Options: Intraday moving average for option spread

bnnnboy

New member
I am trying to put together a script for a conditional order that will route an order when an option spread (in this case a strangle) marks at a certain price, but compute a moving average of he price for the last X minutes to eliminate random bad marks that will sometimes trigger alerts.

I put together a script (see below) and it works well when I set the Condition Setup at the top of the window to 1 day, but if I set it to 1 minute it doesn't return any results and won't trigger. My guess is it has something to do with me using "close" instead of something to see the mark of the options, but I don't know how to pull the mark of a specific option.

Can someone help me pull the mark of a specific option? Is there a better way to accomplish what I'm trying to do?

Code:
def period = AggregationPeriod.MIN;
def dura = 10;
input PutStrike = 220;
input CallStrike = 230;
input underlyingEXP = ".IWM211015";

plot avg = Average(close(concat(underlyingEXP, concat("C", concat(CallStrike, ""))))+close(concat(underlyingEXP, concat("P", concat(PutStrike, "")))),dura);

1Day settings: https://www.dropbox.com/s/aobgx5n15uph2k9/1day_condition_data.png?dl=0
1Min settings: https://www.dropbox.com/s/5by2bpv6yngecdk/1min_condition_nodata.png?dl=0

Thanks!
 
Solution
I think I've figured it out. I just had to add a PriceType.Mark in the close command. Modified code:

Code:
def period = AggregationPeriod.MIN;
def dura = 10;
input PutStrike = 220;
input CallStrike = 230;
input underlyingEXP = ".IWM211015";

plot avg = Average(close(concat(underlyingEXP, concat("C", concat(CallStrike, ""))), priceType = PriceType.MARK)+close(concat(underlyingEXP, concat("P", concat(PutStrike, ""))), priceType = PriceType.MARK),dura);
I think I've figured it out. I just had to add a PriceType.Mark in the close command. Modified code:

Code:
def period = AggregationPeriod.MIN;
def dura = 10;
input PutStrike = 220;
input CallStrike = 230;
input underlyingEXP = ".IWM211015";

plot avg = Average(close(concat(underlyingEXP, concat("C", concat(CallStrike, ""))), priceType = PriceType.MARK)+close(concat(underlyingEXP, concat("P", concat(PutStrike, ""))), priceType = PriceType.MARK),dura);
 
Solution

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So I've noticed this study isn't working lately and I can't figure out why. For example, if I look at a 1m chart of GLD and add the study, I can select the call and put strikes as inputs (say 176 and 161 respectively) and enter the "underlying exp" input as .GLD220218 in the study settings, but when I apply the study the output on the chart shows the avg as N/A. I only modified the inputs in the "Edit Studies and Strategies" window, though I even tried changing the strikes and underlying info in the study itself with no luck. Any idea what's happening that's causing the study to fail?
 

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