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Why not just trade a delta hedged vertical and call it a day?

I can already tell you now that the greeks IB provides are incorrect. They use spot as the input rather than forward which creates inconsistent vols, thus incorrect greeks.

The answer is that it depends on your holding period. If you're making intraday trades, then just set it to 0. If you want to really picky about it, then just generate a yield curve using zero rates bootstrapped from H15. Other metrics you probably want to consider for a backtesting system...

It's hard to say without knowing where your data is coming from or what type of technology you're using. Suppose you're using interactive brokers with a SQLite database, python, and are trying to snap executions. It'll look something like this.. (the code is clearly incomplete and will not...

Are you getting data at tick resolution or snapshots? So suppose you're getting something like 500ms snapshots. Just write up a handler which parses your feed into a sql statement with the data embedded, then pass it from the handler into a queue. Then just allow a thread to access that...

Ok you seem way too dedicated to be a troll. First off you're cherry picking developer and engineer roles, then using that as some kind of justification that a degree in mathematics or CS is somehow superior in finance. There are plenty of l/s global macro shops that hire MBAs, not ever...

AFAIK with R you need to read the entire dataset into memory, I definitely know that's true with zipline. Another issue with R is that whenever a process forks, it takes the entire dataset with it. E.g. You're operating on a 20 gb file, have the process fork 4 times then you'll be using up...

So you can definitely use the callback function in the IB api for the next valid order Id. However, I have mine implemented a little different. When my system is turned on, it connects to a database which has all my trades and executions stored in there and pulls out the most recent orderId...

Either emg is an excellent troll or a complete idiot.

What exactly are you trying to achieve with this software? I think everyone has a very different definition of what risk-management entails. I can't say that I've used any of the software you've listed, but just glancing at them they might be a bit overkill don't you think? I mean sure it's...

There are much 'cleaner' ways to do this assuming if all you want is delta exposure rather than being just long a single call option (e.g. synthetic forward will give you a delta of 1, gamma and vega neutral). What you essentially want is a position where your vega exposure isn't too high...

Can anyone verify if this still works, I know it did a number of years ago. The idea is suppose you have a few positions you wish to 'wash'. In December, you exit the position while entering into a synthetic forward such that your tenor is greater than 30 days. You'll end up taking a hit...

I think the most important question here is by trading this option, what exactly are you trying to trade? Are you only concerned about being long delta? Are they any other risk factors you care about? Without that information, it's really tough to actually give you an answer.

It doesn't seem like entirely understand the dynamics of this trade to be honest. The 'fees' you're referring to have to do with daily rebalancing in order for the issuer to retain some constant delta. The fees only really add up when the associated delta 1 ETF is in a state of mean-reversion...

It's not exactly clear what kind of decay you're referring to. Are you referring to the decay that occurs with leveraged etfs?

This is simply untrue. Just take this simple example, suppose you've entered a position ATMF. Gamma is going to be the same for puts/call, let's say gamma = g. Then the gamma of a straddle will be 2*g (or -2*g for short). In a wrangle you're long both ratio spreads for calls and puts, so let's...

Ok so her strategy essentially boils down to selling vol, not sure what's so amazing about this. It's generally one of those strategies that works until it doesn't, you get a nice smooth equity curve then when vol spikes on you - double digit drawdowns. She may be completely ignorant to this...

I was hoping someone could shed some quick insight on this topic as I'm having a little difficulty wrapping my head around it at the moment. Suppose I'm trading a set of pairs and if the spread reaches some threshold then a trade is executed. Currently, I have my program set up such that...

OP, not sure how far you want to go back w/ your data. However you can pull 1 year back with an IB account through API, then IIRC w/ quotebooster a few more years back. I know deltaneutral is OK, OptionMetrics is great but expensive. Almost every single options data provider I've come across...

What granularity are you looking for?