Options Analysis Program

[aphexcoil]

Thanks for the suggestions. I'm writing them all down and plan to put all of this stuff in.

A question for Def:

Do you know how many concurrent issues (stocks, options, futures) that IB will allow for tracking via the API? Is there a limit?

 

[trader42]

40 tickers

 

[Trajan]

Quote from aphexcoil:

Thanks for the suggestions. I'm writing them all down and plan to put all of this stuff in.

Besides an actual P&L, a theoretical one as well would be nice. Say you set the IV to 50, you buy a ten lot of atm calls at 49 IV with a vega of 5 and then sell otm calls for a 55 vol with a vega of 3. You would calculate the theoretical profit you have if the positions were covered at exactly a 50 IV.

 

[aphexcoil]

Quote from trader42:

40 tickers

So if each strike (put and call) counts as 2 tickers, that is really going to be close.

 

[nitro]

Don't hard wire the back end. Abstract it so that porting to another data feed just requires implementing the hooks.

I would be very interested in having the program work with a DTN _SATELLITE_ backend.

nitro

 

[corvus]

Quote from nitro:

Don't hard wire the back end. Abstract it so that porting to another data feed just requires implementing the hooks.

nitro - aphie, I'm working on something like this. PM me if you're curious, the API for the backend will be open and I may open-source the whole project.

 

[aphexcoil]

Quote from nitro:

Don't hard wire the back end. Abstract it so that porting to another data feed just requires implementing the hooks.

I would be very interested in having the program work with a DTN _SATELLITE_ backend.

nitro

Yeah the subroutine that handles the live data is easily adaptable to other feeds. The only small difference is that IB's API is event driven when something changes in the underlying, but that goes to another routine that sets it up and standardizes it for the rest of the program.

So if a new feed were to be used, I would just have to see how that feed outputs its data and then incorporate it into the other routine that distributes the data.

Thanks.

 

[def]

alphie,

it is 40 tickers but can be increased on a case by case basis - the determining factor is usually commissions and increases aren't granted lightly. The restriction is in place to conserve bandwidth.

 

[aphexcoil]

Quote from def:

alphie,

it is 40 tickers but can be increased on a case by case basis - the determining factor is usually commissions and increases aren't granted lightly. The restriction is in place to conserve bandwidth.

Def,

Is it possible to allow traders who want to monitor 200+ to do so provided that they pay a monthly fee?

 

[def]

Doubtful, we are not aiming to be a data service. If they are very active traders, it would be considered on a case by case basis.