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Using external data to plot an indicator

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innerma
6
innerma 2015.08.11 17:34 

Hey all, noob here. Looking for views on the following: I want to plot something based on the ideas behind the CSFB, credit suisse fear barometer. It works by calculating the proceeds from the sale of a call 10% out of the money, at 3 months expiry, then determining the strike of a long put bought for said proceeds. Finally, approximate the % distance of the put's strike from at the money. E.g. in a bear market, a call with fetch less, puts cost more, so the put we can buy for the sale of the call will be closer to ATM. Another version would be to use the price of 10% OTM option on both sides of the underlying, and subtract them (eg 10% otm call - 10% otm put, same expiry).  I intend to plot indexes such as SPX or otherwise liquid stocks with options.

Either way, I need data beyond the price of the underlying. I can either take it from disk (I have CSV with complete info for all strikes and going back long enough, I don't need a data feed), or I can build a wrapper to serve said CSV through a REST or SOAP interface. I don't need real time - this can be a daily plot.

What would the community think is the best idea? Is it doable? I could also stick my options data in a database - which one? Open source, nosql, ideally. How do I connect mt4 to this reliably?

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