Possible to Calculate Option Greeks in S#.Designer?
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30.09.2016
Hola1212


Hello everyone,

Is it possible to calculate Option Greeks in S#.Designer?

I ask because I added an "Indicator" block and scrolled through the indicators available, but did not see any Options related Indicators (such as Black Scholes, Delta, Vega and so on).

Regards



Спасибо:


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Hola1212

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Дата: 26.10.2016
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Great!

Also, will this new version allow a Strategy to trade any Option of an Asset without me having to add a Security block for each Option?

For example, lets assume I want my Strategy to scan 100 different strike prices of an Asset and automatically buy any strikes whose premium is less then X. Would I need to add 100 separate Security blocks (one for each Option) to do this?
Спасибо:

Mikhail Sukhov

Фотография
Дата: 27.10.2016
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Hola1212
Great!

Also, will this new version allow a Strategy to trade any Option of an Asset without me having to add a Security block for each Option?


Good question. The major diff between Options and other instruments that Options blocks uses Security set as an argument type. So the Strikes block filter from all instruments and pass as an output set of options. The same with the Options desk, chart position etc.

So the key in an algo with options will ask - how I will filter my strikes to use appropriate options and do not use other.
Спасибо: Hola1212
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