SNDK's October-2026 expiry month (1000 contracts, 3.5 months of daily
bars) timed out on every retry, so the backfill skipped it twice. A 504 on
a request for 50+ symbols now restarts that chunk as two halves.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
The indicative feed's quotes are derived, not OPRA quotes (Alpaca docs);
the OPRA BBO needs the $99/month plan. Option bars are computed from OPRA
prints and are free beyond the last 15 minutes, back to 2024-02.
- snapshot also stores OPRA daily bars for every contract expiring within
0-100 days (active and same-day inactive, so 0DTE volume is kept), and
bases option volume, os_volume and pc_volume on them.
- snapshot samples three near-the-money contracts per name and compares
the last 15:45-16:00 OPRA print with the indicative quote (share inside,
IV error). status gives the pre-set verdict after 20 sessions: adequate
if >= 90% inside and median |IV error| <= 1 vol point.
- backfill fetches daily bars since 2024-02-01 for every S&P 500 member
since then, one resumable file per underlying, pausing 16:10-16:55 New
York; volume-panel builds the daily option-volume panel.
- Bar requests send a timestamp end capped at now - 16 min: a date-only
end of today returns 403. Adjusted (non-OCC) roots are skipped.
The daily path and the backfill agree contract by contract on AAPL
2026-10-09 (1,068 contracts, identical volume).
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
svr_combo (preregistered): blending low_svr21 into overnight_recovery_top10
lifts Sharpe 0.81 -> 0.87 at w=1/3 but deepens MaxDD by 6pp (G1, G3
fail); as a fourth sleeve it dilutes the overnight book (1.49 -> 1.42).
fetch_options collects S&P 500 option chains after each close from
Alpaca's free indicative feed (quotes, day volume, OCC open interest),
solves IVs, and writes per-name iv_atm30 / skew / call-put spread /
option-stock volume summaries to data/options/us/. Forward-only history
for options-implied factors. Run by the quant-trading-options timer at
16:25 New York, Mon-Fri; it skips once the next session has opened.
Co-Authored-By: Claude Opus 5.5 <noreply@anthropic.com>
