Building a Local Options Database for Historical Research and Backtesting

Summary

The article outlines the data requirements for options strategy research: a maintained history of contract details and price bars covering both current and expired contracts. It describes a workflow using a commercial data feed and a local trading database. The stages are refreshing the feed’s historical contract cache, importing options contract metadata, and downloading minute bars. It highlights the need to map exchange identifiers between the two systems and to populate option-specific contract fields accurately.

For price history, the suggested approach is a full download initially, followed by incremental updates for unexpired contracts, starting from the end of locally stored data. The article gives implementation examples and a default historical start date, but it presents no validation results, coverage measurements, or backtest findings. Its method depends on paid data access, correct contract metadata, and the behavior of the chosen feed and database. The series frames this as preparation for later strategy development and testing rather than a trading strategy itself.

Key ideas

• Options research needs historical contract metadata as well as price bars, including information for expired contracts.
• The workflow refreshes the source contract cache before importing contract details and bar data.
• Exchange code mappings are needed when the data provider and database use different identifiers.
• After an initial historical download, bar updates can be incremental and limited to contracts that have not expired.
• The article provides a data preparation workflow but no evidence about strategy performance or data completeness.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.