When you backtest options strategies, you trust that the results are close to reality. But most backtesting tools work with simplified data – and that is exactly what makes their results unreliable, without it being obvious at first glance.
In this article we explain what data SPAIKE uses, why the difference between standard high/low and NBBO high/low matters, how Tick Entries make entries more realistic, and why Tick Drilldown, CapNonOpeningLosses and realistic slippage matter so much for intraminute stops.
What does "accurate data" actually mean in backtesting?
A backtest simulates what would have happened if you had traded a specific strategy in the past. For that, the system needs historical price data – the prices at which options were actually traded or could have been traded.
That sounds straightforward, but it is not. There are different ways prices are captured and stored. Depending on which data a tool uses, the backtest results for the same strategy can look completely different.
SPAIKE uses real historical market data from ThetaData and AlgoSeek – two leading sources for institutional market and options data in the US. This data goes back up to 9 years and covers expirations from 0DTE to 365DTE.
SPAIKE works with both quote data and trade data. Trade data shows actually executed transactions – prices where a buyer and a seller really matched. Quote data, on the other hand, shows the available bid and ask offers in the market. This quote data is critical for realistic options backtests because many options barely trade for minutes at a time, even though they were tradable through bid and ask quotes.
Not all high/low data is created equal
Many tools show "high" and "low" values for an options contract – the highest and lowest price within a time interval (for example, one minute). That sounds clear enough. But the critical question is: where do these values come from?
Standard high/low (Trade OHLC)
Most platforms use so-called Trade OHLC data. These are actual executed transactions – prices where a buyer and a seller actually matched.
The problem: for many options contracts, zero or very few trades happen within a single minute. The high/low values based on these trades can therefore be extremely sparse. Sometimes there is only one trade in an entire minute – then Open, High, Low and Close are all identical. The backtest looks "clean" but does not reflect what the market was actually offering.
NBBO high/low
SPAIKE additionally offers the option to use NBBO-based high/low values. NBBO stands for National Best Bid and Offer – at any given moment, this is the best available buy and sell price across all US options exchanges.
NBBO data is significantly more meaningful than pure trade data because it shows at what price you could actually have traded – even when no trade took place at that moment. The market made an offer, and that exact offer is captured.
In practice this means:
- No artificial gaps: Even in illiquid minutes an NBBO price exists because market makers continuously post quotes.
- More realistic extreme values: NBBO-based high/low values show the worst-case and best-case scenario the market actually offered during that interval.
- Better stop-loss and take-profit simulation: When your backtest checks whether a stop loss was triggered within a minute, NBBO provides a more reliable answer than a trade-based dataset with zero or one trade.
In SPAIKE, switching is a simple toggle: "Use NBBO Extreme" activates NBBO-based exit checking per leg group or per individual leg.
Tick Drilldown: from minute-level exits to tick-level precision
Even with the best high/low data, most backtesting tools have a fundamental limitation: they operate at minute resolution. The backtest can tell that a stop loss or take profit was triggered within a given minute – but not exactly when.
For many strategies this is not a big deal. But for 0DTE strategies or during periods of high volatility, options prices can move dramatically within a single minute. Which exact tick triggers the exit can mean hundreds of dollars per contract.
How Tick Drilldown works
SPAIKE solves this with the Tick Drilldown feature. Once an exit is detected at minute level, the backtest can drill further down to tick-level precision. The process:
- Detection at minute level: The backtest first checks minute by minute whether an exit condition (stop loss, take profit, custom exit) was triggered within the interval.
- Tick Drilldown into the exit minute: Once the relevant minute is identified, it is refined further at tick level in order to determine the exact trigger moment.
- Precise exit valuation: With Tick Drilldown, SPAIKE uses historical tick data to use the actual tick value at the trigger moment as the exit price.
The result: a backtest that shows not just whether your exit triggered, but in which tick – and at what price.
