System for backtesting

Quote from JohnL111:


This brings up another question. Obviously most market makers are using black box systems to generate quotes (I read where Actant is a leading ISV in this space). So my question is: what are the inputs to the software that the MM would change during the day’s trading?
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You set the interest rate
You set the dividend amount and date
You set your personal vol or tell it to use the IV
You set the widths of your markets
You set the how your new quote should look after you trade your mark.

Is the software so smart that the only reason the MM would override the system is if you are in illiquid/chaotic fast market conditions? Is the software smart enough to manage his book, or just a glorified calculator?
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Glorified calculator.... there are different prices for differrent products. Most just show your net position, some graphing, the greeks, allow for fake positions, etc...

:)
 
Platinum past data is usually good.

But if the stock splits, Platinum does not split adjust the past option data.

You have to split adjust the trade and that is likely the source of the "bad" data if you dont split adjust the trade in backtesting.

Do you have a specific stock with bad past option data in Platinum ??
 
Anybody used OptionVue's backtrader to backtest ideas?

It seems to be the only package that has historical intraday option pricing... every 30 minutes since January 2001
 
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