Posted By: jzastrow
(Options) find contract by delta - 02/08/18 09:02
Is there some hidden function which allows selecting an option close to a specified delta?
Implemented as a binary search would be a lot faster than simply looping over all options.
Posted By: jcl
Re: (Options) find contract by delta - 02/08/18 09:45
No, a binary search won't do because Delta is not a stored value. It must be calculated. Go through all the options and call
var Delta;
contractVal(Contract,Price,HistVol,0,Yield,&Delta);
Then select the contract closest to the specified delta.
Posted By: Zheka
Re: (Options) find contract by delta - 02/08/18 12:41
I once had a suggestion to add several greeks to the Contract struct. It would be quite convenient to store everything in one place-both for historical testing and in RT. Also, IB streams greeks via API. Getting them ready would allow searching much faster than doing numerous calculations in R.
But IB plug-in should allow for that.