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I would suggest purchasing your own historical options data and just use either R or python/pandas for backtesting. Almost every single software I've seen incorrectly calculates greeks/iv anyway.

Either R or python/pandas

I think it's just that a lot of people underestimate the difficulty of this problem. However, there are plenty of capacity constrained strategies that one could implement and make a reasonable return on. For example I have a friend who trades for himself doing mostly stat arb strategies with...

Isn't IB on FIX 4.2? Worst case scenario whip up a connector.

It's a poor sample of set of people to choose from, people who actually know what they're doing have absolutely no incentive nor time to join such a competition.

Well that's the thing about most quant strategies right? The strategies themselves are typically "dumb". Where the difficult part comes in is how to actually execute these orders and so on. Like they say, the devil is in the details.

Do you guys know if there are any reasonable OMSs for IB? IB plugin would be nice, but would like to achieve broker neutrality as well so something FIX compliment would be nice. The only real requirement for me as of now is the ability to track virtual PnL for strategies and execution at...

Hey guys, so I'm looking for a multi-asset (will be primarily trading futures and options) broker agnostic front-end software, ideally FIX compliment. One other key element I'm looking for is that it can group positions by strategy rather than reporting the portfolio as a whole (p&l breakdown of...

Those are all closed-form solutions posted from QN, I believe. If you wanted to compute it quickly you could either do it numerically or use a symbolic engine (e.g. matlab) to back out a solution.

I just took a look at the wilmott link and I suppose you would have ended the thread at at that if you had what you're looking for (I have no idea what your background is). So here's some quick pseudocode to solving for IV with the N-R method. This is assuming you're using the BSM. 1...

There typically* isn't a closed-form solution for IV, if that's what you're looking for. The standard approach is to use a root finding procedure, Newton-Raphson is fast enough for most applications. *depends on your model

Synchronizing it.. There's actually a decent blog post on this: http://www.maxdama.com/2010/02/simplifying-ibs-api-by-synchronization.html

There are actually algorithms for this, I worked on one at work a few months ago.

If I come here for entertainment/boredom does that make me a high faultin' jackass?

I had use a psuedonym (i.e. not my usual online handle) for this site out of shame :( What's funny is that, just this morning I was reading something from over there where you answered pretty much the same question.

np?

Matlab or R, the latter is more flexible though learning curve is steep.

are you looking for something VBA based (i.e. strictly excel) or redoing the entire thing in some other language?

You're correct in that if the risk-free rate is 0 then theta is equal, however that is rarely ever the case!

If we're just looking at a basic black-scholes model for a generic underlyer. We have: C(S,t) = S*N(d1) - k*exp(-r*t)*N(d2) P(S,t) = k*exp(-r*t)*N(-d2) - S*N(-d1) d1 = (ln(s/k)+(r+si^2/2*)*t/(si*sqrt(t)) d2 = d1 - si*sqrt(t) C(S,t): Price of a call P(S,t): Price of a put S...