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Andrey Azatskiy:

The first one too, I traded on the first one at one time.

After that time, what happened?
 
Viktor Fateev:

The second link is my resource, if you have any questions.

Thank you for your resource, very informative!

Add the resource link to your profile.

I think there are more questions to come...

 
Andrey Azatskiy:
Well, if you want to use third-party software instead of riveting it yourself, here's something:

If possible, I don't use third-party software, I try to rivet myself.

Can you boast about non third-party software?

 
Sergey Chalyshev:
After that time, what happened?

Since then, a lot of water has flowed, that software has advanced a lot, and I have managed to manage assets (linear - robots on futures) to improve my programming skills with a friend and started writing programs for myself...

 
Sergey Chalyshev:

I do not use third-party software if possible, I try to develop them myself.

What about other software?

I have already sent you a link to one software. I have already connected a tester, there are some problems with quotes but we are solving them bit by bit and soon we will be testing bots.

 
Andrey Azatskiy:

I have already sent you a link to one software. I have already connected a tester, there are some problems with quotes but they are being solved gradually, soon we will be testing bots.

I prefer MT5, I am ready to test, but quotes have not been collected yet. I have an idea to test it without quotes using historical volatility and theoretical price.

I may even download the daily volatility values from the site specified by prostotrader.


 

As I understand it, only long-term strategies can be tested (traded) at theoretical prices.

For fast trading you need real quotes, and as I see it, they are very different from the theoretical ones.

We need to level out the quotes and take profits )

 

The theoretical price is the price at which everyone tries to buy/sell. There may be a small gap of a couple of points, but nobody trades options at the market (liquidity is low and the market stacks are sometimes half-empty). If a short strategy is a strategy based on price movements away from the market, the smiles test is not appropriate, but the test is not needed, the theory price still prevails over market noise and if you can buy very close to the market price place a limit order with take profit and if the hedger is good, there is almost no risk to take it.

The test on real quotes is not a good idea because, for example, the quotes that I saw (real quotes) are all full of holes. The first 3 / 5 options are actively traded as soon as the strike is shifted - everything is empty. Smiles, on the other hand, give the full picture - so I'm leaning more towards smiles.

Historical volatility is no substitute for smiles due to 2 factors:
1 - it differs from the implied.

2 - it is the same for all strikes and the implied one is shaped like a smile.

If you know how to turn historical volatility into smiles, please share).

 
Although I've seen a couple of Kolenkovich's lectures - he seems to trade on the market but his methods are also questionable, I think he's not telling the whole story... In my opinion, it is a strange strategy to trade below his smile and keep everything to expiry delta neutrating.
 
Andrey Azatskiy:

Theoretical price is the price at which everyone tries to buy/sell. There may be a small gap of a couple of points, but no one trades options at the market (the liquidity is low and the market stacks are sometimes half-empty). If a short strategy is a strategy based on price movements away from the market, the smiles test is not appropriate, but the test is not needed, the theory price still prevails over market noise and if you can buy very close to the market price place a limit order with take profit and if the delta hedger is good you can almost risklessly take your deposit.

The test on real quotes is not a good idea because, for example, the quotes that I saw (real quotes) are all full of holes. The first 3 / 5 options are actively traded as soon as the strike is shifted - everything is empty. Smiles, on the other hand, give the full picture - so I'm leaning more towards smiles.

Historical volatility is no substitute for smiles due to 2 factors:
1 - it differs from the implied.

2 - it is the same for all strikes and the implied one is shaped like a smile.

If you know how to turn historical volatility into smiles - share).

Of course the spread has to be taken into account.

We can also test by theoretical price but it will be very crude. All the same, supply and demand may not exist in the real.

Therefore, for accurate testing that is close to the real, we need the entire history of quotes with all the strikes and holes.

Historical volatility can also be twisted into a smile, you have to think about it.

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