ORB scan for options


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Hi Pete,

Is it possible to do an ORB scan for options? I have one now for stocks where I can enter my own threshold so not to show too many results. Example: I can limit those that are only .075% above its OR 30-min high. When applying to options, it ignores the threshold limit.

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Posted by (Questions: 8, Answers: 18)
Asked on August 9, 2019 3:36 pm
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Without your code I have no way to even begin writing a solution or confirming the issue.
( at August 9, 2019 4:41 pm)
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Here it is. Thank you! def OpenRangeMinutes = 30; def MarketOpenTime = 0930; input ShowTodayOnly = yes; input Limiter = 0.075; def Today = if GetDay() == GetLastDay() then 1 else 0; def FirstMinute = if SecondsFromTime(MarketOpenTime) < 60 then 1 else 0; def OpenRangeTime = if SecondsFromTime(MarketOpenTime) < 60 * OpenRangeMinutes then 1 else 0; def ORHigh = if FirstMinute then high else if OpenRangeTime and high > ORHigh[1] then high else ORHigh[1]; def ORLow = if FirstMinute then low else if OpenRangeTime and low < ORLow[1] then low else ORLow[1]; def OpenRangeHigh = if ShowTodayOnly and !Today then Double.NaN else if !OpenRangeTime then ORHigh else Double.NaN; def OpenRangeLow = if ShowTodayOnly and !Today then Double.NaN else if !OpenRangeTime then ORLow else Double.NaN; def PreviousRange = high[1] - low[1]; def range = Average(PreviousRange, 10); def entryLine1 = OpenRangeHigh + (range * 0.075); def entryLine2 = OpenRangeLow - (range * 0.0025); # Scan currently set to find Breakouts # Move Hashtag to Breakout plot to scan for Breakdowns # Limiter set by user (currently 5 percent) plot breakout = close > (entryline1 + (entryline1 * Limiter)); #plot breakdown = close < (entryline2 - (entryline2 * Limiter));
( at August 9, 2019 7:41 pm)
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I spent some time troubleshooting the code and experimenting with various settings. Most options do not trade sufficient trade data for this sort of setup. And when I say most options, I mean like 99.999% of options do not have sufficient trade data to even compute these levels you are trying to use in the scan.

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Posted by (Questions: 37, Answers: 4086)
Answered on August 10, 2019 1:03 pm
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I realized the threshold should be 0.0075 which is 7.5%. This example is used for stocks. For options, I like to use 0.025 which is 25%. I do get a fairly amount of results if I add these filters: Option Volume min 250, Open Interest min 1000, Days to Exp Min 30. The problem again is that the scan returns too many results if you don't add a threshold. I'm hoping this helps you better?
( at August 12, 2019 9:26 am)
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Ok, so should we mark this question as resolved? Seems from your comment above that you have things working as expected now?
( at August 12, 2019 9:31 am)
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I still need help on getting Option Scan to recognize the threshold. It's still returning results when it should be ignored. For example: I just want options at least 25% above its OR 30-min high, but it's giving me that and then some to even results with negative returns.
( at August 12, 2019 1:14 pm)
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Well I've already spent all the time I can on this and did not find a solution. Sorry but I have nothing more to add here.
( at August 12, 2019 1:52 pm)
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Ok. Thank you for trying Pete.
( at August 12, 2019 4:08 pm)