Choosing Proxy Data for Simulated Options Strategies

Summary

This forum exchange concerns running an options strategy in a SimNow simulated environment. A user reports receiving ticks for the IO options contract but not for the underlying, and says a data subscription call returns false. Participants suggest using IF futures data as a proxy for the underlying index. They acknowledge that futures require monthly contract rolls, while arguing that the nearby contract tracks the index closely enough and that the resulting basis error may be acceptable for this use.

The discussion also mentions a possible RQData gateway for obtaining real-time index data, with support expected in a later version of the simulation environment. It provides practical alternatives but no implementation guide, measured tracking error, or evidence that the gateway support was delivered. The proxy choice and its suitability therefore remain dependent on the user's data access and tolerance for futures basis and roll effects.

Key ideas

• The user reports missing underlying tick data in an options simulation setup.
• IF futures data is suggested as a proxy for the underlying index.
• Using futures as a proxy introduces monthly rolls and potential basis error.
• An RQData gateway is mentioned as a possible source of real-time index data, but no setup details are supplied.

Tags

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