QUANTCONNECT COMMUNITY
Hello,
I've asked Interactive Broker what option pricing model they using and they replied that they are using the “Bachelier” option pricing model. I can't find it here:
https://github.com/QuantConnect/Lean/blob/master/Common/Securities/Option/OptionPriceModels.cs
I find it odd since you have an integration with IBKR for a long time. Are you planning to add it sometime?
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Derek Melchin
Hi Reginald,
To track our progress of adding the Bachelier option pricing model, subscribe to the following GitHub Issue:
Best,
Derek Melchin
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Yayaya
Actually, it would also be easier in live trading: LEAN can directly pass the Broker's Provided Greeks into the LEAN system. That will make sure everything is consistent with the broker, instead of recalculating all Greeks on the fly (which is also inefficient.)
Reginald Louis
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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