to the report, both the long and the short leg happened to be profitable(?). BHGE prices from the Option Grid: 1/18/18 C36 - $1.79 C35 - $2.21 1/19/18 C36 - $1.72 C35 - $2.15 1/23/18 C36 - $2.25 C35 - $2.76 1/24/18 C36 - $1.22 C35 - $1.58 Entry prices according to the Equity Trades Report: 1/19/18 C36 - $1.55 (on the low side) C35 - $1.95 (on the low side) Exit prices according to the Equity Trades Report: 1/24/18 C36 - $2.22 (seems like this price was taken around the High (Open) of the trading session?) C35 - $1.42 (seems like this price was taken around the Low (Close) of the trading session?) This is obviously not realistic given that the TP is set to trade both legs on one order ticket (multi-leg order). [Edited by John J on 10/4/2018 4:00 PM] Attached file : Capture.JPG (24KB - 588 downloads) Attached file : Credit Magic LS.ots (668KB - 301 downloads) | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
The price you see in the option grid (or rather the option chain form) is the model close price. That is not the price that is being used on the Voteline (and thus the Port Sim report) with Credit Magic. The entry prices it's using are the model data open price - these prices are not shown in the software. Additionally, the exit prices are calculated stop level prices using the model data open, high, low, close prices according to the trade plan settings. Again, only the model's close is visible in the software. Here are the OHLC for those BHGE options on 1/19/18 & 1/24/18: C35 1/19/18 O: 1.96 H: 2.26 L: 1.87 C: 2.15 C36 1/19/18 O: 1.55 H: 1.81 L: 1.48 C: 1.72 C35 1/24/18 O: 2.72 H: 2.84 L: 1.31 C: 1.58 C36 1/24/18 O: 2.22 H: 2.33 L: 0.99 C: 1.22 We are making an improvement that allows you to view the open, high, low, & close prices for the model data in the next update. | ||
| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
However, it doesn't explain why the TradePlan picked those exit prices? If the long leg had exited near the Low together with the short leg (as it should have), it would have been approx. $3,700 in the hole as opposed to $5,538 profit... Is it cherry picking or is it coincidental? | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
Keep in mind that one leg is a Buy Put & the other leg is a Short Put. That's why the C35 leg shows a profit when the price goes down. The C35 leg exited at 2.22 which is within the OHLC of the 1/24/18 bar. The C36 leg exited at 1.42 which is within the OHLC of the 1/24/18 bar. (2.2195 - 1.5522) * 8300 = $5538 (1.4225 - 1.9557) * -8300 = $4425 | ||
| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
Are you ignoring the fact that the TP is set to trade both legs on one ticket (multi-leg order)? There is no way in h*ll that you would have gotten those cherry picked prices on a single ticket in real life trading...absolutely impossible (btw, I have been trading option spreads since 1999 so I know perfectly well how they work) | ||
| Barry Cohen Sage Posts: 6338 Joined: 1/19/2004 User Profile |
In other words, if you have an option trade plan with 2 legs, the voteline shows the same results whether Multileg is enabled or not. And since there is no difference on the voteline, there is no difference in Port Sim or any reports. This is something our dev is working on though. | ||
| John J Veteran Posts: 272 Joined: 8/3/2010 Location: Leduc, AB User Profile |
I hope to see the multi-leg function supported on BTs as well... It's pretty clear to me now that the BT performance reports for the Credit Magic strat could be more than slightly exaggerated... |
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