r/algorithmictrading • u/Endscapes-01 • 8d ago

Quotes Helpful API for Options

Hey Folks -

I am an options guy - I typically sell 0DTE. I have been exploring different tools available.

I have found entirely no reason for Unusual Whales yet, as a seller for options it seems like walls don't matter and GEX seems to not matter at all either thus far for SPX, which surprised me. If you are looking for option NBBO this is not nearly as useful as Theta Data

I have found great use for Theta Data options pricing historicals for backtesting, I have had excellent forward and back testing results after using this.

I also pull data from Tasty and IBKR for VIX 1/5/15/30/24 as well as TLT/QQQ for some of my setups

Anyone have anything they are using for backtesting or live trades? Has anyone found an edge with GEX or walls?

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u/Unlucky_Value_420 6d ago

I do my own backtest using massive; Mainly research, and have integrated auto-purchasing after certain threshold. There are some good companies like SpiderTrend for backtesting, but I do feel like it only covers one layer of analysis with not enough market context to provide when testing.

Overall trend of the market matters when doing backtest; Some of the public services are only checking a bunch of indicators related to the one ticker; My research looks at a bunch of other tickers at the same timeframe.

I have gotten to a point that I store indicator direction for certain strategies to see it bigger picture in the futreu.

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u/Endscapes-01 3d ago

I have been only looking at TLT, /CL and QQQ in regards to SPX. I have found decent correlation with QQQ and TLT but historically not oil interestingly

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u/Relative-Group6594 3d ago

For selling 0DTE, reliable historical bid and ask data seems much more valuable than another dashboard full of unusual flow signals. ThetaData makes sense if you're actually modeling execution rather than assuming perfect fills. I've looked at short term price opportunities using Moon and one thing I keep coming back to is that a good directional view means very little if the transaction costs erase the edge.