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Yes, fill prices. The way I figure the chains is based on my back testing models and the numbers that deemed to be the best. In back testing models I emulate premium's price based the actual ASK prices for that security that I combine into a matrix and then normalize. Usually, I am within 1-2%...

GLD for example Call at 147.5 for sep 20th

Maybe I confused something in my writing. No, the issue I was describing is that one of my strategies sells and buys securities (stocks/future) according to a particular algorithm. Each time when I have certain amount of contracts or shares I use options to hedge against a rapid move. According...

I sent you a pm on what I got..maybe I can get enlightened :)

That's what I am running into after trying to understand the dependencies of this decay. It does not seem just liner time progression to me. But I am yet very basic in options understanding. It did not prevent me from coding a hedging strategy that works. My problem now is options I buy turn...

At some point I have developed my own charting software for volume profile analysis where I sort out trade's volume by time frames and price scale. Also added bid/ask volumes. Was going to search for specific probable repeatable patterns on price extremums etc. Found a couple, then stopped...

Maybe I did not formulate the question correctly. I am after being able to derive that value out of premium cost and be able to plot it as it decays.

Hi Is it possible to visualize/plot Time Decay value of an option as time goes ? Maybe it's already implemented in any platform?

Does your wrapper support async?

Thanks, I put down to go over all the details this week on GC, I traded 900 contracts plus already and not clarifying this stuff. Shame on me.

Sometimes, I miss certain things and it takes me ahwile to get them, but good thing I eventually get them :) So, it looks I been trading this August contract since beginning of July... it was oscillating pretty good though! Part of confusion is when I check contracts under IB tws software it...

I run into this issue awhile back a hard way on a manual test position..got force closed with IB early this year..but forgot to check well enough on the rules... Is Lightspeed faster than Rithmic or CQG for order delivery?

Thank you, Sirs. It appears to be GCZ19 with 2019-12-27 exp in my world. Seems indeed alive. I need to learn my futures better :) I was in fact looking at CME site trying to understand the details. Live is more simple with ES emini..

Hi, apologize if this is something stupid. But I been running a new algo on NYMEX GC on Aug contract exp 2019-08-28 for past fews weeks. Tonight I was hit with being BUY order being rejected due to Interactive Brokers phys delivery rule that cuts off any long order for this contract on 7/30th...

I would be really interested. Currently, running a new intra day algo with IB API on GLOBEX and NYMEX, my turn around time to react on order filled and place 2 more order into a exchange is around 100ms. I also notice that I don't get that good fill on IB and they sorta known for that...

I should try to check on what they offer. However, I was able to get a hold of some months of quote intervals for symbols needed and check it over with my algorithm that I use to emulate ask price on a specific options. Luckily for me that I am off by approximately 5-15 cents from the historical...

I should second this "Typically brokers don't provide historical tick or bid/ask data." I am yet to see one that does, let us know the names...

You are correct. I found it too, but later on the day lol. 10 years of a common ETF will run $1100 dollars in per minute interval.

Yes, thanks - seems like livelov is the same company... I will be contacting them to see what's available.

The link that you provided seems like the data that I would need, but there's nothing on that page that indicates that it's Historical data with years back availability. Unless, I am missing something - its from the date of your order forward.