Seeking an IB API Programmer

B

Billy Valentine

I am looking for someone to write a program for the IB TWS that will read the delta of my equity options position, and enter orders for the underlying stock when that delta reaches a user defined level.

For example: Using an option pricing model, it is determined that when IBM trades at 101, my options position will be 1000 deltas long. The program will have already entered a limit order to sell 1000 shares of IBM at 101. If IBM then trades down to 100 the program will have generated a buy limit order to cover the 1000 share short position, and bring my options position delta back to zero.

The program will need to monitor multiple equity option positions, and enter resting buy and sell limit orders on all of them, at various user-defined delta values.

Please send me a private message if you're interested.

Thanks!
 
Quote from Billy Valentine:

I am looking for someone to write a program for the IB TWS that will read the delta of my equity options position, and enter orders for the underlying stock when that delta reaches a user defined level.
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Fairly comprehensive list of IB programming consultants:

http://www.interactivebrokers.com/en/general/poll/ibconsultants.php?progid=10&ib_entity=llc

You don't mention whether you will use a proprietary model or one of the standard models for option pricing.

Automated gamma-scalping, delta hedging is fairly common so I would be surprised if there wasn't already off-the-shelf software for you to do this, might just require looking in the right places.

e.g. http://www.tethystech.com/

This may or may not be the right level of product for you.

At the cheap end, something like Hoadley's Excel option software:

http://www.hoadley.net/options/strategymodel.htm

This has pre-built formulas for calcluating delta hedges etc.

In combination with IB's API via Excel:

http://www.interactivebrokers.com/en/software/apiBeginners.php?ib_entity=llc

should give you a solution.
 
From what I understand, IB has a "VOL" type order. It will allow you to place orders based on greeks.

Original orders would have to be entered manually.
 
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