Tick Entries: entering only when the criteria actually fit
Accuracy does not start at the exit. A normal minute-level backtest checks the entry at the scheduled timestamp. If a criterion is not met at that moment – for example a desired premium range, a spread limit or another entry filter – the trade is either not opened or evaluated on a coarse minute-level assumption.
Tick Entry Floating solves this problem for 0DTE entries at tick level. SPAIKE loads the defined tick window, builds a running quote book and checks tick by tick whether leg selection and entry filters are satisfied. With a premium range, SPAIKE therefore does not blindly wait until the next minute. It finds the first historical tick where a matching option or spread was actually available inside your range.
This applies not only to premium ranges, but to every criterion that must be satisfied during leg selection or entry filtering. The advantage is simple: the backtest does not assume that the entry would somehow have been possible at the minute value. It opens only when the historical tick data shows that your rule was actually tradable.
CapNonOpeningLosses vs. Tick Exit
With Tick Drilldown there is an important nuance: which price is used to calculate the trade result?
SPAIKE offers two modes that you can toggle directly in the analysis view:
- Calculated stop value (CapNonOpeningLosses on): When a stop loss is detected intraminute, SPAIKE uses the calculated stop price for the result calculation instead of a later or coarser extreme value. If you sell an option for $2.00 and set a 100% stop loss, the exit price is $4.00. That prevents a minute high or later tick from making the loss artificially larger even though your rule already stopped the trade at $4.00.
- Tick price (CapNonOpeningLosses off): The exit is valued at the actual market price of the detected tick timestamp. You see not only that the stop was reached, but which price historically stood in the market at that moment.
The advantage of CapNonOpeningLosses is especially large when you test intraminute stops without using Tick Exit. SPAIKE can detect that a stop was touched inside the minute, but it does not have to derive the exit price from an imprecise minute value. Instead, it uses the price your stop rule actually defines.
If you want to be more precise, Tick Exit is the better choice: the exit price then comes from the exact tick at the exit timestamp. In this mode, CapNonOpeningLosses should be turned off because otherwise the tick-based exit would be artificially capped afterwards. In real trading, slippage is added because your broker cannot execute at the exact same moment and not always at the mid price. SPAIKE can model this either with a fixed average slippage or with Realistic Slippage: it calculates a more realistic fill add-on from the NBBO tick after the exit signal plus a configured latency window.
This distinction is especially important for intraminute backtests with expirations beyond 0DTE. To our knowledge, very few tools support intraminute stop logic for more than 0DTE at all. SPAIKE combines that capability with CapNonOpeningLosses as a realistic fallback and Tick Drilldown as the more precise variant when tick data should be used.
A practical example
A concrete example: you sell an SPX put credit spread with 0DTE. Your stop loss is set at 200% of the entry premium. At 2:32 PM volatility spikes sharply.
- Without Tick Drilldown: The backtest detects that the stop loss was triggered somewhere during the 2:32 PM minute. The exit is priced at the mid price or the high/low of the minute. That can deviate by several hundred dollars from the actual trigger point.
- With an intraminute stop and CapNonOpeningLosses: SPAIKE detects that the stop was reached inside the minute, but values the exit at the calculated stop value. This prevents the trade from being closed at the wrong minute extreme.
- With Tick Drilldown and tick price: SPAIKE detects that the stop loss triggered at 2:32:18 PM and uses the actual tick price at that moment for the result calculation. Afterwards, fixed or realistic slippage can be added to move the simulation closer to a broker fill.
The data foundation: 9 years, 0–365 DTE and tick data
All of the above features would be worthless without the right data foundation. SPAIKE works with historical options data from ThetaData with these characteristics:
- Time range: Up to 9 years of historical data
- Expirations: 0DTE to 365DTE – from daily expirations to annual options
- Resolution: Minute data and tick data for the parts of the simulation where intraminute precision matters
- Data types: Trade OHLC, NBBO quotes, quote ticks, trade ticks and Greeks
- No synthetic data: No interpolation, no artificially generated prices – exclusively real market data
This combination makes it possible to precisely test even complex multi-leg strategies over long time periods – including different market phases, volatility regimes, stress periods, tick-accurate entries for 0DTE and significantly more realistic intraminute exits.
