running strategies/sample_spx_strategy.py sample failed issue
westlakequant opened this issue · comments
Hi Michael
after clone the code and run the test sample_spx_strategy.py failed, said that DO not get /data/SPX_2014_2018.pk file, where can we download the file
And I notice in the csv file, we've calculated the delta/gamma so on, but the downloaded data does't include that value, does it means we have to cal them from the org csv file to a new one like data.csv or data_full.csv ?
thanks
Hi Soushell,
SPX_2014_2018.pkl is a file I created with some historical data I've purchased.
You should download your own dataset from sites such as the following:
or
https://www.historicaloptiondata.com/
Make sure you download data that includes the greeks and compile it into a Pandas dataframe with the required columns as mentioned in the sample_spx_strategy.py file
THX
Hi Soushell,
SPX_2014_2018.pkl is a file I created with some historical data I've purchased.
You should download your own dataset from sites such as the following:
or
https://www.historicaloptiondata.com/
Make sure you download data that includes the greeks and compile it into a Pandas dataframe with the required columns as mentioned in the sample_spx_strategy.py file
THX