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.
Re: (Options) find contract by delta
[Re: jzastrow]
#470836 02/08/1809:4502/08/1809:45
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.