Retrieving greeks from IB

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rgarvis
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Retrieving greeks from IB

Postby rgarvis » 15 Oct 2011

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

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JoshM
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Re: Retrieving greeks from IB

Postby JoshM » 15 Oct 2011

rgarvis wrote: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?

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.

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
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rgarvis

rgarvis
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Re: Retrieving greeks from IB

Postby rgarvis » 15 Oct 2011

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


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