I have downloaded some daily historical option data for a timespan of 10 years and want to perform trading backtests with them. Data are European index options, on ODAX. My question is about realistic assumptions on backtest fillings:
a) valid bid/asks: I would assume the mean of bid and ask as filling price
b) bid and ask=zero: This happens mostly for some of the ITM options, the underlying beeing more than 300 points away from ATM-strike. Not sure what to do: my idea - market maker has to take counterparty, so I assume realistic quotes and realistic bid ask spread and again mean of bid and ask.
c) bid and ask unrealisticly high/unrealisticly low: happens both ITM and OTM, same procedure as in b)
Are those realistic filling rules? If not, how should the rules be?
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