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...
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'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...
Are you getting data at tick resolution or snapshots? So suppose you're getting something like 500ms snapshots. Just write up a handler which...
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...
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...
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....
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...
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....
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'....
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...
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...
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...
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...
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....
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...
What granularity are you looking for?
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