How to choose the right level of data accuracy
Not every backtest needs tick data. That is why SPAIKE offers a tiered system:
- Standard: Exit checking based on MidPrice (average of bid and ask). Fast and sufficient for many strategies.
- Use High/Low: Enables OHLC-based exit checking. The backtest checks whether the extreme value of a minute would have triggered the stop loss or take profit.
- NBBO Extreme: Uses NBBO-based high/low values instead of Trade OHLC. More realistic extreme values, especially for illiquid contracts.
- Tick Entry Floating: Searches within the defined entry window for the first 0DTE tick where leg selection and entry filters are actually satisfiable.
- CapNonOpeningLosses: Uses the calculated stop price for intraminute stop-loss exits. This is the realistic fallback when you do not want to use Tick Exit.
- Tick Drilldown: Refines the exit from minute level to the concrete tick timestamp. For real tick exit prices, CapNonOpeningLosses should be turned off and slippage should be modeled separately.
- Realistic Slippage: Calculates the slippage add-on from NBBO ticks after the exit signal and a latency window. This is more precise than a fixed average when you want to simulate broker execution more realistically.
You can configure these settings per leg group or even per individual leg – depending on how precisely you want to test a specific part of your strategy.
Data quality as the foundation for everything else
AI strategy builders, automatic optimization, batch backtests, social features – these are all powerful tools. But they only deliver their full value when the underlying data they operate on is solid.
A backtest with inaccurate data produces inaccurate results – and decisions based on inaccurate results cost real money in live trading. That is why data quality forms the foundation at SPAIKE: real market data, NBBO-based extreme values, Tick Entries, Tick Drilldown, CapNonOpeningLosses and realistic slippage. On this foundation, every other feature can deliver what it was built for – reliable results instead of beautiful illusions.
FAQ
Do I need Tick Drilldown for every backtest?
No. For some strategies with longer expirations, minute-level resolution is sufficient. But Tick Drilldown is a distinctive advantage of SPAIKE because tick-level precision makes many backtest cases significantly more accurate: exits are not based only on a coarse minute-level assumption, but can be valued at the concrete historical tick. This advantage is especially strong for 0DTE strategies, fast market moves and any setup where the concrete exit value should be as close to real market behavior as possible.
Does Tick Drilldown slow down the backtest?
Yes, because additional tick data is loaded and analyzed within the exit minute. That is why Tick Drilldown is not available for batch backtests – the additional computation time would be too high.
What exactly does CapNonOpeningLosses do?
CapNonOpeningLosses values stop-loss exits at the calculated stop price once the stop is detected intraminute. Example: if you sell an option for $2.00 and set a 100% stop loss, the stop exit is calculated at $4.00. Without that cap, a coarse minute value or later tick can produce an exit price that does not match the defined stop of your strategy.
When is Tick Exit better than CapNonOpeningLosses?
Tick Exit is better when you want to use the actual historical tick price at the exit timestamp. In that case, CapNonOpeningLosses should be turned off and slippage should be modeled separately. CapNonOpeningLosses is the better fallback when you want to check intraminute stops but do not use a tick-based exit price.
What exactly is the difference between NBBO and trade data?
Trade data shows prices at which actual transactions occurred. NBBO data shows the best buy and sell offer available at any given moment across all exchanges. NBBO is denser and more realistic because it also covers moments without trades.
Can I combine NBBO and Tick Drilldown?
Yes. You enable "Use NBBO Extreme" and "Tick Drilldown" in the leg settings. This gives you NBBO data for more realistic extreme values and additionally Tick Drilldown for the exit.