gbarber Member  Posts: 28 Joined: 2/26/2018 Location: PEARLAND, TX  User Profile | I should make a point about this testing. I am using EOD data. So I get just one data point of options data per day. Options are volatile and we are in a volatile market so option volatility is magnified. Thus it is not likely that the exact order from ATM3 will be filled as expected by ATM3. Even if I was using market orders direct into a broker the next day, it is not likely the order would be filled as portsim saw it. I found that on some symbols, the strike price from ATM3 had moved to ITM territory when I was doing the manual orders in TDAmeritrade. ATM3 wants to use a strike price one or two levels into OTM territory. So, to stay true to what ATM3 would want, I picked a strike at 1 level above current price with the expiration date chosen by ATM3. Also, I wish to use only limit orders to trade options. I set the strategies that ATM3 is using to use limit orders at the midpoint of the bid-ask spread. I saw that the ask price when I was doing the manual order was generally different than it was in the order in autotrade. So when doing the manual trades, I set the limit to the mid-point of the currrent spread for the strike price chosen. That seems to be working out since most of the manual orders are filling.  Attached file : 2020-03-06_19-58-31.jpg (115KB - 233 downloads) |
