Objectives:

Most Recent NBBO Price Protocol

1. Recandle options data to use NBBO price data

   • filters asks and bids for only those that are Firm Quote NBBO
   • filters asks and bids for only those that have size lots greater than 75 (liquidity purposes)
   • added open interest to better evaluate liquidity
   • reports the last firm quote NBBO ask and bid at every second grouping

2. Recandle underlying SPY data to use NBBO price data

   • Same Process as the options data

3. Add features for training

   • Add how many strikes away from underlying the contract is
     • positive values means ITM, negative values means OTM
   • Add realized_vol with 10 min, 20 min, 30 min windows
   • Measure max potential profit in a given time window
   • Measure max potential loss in a given time window
   • Add count of d/dprice over different window sizes to data
     • This is to gauge whether or not volatility is being affected by choppy oscillating price movement
   • Add count of d/dprice that crosses certain threshold over different window sizes to data

NBBO Median Price Protocol 4. Recandle using NBBO price data - reports the median firm quote NBBO ask and bid at every second grouping