0DTE Options Backtesting Data Requirements

0DTE options backtesting is unforgiving. Small timestamp mistakes, stale quotes, missing contracts, and optimistic fill rules can change the result more than the signal itself.

That does not mean 0DTE research is impossible. It means the data requirements are stricter than most casual backtests admit.

Requirement 1: listed contracts at the decision time

A 0DTE strategy must know which contracts were listed and available when the trade decision happened. Do not reconstruct a past trade from a modern chain without an as_of workflow.

Use contract discovery and expiration discovery before price data.

curl "https://api.cutemarkets.com/v1/tickers/expirations/SPY/" \
  -H "Authorization: Bearer YOUR_API_KEY"

Requirement 2: quote data, not only trades

0DTE contracts can trade often, but that does not remove the need for quotes. The bid/ask spread determines whether the strategy could enter and exit at a plausible price.

Historical quotes help answer whether a contract was tradable at the exact time the signal fired.

Requirement 3: strict timestamp alignment

The underlying signal, option contract selection, quote window, trade window, and exit logic need consistent timestamps. Same-bar assumptions can create lookahead. A model should not know the bar close if it claims to enter inside that same bar.

The trading2 research became more conservative after timing and realism fixes. That is the correct outcome. If a strategy is only profitable before timestamp discipline, the edge was not ready.

Requirement 4: reject reasons

Every rejected trade should leave a trail. Wide spread, missing quote, missing chain coverage, low premium, failed delta band, low open interest, and no feasible contract are all useful facts.

Negative results save time. A zero-trade lane is not wasted if it proves the setup cannot be expressed under honest constraints.

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For 0DTE workflows, start with options expiration data, then use option chains, contract snapshots, historical options quotes, and options trades.

0DTE research should be fast, but it cannot be loose.