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ASX Options - Sorting Through Past Data

Discussion in 'Derivatives' started by Fluxxy, May 13, 2017.

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  1. Fluxxy

    Fluxxy

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    Hi, newbie to derivatives here!

    I'm looking to backtest a trading strategy involving ATM options, so I'm on the hunt for daily closing prices for both puts and calls. For no better reason than comfort's sake, I'd ideally like to use ASX data as opposed to US.

    Anyway, the closest I've come is using the past data search in CommSec and putting in tickers for current options (if I'm looking for $5 call data on TLS, I'd just copy paste the relevant ticker from the current month). However, the numbers I'm getting back don't line up. Presumably because the tickers are recycled and one relevant to $5 calls this month may have been $3 calls a few years ago.

    Is there some way I can dissect this data, or find clearer, free information elsewhere? I'll pay for it if I have to but would rather get it for nothing :)

    Cheers!
     
  2. traderxxx

    traderxxx

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    Hi Fluxy
    can you back test your strategy using spi futures data???
     
  3. Fluxxy

    Fluxxy

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    Hi Trader,

    Futures data isn't much good to me I think: really need data for Puts+Calls.
     
  4. traderxxx

    traderxxx

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    ok no worries , was just a thought.
     
  5. pixel

    pixel DIY Trader

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    Hi Fluxxy,
    do the data have to be contiguous, as in "all ETOs for all ASX stocks every day"?
    If not, and if you can use historic data sets as described at -
    http://rettmer.com.au/TrinityHome/Services/index.htm#_Prev4 and below, let me know. I have more than 1000 individual spreadsheets on backup disks. They cover mainly members of the top 10 and XJO and go back to 2003.

    snapshot of an early example:
    NCP OI.png
     
    Last edited: May 14, 2017
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  6. pixel

    pixel DIY Trader

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    a few were duplicates, so there's "only" some 980 records as per attached list
     

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  7. pixel

    pixel DIY Trader

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    found some more from other years :)
     

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  8. Fluxxy

    Fluxxy

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    That data looks beautiful mate! Exactly what I was after.

    How easy would it be for you to make that data accessible for me? The data for XJO, BHP, TLS and ANZ looks pretty extensive, and would be a great starting point for my testing.

    If its a hassle to dig out/share, happy to compensate you somewhat :)
     
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