Backtests executed: 19653
Historical data range: 1/1/2005 9:30:00 AM - 12/9/2022 4:00:00 PM
Resolution: 5 minutes
Data vendor: Cboe Global Markets
MesoSim version: 2.2.3-0-g6a4d885
run job definition real time and notify about trades
Currently Risk Graph in Simple Run interface is not capable showing Calenderized structures.
Due to regulatory changes in SPX the positions initiated before and held after 2017. 05. 01. is wrongly modeled. The position will exit as if were prices were all 0.
Workaround: Exclude the given date from the backtest by splitting up the time period to a before and an after part.
Currently all options are settled at PM using 16:00 prices. Therefore, trades for AM settled options which are kept till expiration are slightly wrongly priced.
Workaround: There is no good workaround known. Not holding the options until settlement works, but degrades functionality. Please wait for the fix.
StrikeSelector.Statement behaves differently than it's counterparts (Delta, MidPrice, etc):
The Statement Strike Selector must return an exact strike as opposed to the others, which are choosing the narrowest to the specified selection.
Workaround: Calculate exact strikes by rounding to the nearest (exact) increment. For example:
5 * floor(underlying_price/5)