Futures options Backtesting

Discussion in 'Options' started by maninjapan, Oct 24, 2014.

  1. Does anyone know of any software or data service that offers historical data for Futures Options that can be used to backtest strategies?

    I am currently using Option View but having regular issues. I had a look at liveVol, love the idea of being able to use the data in excel, but only offers equities, no futures, so no help there....

    Have spoken with CME but their historical data is expensive......

    Any help would be much appreciated.
  2. Thanks, spoke with them, not quite what I am looking for. Currently speaking with Morningstar about some excel add-ins and data they have, will probably need to build the backtest part.
    Interested in finding out more about OptionStack, but doesn't look like it is quite ready to go

  3. just21


  4. CSI has daily historical data for futures options. They're at www.csidata.com.
  5. cjbuckley4


    I've found the cheapest and most flexible solution is (frustratingly) to purchase a feed, build a database and code your own Backtesting plaform. I realize this is highly unrealistic for most people, so feel free to disregard this post if you fall into that category.
  6. Thanks for all the suggestions people. Have spoken to these providers and now know where I can get futures option data. Unfortunately the pricing puts it out of my reach for the time being so will settle for Equities and ETF data for now.

    cjbuckley4 , agreed that that is the best option going forward, looks like building the backtesting part is the only way to go.
  7. R1234


    CSI gets a bit expensive if you want to go back multiple years of an option portfolio of say 15 commodity markets. The only cheap possibility that currently exists is Optionvue which you are already using.

    In the past I used their backtrader to manually step through each day and record daily closing option prices into a spreadsheet. This is tedious grunt work and best done by hiring an assistant but it would be a fraction of the cost of the CSI price of $125 per year per commodity.
  8. Check out QuantGo.com which has institutional historical data on every exchange worldwide, including the full historical CME feed with Options Futures...look for a Data Service called "US Futures Level 2 CME, CBOT, NYMEX and Comex" from the data partner AlgoSeek. They are charging $250 per month too access approx 3 years of full tick CME historical data.

    QuantGo is a cloud platform where you get ondemand historical data but have to run a virtual computer instance.
    Last edited: Nov 6, 2014