A question on ORATS historical options data

[Matt_ORATS]

THE DATA ABOVE IS NOT ORATS DATA. It was unclear to me and I have confirmed with Aquarians.

To answer your questions:
1) Yes, of course, we get a snapshot of underlying price and options at the same time.
2) No, you can't assess the underlying as stopped moving. We take a snapshot with very fast servers to get the best possible real time picture. You mention 'least a second'. There are very few underlyers that don't move in a second. We take snapshots in miliseconds.

@Matt_ORATS : I'm not sure if I can ask such question (please disregard if you don't feel like answering it), but does ORATS collect the options data themselves or it buys it from someone else (like Refinitiv) and resells it?

Because the data I've seen is sampled haphazardly. Not only the provided stock price isn't in sync with the option prices, but the options of the same term are sometimes sampled at different times (often enough to be annoying).

In real data you never see violations of put-call parity, but in historical data it's there and the only explanation is that subsets of the options are stored at different times.

When one saves options data, they should at least employ this simple algorithm:

1) All data of an options TERM on a certain underlier has to be sampled at the same moment. Ideally all terms should.
2) Only sample the data WHEN THE UNDERLIER STOPPED MOVING FOR A CERTAIN TIME. If it moves like crazy, the ultra low latency market makers can barely keep up with it, I don't expect some cheap "realtime" marketdata subscription to do so. Therefore the option prices will be all over the place making data qvasi-unusable. Just wait some darn time, don't just blindly sample "now", which I bet it's what almost every vendor does based on how their data looks. So wait a couple of seconds and measure how long the underlier didn't move since the last time. If it's at least a second, then options prices have stabilized and can be stored along with the underlier price.

 

[Aquarians]

THE DATA ABOVE IS NOT ORATS DATA. It was unclear to me and I have confirmed with Aquarians.

To answer your questions:
1) Yes, of course, we get a snapshot of underlying price and options at the same time.
2) No, you can't assess the underlying as stopped moving. We take a snapshot with very fast servers to get the best possible real time picture. You mention 'least a second'. There are very few underlyers that don't move in a second. We take snapshots in miliseconds.

I've open sourced my code on GitHub while at the same time documenting it's usage on my personal website, Aquarianz.com: https://www.aquarianz.com/

Chapter 7 (Data Validation) is of special interest here:

It showcases the technique and algorithms I use for cleaning up the data bought from https://historicaloptiondata.com/

The algorithm is powerful enough to render what is to start with, useless data, into production-grade backtest material.

Why I use the strong word "useless"? Because I see advertised on ORATS not just data but also backtests with wonderful results. Well if you test on the original data, those results you get are fake. They don't exist in the real, realtime market data.

I did access ORATS data at some point and was exactly same (lack of) quality as the one I use. Only more expensive. Which is why I didn't switch.

I'll push for making my data curation software relatively standard at least in the amateur community. If you run it over your original data and discards a great deal of it then face it, your data is shit. Without cleanup.

And since the cleanup tool just got published now, what are your clients using now? And how? I'd be very interested to know.

 

[Aquarians]

Heh. I just thought on Bunea's postulate on historical market data. (My real name use here).

So here it is: If your backtests show you can make money on historical market data then the data is wrong Start from that assumption!

 

[Matt_ORATS]

Can you show an example of ORATS data lacking quality like the one your use? As I have said, we snapshot our stock prices at the same time as the options prices. This method does not compare to your source that you said uses closing prices.

We have hundreds of users with no complaints like you make.

We have 181 million backtests now in our servers and not very many are 'wonderful'. I wonder where you are getting these references. Can you show me which backtests you are referring to as wonderful?

I've open sourced my code on GitHub while at the same time documenting it's usage on my personal website, Aquarianz.com: https://www.aquarianz.com/

Chapter 7 (Data Validation) is of special interest here:

It showcases the technique and algorithms I use for cleaning up the data bought from https://historicaloptiondata.com/

The algorithm is powerful enough to render what is to start with, useless data, into production-grade backtest material.

Why I use the strong word "useless"? Because I see advertised on ORATS not just data but also backtests with wonderful results. Well if you test on the original data, those results you get are fake. They don't exist in the real, realtime market data.

I did access ORATS data at some point and was exactly same (lack of) quality as the one I use. Only more expensive. Which is why I didn't switch.

I'll push for making my data curation software relatively standard at least in the amateur community. If you run it over your original data and discards a great deal of it then face it, your data is shit. Without cleanup.

And since the cleanup tool just got published now, what are your clients using now? And how? I'd be very interested to know.

 

[Aquarians]

Can you show an example of ORATS data lacking quality like the one your use?

Well not unless you point me to some free sample data on your website. Maybe if I'm in a spending spree someday I'll buy your data ("Historical data (from 2007 - present): $599), so I have two sources to compare and then I'll get back here with observations on it's quality. But right now I don't need it since the one I have is good enough (after cleanup).