Hi, Colleagues,
This is my first algo on QC, so don't judge strictly.
The idea is to backtest delta neutral trading, gamma scalping, ect. We buys nearest ATM strangle and every minutes do delta hedge with Underlying.
But unfortunately backtest is going very slowly :(
Maybe someone could help me to optimize my code to speed up this algo.
Xin Wei
Hi SLs,
Welcome to QC and congratulations to your first algo! We are looking into your algo and will let you know if we find ways to optimize it. Thank you for your support!
Best
SLs
Thank You, Xin Wei
in the moment the module wich calculate portfolio delta look like this, please feel free to use and optimize it.
def get_greeks(self, slice): #self.myOptionPortfolio = set(filter(lambda x: self.Portfolio[x.Symbol].Invested, self.myOptionPortfolio)) for chain in slice.OptionChains.Values: #traded_contracts = set(filter(lambda x: x in self.myOptionPortfolio, chain)) for i in chain: for e in self.myOptionPortfolio: if not self.Portfolio[e.Symbol].Invested: self.myOptionPortfolio.remove(e); continue; if i.Symbol == e.Symbol: self.myOptionPortfolio.remove(e) self.myOptionPortfolio.add(i) opt_deltas = sum( [opt.Greeks.Delta*self.Portfolio[opt.Symbol].Quantity for opt in self.myOptionPortfolio] ) futpos = self.Portfolio[self.stock].Quantity self.Delta=opt_deltas + futpos/100
Xin Wei
Hi SLs,
Sure. Thank you for posting your updates on the forum!
SLs
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