Options Data API for Backtesting

Confirm bid/ask sizes, trades, volume, open interest, implied volatility, and condition codes. Daily summaries cannot support intraday fills.

Track listing, expiration, exercise style, multiplier, deliverable, and OCC-style symbol changes. Splits and special distributions can turn a standard contract into a nonstandard deliverable.

Record whether Greeks are supplied or calculated, plus the model, rates, dividends, and timestamp.

Join the underlying quote, rate, dividend input, contract definition, and option quote available at the same decision time. Latest values from different clocks create hidden look-ahead.

Preserve style, settlement type, last-trading date, expiration time, deliverable, and exercise rules. Cash-settled and physically settled contracts require different terminal logic.

Define underlyings, expiration and strike filters, quote frequency, required fields, timezone, session policy, and whether Greeks must be supplied or recalculated.

Save raw responses and parameters. Test expirations, adjusted contracts, wide spreads, zero bids, crossed quotes, and gaps against an independent source.

Use only information available at decision time. Apply the current spread and size, then account for stale quotes, latency, fees, slippage, exercise, and assignment.

Store immutable partitions or checksums with strategy code. Record provider version, correction policy, calendars, assumptions, and license.

Form the contract choice from a completed snapshot, then execute at the next eligible quote or trade. Never fill at a midpoint that was not known when the signal was formed.

Handle expiration, early exercise assumptions, assignment, cash settlement, physical delivery, corporate actions, and forced closure when data ends.

Count missing chains, rejected crossed markets, stale quotes, zero bids, unpriced legs, and abandoned trades. Results without an exclusion ledger are hard to audit.