Gahow Wang
9287a92461
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>
15 lines
558 B
Bash
Executable File
15 lines
558 B
Bash
Executable File
#!/usr/bin/env bash
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# Daily S&P 500 option-chain snapshot after the US close (research/lab/fetch_options.py).
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# Started by quant-trading-options.timer (16:25 America/New_York, Mon-Fri).
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# Keys are read from the repo-root .env by the script itself; Alpaca is reached directly (no proxy).
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set -euo pipefail
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SCRIPT_DIR="$( cd "$( dirname "${BASH_SOURCE[0]}" )" && pwd )"
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PROJECT_ROOT="$( cd "$SCRIPT_DIR/.." && pwd )"
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cd "$PROJECT_ROOT"
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export PATH="/home/gahow/.local/bin:$PATH"
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export PYTHONPATH=.
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exec uv run python -m research.lab.fetch_options snapshot
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