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Thinkorswim OnDemand backtesting limitation for Options on Futures, past contracts


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Thinkorswim OnDemand backtesting limitation for Options on Futures, past contracts

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  #1 (permalink)
futurenow
Dallas Texas
 
 
Posts: 20 since Feb 2017
Thanks: 12 given, 4 received

Hello

I'm starting to test the OnDemand feature in Thinkorswim with the idea to do backtest for options on futures (futures options), but for my surprise I see it has a big limitation.

If for example you select the actual ES contract (/ESU20) then the platform shows the Option Chain, as should, except that only shows actual July calls and puts expirations (not June or previous expirations).

Ok, but the big limitation comes when you select the previous contract (/ESM20) or any older contract (/ESH20, /ESZ19, ...) because when you write and enter the symbol ticker, then the platform automatically shows the message "Instrument /ESM20 has no options" and I really don't understand why is this because the reason to use OnDemand is precisely to go to previous dates you need, so for options on futures the idea is to backtest previous futures contracts and previous options expirations. So I would like to know if this limitation can be fixed.

I think it would be interesting to have available at least the last year of contracts and options expirations.

Just to clarify some details, in OnDemand, for options on futures, you can select the symbol without specify the contract, for example just writing /ES, and yes, you can go months back, but I see it only shows the options expirations for the present contract and present date. So I see if you would like to backtest from January 2, 2020, then again, the first expiration and contract you will see available are the current July 2020 options (with 200 days to expiration) and the contract /ESU20. So as I say I can’t see the way to for example select the date January 2, 2020 and see the expirations and contract for that date that was the contract H20 (/ESH20).

About the rest, yes, I see OnDemand shows past options expirations if for example you select the SPY ticker or any other stock/ETF, so the only limitation I've seen until now is only for options on futures.

By the way, I hope someone else here could share his experience backtesting options on futures, either in Thinkorswim OnDamand or in any other platform or site, in order to do backtest as you could do with Stocks or ETFs.

Thank you

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  #2 (permalink)
 Madness 
Tampa Florida
 
Experience: Intermediate
Platform: ThinkOrSwim, NinjaTrader
Broker: TD Ameritrade, NinjaTrader
Trading: ES, NQ, Equities
 
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Posts: 18 since Mar 2020
Thanks: 14 given, 30 received

I don't trade options but I do trade stocks and futures. I actively use both ninja trader and thinkorswim. Maybe I can save you some time. OnDemand Is horrible for back testing. In fact, If you would like to do some simulated trading with OnDemand, that's even worse. Price action does not correlate with the DOM, and freezing is not uncommon. Over the years, I spoken to TD many times asking If they were gonna make OnDemand usable. They just told me that it is not a priority and that they are aware that it's bad. My advice is look for a different back testing platform. Hope this can save you some aggravation.

Sent using the futures.io mobile app

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  #3 (permalink)
futurenow
Dallas Texas
 
 
Posts: 20 since Feb 2017
Thanks: 12 given, 4 received



Madness View Post
I don't trade options but I do trade stocks and futures. I actively use both ninja trader and thinkorswim. Maybe I can save you some time. OnDemand Is horrible for back testing. In fact, If you would like to do some simulated trading with OnDemand, that's even worse. Price action does not correlate with the DOM, and freezing is not uncommon. Over the years, I spoken to TD many times asking If they were gonna make OnDemand usable. They just told me that it is not a priority and that they are aware that it's bad. My advice is look for a different back testing platform. Hope this can save you some aggravation.


Thank you for your replay

However, I would like to confirm if is only me that can’t see options for past futures contracts.

When you can, could you please start OnDemand, and try to look for past futures contracts like /NQH20 or /ESM20 and in the main TOS window go to the Trade tab, and check if are able to get the Option Chain for those tickers or if you get the message “Instrument /NQH20 has no options”.

