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Yeah, my bad, wasn't reading careful enough.

You can't be vega neural if you want to trade skew. You need to be short vega to profit from falling vols. In this case theta is not a problem. However with ratio spread you are taking slope risk. It's when the skew is turning, imagine the vol is falling at your long puts strike but rising at...

Not sure what you mean by OMS. If its about order management then it's not what I'm looking for. I need to analyse my algo activity in the past and be able to see immediately what it's doing now. It's like OSS (operations support system) I'd say. I use IB API. My algo is about options trading...

I need a monitoring system for my algo. There are a lot of data to monitor like the the number of orders in the market, current margin, net liquidation value, and heaps of internal indicators of how the algo is performing. I'd like the monitoring system to store the data as time series and draw...

KOSPI is the most liquid one in the world

You don't need to fill all the table overnight, all you need to do is to make sure the regions of your tables are filled by the time underlying gets there. You will also want to choose nodes carefully and store only them in the table and then interpolate in realtime to reduce dimension.

Yes MMs widen their spreads during such events both because of risky trades if they quoted tighter and because ppl are willing to pay more so why not take some extra profit. Actually almost all MMs made much more money during "scary" events than in any other period.

I enjoyed the posts from Jerkstore and others. I have to say that this game is also about queue prioity not just speed. Market makers have position limits or their orders occasionaly get pulled for some other reason. If you know your market and you're sure in your theo values then you will get...