Hi C2 Folks -
C2 makes an effort to sanity-check its hypothetical fill prices. There is one trade in particular, in one hypothetical track record, for which I am hereby requesting “crowd-sourced” help investigating.
According to multiple data sources that I have examined, on May 5 2016, at 14:48 ET, the TSLA May 230 call traded at 2.47 for an instant. The prices immediately before and after that trade were approximately 0.09 or 0.10.
So this looks suspiciously like a bad tick to me, but I’m having a hard time verifying this with 100% certainty. TSLA stock and options are volatile, and before I reverse a trade in a track record, I’d like to have a higher level of certainty that this trade did not (or did) happen.
Anyone have any insight?
I think you have the option date wrong.
Using the On Demand feature for my thinkorswim account, the May 230 monthly calls were 2.66 at 2:48 PM (ET), when TSLA was trading at 213.70.
However, the May 6, 2016 weekly 230 calls were trading at 10 cents a contract.
So, based on this the May 6, 2016 weekly 230 calls would not have traded at 2.47 at that time, but the May monthly 230 calls could have.
Let me know if you have any other questions on this. It is relatively easy to do this analysis on thinkorswim (it’s a shame it’s not compatible for autotrading with C2!).
There is no way that this C2 symbol (TSLA1606E230) traded at 2.47 at any time on May 5th, 2016.
The problem with not adjusting the track record from this trade in a timely matter is that subsequent trades taken for that “system” did not have enough “real” buying power and thus could have never happened in the current quantities shown in the existing track record.
This downstream effect invalidates that entire “system” track record. In this case you might consider killing this system (after fixing the data error) and then giving the system owner another new system at no additional charge.