Getting Data From An Illiquid Asset

[StoneMan]

I'm working with options data which can be quite illiquid. On certain instruments you may get only a few ticks per day or even zero. Because of this bars based look back strategy will not work due to the chart being incomplete.

My workaround to this is using the time of day to get the data at the right time. I'm reaching out because I am not sure if thinkscript is capable of returning a bar based on the time.

The logic looks something like this:

If data is present in the time slot 1 on the current session get data, if not set relevant values to zero.

If data is present in the time slot 2 ob the current sesaion get data, if not set relevant values to zero.

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.
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I also want to know what time slot is currently active in a given session. The trade day is from 930 am to 4pm. That is 13 30 minute sessions over 6.5 hours. This is how I am planning on discritizing the trading day. I need a variable that can return 1-13 corresponding with the proper time slot. That way averages can be calculated no matter when you run the code. After the market closes that value would return 13.

Any insight would be greatly appreciated!

 

[Trader4TOS]

I'm working with options data which can be quite illiquid. On certain instruments you may get only a few ticks per day or even zero. Because of this bars based look back strategy will not work due to the chart being incomplete.

My workaround to this is using the time of day to get the data at the right time. I'm reaching out because I am not sure if thinkscript is capable of returning a bar based on the time.

The logic looks something like this:

If data is present in the time slot 1 on the current session get data, if not set relevant values to zero.

If data is present in the time slot 2 ob the current sesaion get data, if not set relevant values to zero.

.
.
.

I also want to know what time slot is currently active in a given session. The trade day is from 930 am to 4pm. That is 13 30 minute sessions over 6.5 hours. This is how I am planning on discritizing the trading day. I need a variable that can return 1-13 corresponding with the proper time slot. That way averages can be calculated no matter when you run the code. After the market closes that value would return 13.

Any insight would be greatly appreciated!

Consider incorporating additional filters or conditions: You may want to introduce additional filters or conditions to further refine the unusual options activity. For example, you could add criteria such as minimum volume thresholds, specific expiration dates, or strike price ranges to focus on specific trading scenarios. Implement parameterization: Instead of hard-coding specific values or thresholds in the script, consider parameterizing them. This allows you to easily adjust and experiment with different values without modifying the code itself. You can define input variables at the beginning of the script and adjust them as needed. Consider incorporating risk management features: While the script focuses on identifying unusual options activity, it's also crucial to consider risk management aspects. You could explore incorporating features such as stop-loss levels, position sizing based on risk tolerance, or risk-reward analysis to enhance the overall trading strategy. Optimize efficiency: Depending on the scale of your data or the platform you're using, you may want to optimize the script for efficiency. This could involve minimizing redundant calculations, using built-in functions or data structures for better performance, or leveraging parallel processing techniques if applicable. Something similar to what the program OptionStrats offers.