Has anyone attempted to autotrade options with MC, and specifically to automate delta hedges. This would require retrieving greeks from the broker, in this case IB, and to issue the orders based on what the readings are. Any ideas?
Thanks
Richard
Retrieving greeks from IB
- JoshM
- Posts: 2195
- Joined: 20 May 2011
- Location: The Netherlands
- Has thanked: 1544 times
- Been thanked: 1565 times
- Contact:
Re: Retrieving greeks from IB
Only way I can think of, and something that I look to implement as soon as I got my C++ skills up to par, is to to use the IB (C++) API, exported in a DLL for usage in MultiCharts.Has anyone attempted to autotrade options with MC, and specifically to automate delta hedges. This would require retrieving greeks from the broker, in this case IB, and to issue the orders based on what the readings are. Any ideas?
See the API documentation for more information. Also, a Google search for 'IB TWS c++ quick reference guide' will turn up two PDF guides - one from IB and one very informative on Timberhill.com.
Not the most quick and simple way, so if someone has a better idea to tackle this - please share your idea.
Regards,
Josh
Re: Retrieving greeks from IB
Sigh! Yeah I was afraid of that. Nevertheless, thanks Josh.
They say it takes about 3-6 months to learn C++, so I should be good in about a year
I was prayin' that someone had already thought of, and implemented some method of doing this. It seems like a rather basic and necessary function in today's financial markets. Alas...
Cheers,
Richard
They say it takes about 3-6 months to learn C++, so I should be good in about a year
I was prayin' that someone had already thought of, and implemented some method of doing this. It seems like a rather basic and necessary function in today's financial markets. Alas...
Cheers,
Richard