Delta Neutral Trade Automation

Discussion in 'Automated Trading' started by jones247, Sep 14, 2009.

  1. I'm looking for a "grey box" application that allows me to set the parameters for buying and selling stock or futures in accordance with changes in the delta of the derivative (options). In other words, I would like to set the direction (long or short), the limit or stop price of the stock, and the quantity (# of shares or lots) based upon the change in delta of the option(s) bought or sold.

    For example, if I entered into a long straddle on xyz corp, then I would be able to enter a buy limit order or a sell limit order (OCO), at the particular price based upon the change in delta of the loosing option leg, with a particular order size. Furthermore, I would need to set a $ profit threshold to liquidate all positions.

    Hopefully this makes sense... I'd appreciate any assistance or referral you may be able to offer.