Isn't obtaining accurate option historical price data the big issue here ?
I. for one, would like the ability to back-test with true option price data or theoretical prices based on Black-Scholes and other models.
Not really! That you can buy! -- The fewer instruments, the less expensive. You can pick the resolution needed for your type of trading. I use 1-min data, which has adequate precision for me. Roughly $1K/ underlying.
