Thursday, January 29, 2015

Nifty Options IEOD Data For December 2014

IMPORTANT - Please Read The Note About NIFTY OPTIONS IEOD Data:

1. The Option data has been collected for Backtest Purpose.

2. Here Backtest is construed to be Manual. Mechanical testing will need the work to be done by the user himself.

3. The data of the Option strikes is mostly not from Expiry to Expiry. This statement can be explained through an example. Suppose In December 2013 NIFTY Spot is hovering around 8300 and we take the DECEMBER SERIES Option CE Strike 8300 Contract, the data of  8300 CE may comprise quotes from the month of October 2013 and November 2013 as well for that strike. This was done to fetch as much data as possible for the Option strikes for elaborate analysis. This is both for PE & CE contracts. If the user wants to reduce the data for the December month  then this could be done manually by editing the Excel Files  [manually checking the Expiry Date of previous month] and erasing the data of the strike/strikes before the previous month expiry date from the Excel Files

4. Mostly the files consist the data of the EXPIRY Day but in some cases [a month or two] due to unforeseen and unavoidable technical reasons the data of expiry day has been missed to be stored. Inconvenience regretted.

5.  The Option strikes are in 1 min. IEOD format but as the Deep Option strikes are sometimes illiquid so the trade might not have taken for quite sometime in a particular contract and therefore there may be gaps in Time Stamps ranging for several minutes to even a couple of hours. This construes that data is not missing quotes and just signifying the gap between consecutive trades.

6.  The data can be imported in Amibroker as the format of the excel files suffice the Amibroker Format. Can be helpful to read the charts of the Options. However as the Data files contain data for a particular strike for more than the contract month [previous month quotes as well] so they will have to be edited manually by the user [expiry to expiry] before importing them to Amibroker otherwise the quotes of similar strikes will overlap for same dates and charts will not show up correctly.

7. Mostly strikes 500 points apart above and below NIFTY values of the particular month were taken into account for the data. Very Deep strikes were skipped as the volumes traded in them are very low and they are very illiquid.


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