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It seems that Lean ignores the IB API options greek values - may I ask why this is?
Lean Brokerages/InteractiveBrokers/InteractiveBrokersBrokerage.cs requests market data from the IB API using reqMktData and includes the generic ticket "101" for open interest.
By default, the IB API returns the options greek values (delta, gamma, theta, vega), following a reqMktData() request for an option, within the IBApi.EWrapper.tickOptionComputation callback for tick types "Bid Option Computation" (#10), "Ask Option Computation" (#11), "Last Option Computation" (#12), and "Model Option Computation" (#13).
The Lean implementation doesn't support the IB API tickOptionComputation callback nor the associated IB API tick types, and so the associated greek values are being ignored, and are instead being set via the associated Lean option universe price model.
The problem with using the Lean option universe price model is that it requires a warmup period, and so it cannot be used for dynamic subscription if requiring the greeks for option contract selection.
If Lean used the IB API options greeks, then they would be available immediately for contract selection.
Is there a reason why Lean is ignoring the Interactive Brokers API options greek values ?
Thanks.
.ekz.
Did you ever get any response to this?
I joined QC to write algos to trade options strategies trading which, as you know, require real time greeks (and hence real time IV), ideally from the broker. The more i dig into this, i get the sense that this is not possible with QC... I'm hoping i'm wrong...
Have you been able to succesfully live trade any options strategies that make use of broker IV / greeks?
Alexandre Catarino
Hi Ernest Shaggleford and .ekz. ,
We have created a GitHub issue to address this request:
Requests and Streams Greeks and Implied Volatility from Brokerage #5289
Please subscribe for updates.
I think this might raise some reconciliation issues since we might not support the same option pricing models.
.ekz.
Thanks for creating a Github issue to track this, Alexandre Catarino. Also, good catch on possible reconciliation issues. We will have to reconcile by some other means; I will keep this in mind when the feature lands and we can start using it.
What are the chances, in your opinion, that this may be added to the roadmap (or delivered) within the next 6 months? It's fine if it is unlikely, but *knowing* so will help me to plan accordingly.
Thanks as always.
Ernest Shaggleford
Hi Alexandre - many thanks for creating this issue.
Once resolved, this will provide much needed functionality in this area.
Best,
ES.
Ernest Shaggleford
Hi .ekz.
re: "Have you been able to succesfully live trade any options strategies that make use of broker IV / greeks?"
I have traded live option strategies but have been using the Lean pricing models as there was no other option (no pun intended). I raised awareness of the issues with using the Lean models but it wasn't a high priority issue for QC, but that's understandable given the majority of algo devs don't use options.
As I've mentioned previously, I'm hoping eventually that options trading and options algo development will become more popular and so drive the maturity in this area.
.ekz.
Thanks for the response Ernest. I've ended up implementing the same.
I was also surprised not to see more options algo traders when I started my quant journey a year ago, but I see that is slowly changing, now that the world has caught on to options, and systematic trading is as democratized as it is.
I've been working on an options-based trend riding system that I'll be publishing soon. Would love any feedback you may have on it. There are two methods of strike selection available: selection based on ATR, and selection based on Delta (work in progress).
Ernest Shaggleford
Hey .ekz.,
I agree that since the re/WallStreetBets short squeezes hitting the news, this has generated a lot of publicity in the options space. And it's indicating that there are a lot of retail traders out there using options, with likely a wide range of experience, but it all adds to the liquidity, which is great for algos.
In trading, as you probably know, money flows from the inexperienced to the experienced.
Happy to provide feedback.
Ernest Shaggleford
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