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  #4 (permalink)
futurenow
Dallas Texas
 
 
Posts: 20 since Feb 2017
Thanks: 12 given, 4 received


Madness View Post
I don't trade options but I do trade stocks and futures. I actively use both ninja trader and thinkorswim. Maybe I can save you some time. OnDemand Is horrible for back testing. In fact, If you would like to do some simulated trading with OnDemand, that's even worse. Price action does not correlate with the DOM, and freezing is not uncommon. Over the years, I spoken to TD many times asking If they were gonna make OnDemand usable. They just told me that it is not a priority and that they are aware that it's bad.



I understand well that things like have a chart and its DOM correlated in synchronization as if you be in real time is something very important but just one detail about my specific case, what I need to backtest is not for scalping daytrading, what I need is more for swing daytrading and swing trading for some days and even some weeks, so in my actual and very specific situation I don't need an extreme synchronization with the chart and the bid/ask data, and I think maybe OnDemand could work for what I need because is not a big problem 1 or some seconds of desynchronization. However if things don't go as should I can post it here.





Madness View Post
My advice is look for a different back testing platform. Hope this can save you some aggravation.

And about to look for a different backtesting platform, of course, I have weeks looking for alternatives for Thinkorswim OnDemand, to backtest futures options (options on futures) but without luck.

Even I first opened a thread exactly about this topic, but until now nothing about what I consider real alternatives for what I need that is Market Replay for futures options with intraday data. Please let me know if you know about alternatives.

Just to clarify, what I need is to backtest mostly are long calls and puts and maybe, maybe some spreads, nothing very sophisticated or difficult to process.

Here is the link to the thread:


I perfectly know you can easily do backtesting with a Market Replay feature in platforms like NinjaTrader 7, NinjaTrader 8, Sierra, etc. But with them you can do backtesting for futures. When you want to backtest futures options, that's when you start to find limitations, almost no platform to do market replay, some services very expensive, nobody talking about replay futures options, no sites, or videos, or threads, or tutorials talking about to backtest futures options.

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  #5 (permalink)
 Madness 
Tampa Florida
 
Experience: Intermediate
Platform: ThinkOrSwim, NinjaTrader
Broker: TD Ameritrade, NinjaTrader
Trading: ES, NQ, Equities
 
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Posts: 18 since Mar 2020
Thanks: 14 given, 30 received


Quoting 
I perfectly know you can easily do backtesting with a Market Replay feature in platforms like NinjaTrader 7, NinjaTrader 8, Sierra, etc. But with them you can do backtesting for futures. When you want to backtest futures options, that's when you start to find limitations, almost no platform to do market replay, some services very expensive, nobody talking about replay futures options, no sites, or videos, or threads, or tutorials talking about to backtest futures options.

Sorry for the late response. Well you got me there. I wouldn't know what platform that you would need to backtest futures options. However, not too sure if you've seen this Futures.io thread, it asks the same question.


Options Backtesting Software?

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  #6 (permalink)
 Madness 
Tampa Florida
 
Experience: Intermediate
Platform: ThinkOrSwim, NinjaTrader
Broker: TD Ameritrade, NinjaTrader
Trading: ES, NQ, Equities
 
Madness's Avatar
 
Posts: 18 since Mar 2020
Thanks: 14 given, 30 received


futurenow View Post
Thank you for your replay

However, I would like to confirm if is only me that can’t see options for past futures contracts.

When you can, could you please start OnDemand, and try to look for past futures contracts like /NQH20 or /ESM20 and in the main TOS window go to the Trade tab, and check if are able to get the Option Chain for those tickers or if you get the message “Instrument /NQH20 has no options”.

So checked it out and I got the same results as you. "Instrument /NQH20 has no options"

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  #7 (permalink)
 AndrasNagy 
WOODLAND, CA Yolo
 
Experience: Intermediate
Platform: TWS, StreetSmartEdge
Broker: Interactive Brokers, Schwab
Trading: Options, Mutual Funds, ES
 
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Posts: 22 since Jun 2020
Thanks: 15 given, 12 received

Since Schwab bough ToS (TDAmeritrade) nothing will change with this feature unless Schwab fixes it during the integration of ToS. I have asked them and ToS will be available early next year. Just keep your fingers crossed that they won't screw it up.

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