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Possible to Calculate Option Greeks in S#.Designer?

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).

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Mikhail Sukhov
Mikhail Sukhov

Indicator block has only TA indicators. The "Greeks" is absolutely different things.

Currently it is not included into Designer but lets discuss how you wanna use it. If it will be reasonable we can include it further versions, but the main point of the Designer - to create complex blocks from a basic for reusing. It like a programming, but with some charm =)

Hola1212
Hola1212 著者

Overall, I'm looking for the same Options Trading/Graphic features that are available when using the S#.API to be available when using S#.Designer.

I guess this is sort of a broad answer, so I'll leave it to you to decide which Options related features would be best to add to S#.Designer's next releases (if you choose to add any). Hopefully you'll add all of them overtime:)

Thanks for the consideration.

Mikhail Sukhov
Mikhail Sukhov

At the next version we plan to host dll strategies (that written in C#). Not sure what's actually you are looking for but seems it is already done in S#😂

Hola1212
Hola1212 著者

Hi Mikhail, here are some more specific examples of what I'm looking to do in S#.Designer regarding Options trading.

  1. Calculate Option Greeks (<u>without having to write code</u>).
  2. Graphically view everything available in "OptionDesk" (as shown here http://bit.ly/2dIcmgF) such as Option Chains, Greeks, implied volatility, the theoretical price, the best offer and bid for Put and Call options (<u>without having to write code</u>).

Perhaps these items are already possible in S#.Designer and i'm just misunderstanding something?

Mikhail Sukhov
Mikhail Sukhov

OK, got you. So do you wanna "code" in Designer some of your option's based strategy, right? Or just view the option desk and other option chains views to put an orders by clicking?

Hola1212
Hola1212 著者

Both.

Note: I'm especially hoping the mentioned "OptionDesk" graphics will be able to display the <u>historical </u>Options data I have saved in Hydra (rather then just being able to display live Options data). Viewing this historical Options data directly in #S.Designer would be really helpful when researching/backtesting/building Options based strategies in #S.Designer. Thanks!

Mikhail Sukhov
Mikhail Sukhov

Think, it is no any issues to add the Greek into next version. To add graphical components will be required more time. Currently we are working under compiled strategies. When we finish we can embed something from Options chart.

To view only historical data most appropriate is S#.Data. Designer has developed for algo strategies. Historical backtesting do not play past data online. It uses in background and display almost everything that it can be displayed per sec.

Hola1212
Mikhail Sukhov
Mikhail Sukhov

In the upcoming version we will add these features:

1983e5a6c597c77801ba310fdeac9d0b.png

Here is option quoting based on filtered strikes (by expiration, type and strike offset from a cental strike). All options will be output into option desk + display as a pos chart.

Also, option position will be "protected" by delta-hedging. Not a fully neutral but use a 3 asset contracts as directional position to earn some money while an asset is moving.

Hope it exactly what you ask us.

Hola1212
Hola1212 著者

Sounds great!

Is there an estimate of when the new version will be released?

Mikhail Sukhov
Mikhail Sukhov

Hola1212: Sounds great!

Is there an estimate of when the new version will be released?

In the first half of November. I can say more precisely after 1 November.

Hola1212
Hola1212 著者

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?

Mikhail Sukhov
Mikhail Sukhov

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.