Getting Started

Motivation

1. Big data - real time systems/streaming project
   • Find mispriced options (e.g. OOTM LEAPs)
     • IB API
     • https://robintrack.net/popularity_changes
2. Portfolio analytics
   • Track correlations of hourly portfolio returns to various benchmark indices (eg arkk) - show 1d/7d/30d changes (helps remind traders to adjust their portfolio composition anytime any correlation gets too high)
   • Track options portfolio daily metrics (aggregated + disaggregated)
     • Theta (changes in option price attributable to time elapsed)
     • Vega (changed in option price attributable to changes in IV)
     • Delta (changes in option price attributable to changes in price of underlying)
   • Track total fees paid (no easy way in IB without manually generating a report)
3. Option strategies analytics
   • Track performance of specifically defined options strategy over time
     • Actual Performance
     • Strategy Adherence (in %)
     • Optimal performance (perfect strategy adherence)
     • Break down performance into contributions from Delta, Vega, Theta
     • Compare against relevant benchmarks (e.g. all US Stocks → SPY → Industry Majors)
   • Track performance aggregated by options strategy category
   • Notifications
     • e.g. covered calls
       • buy back short call position
       • sell another covered call

Approach

1. Backend datastore - MongoDB Atlas, exposed via Graphene (for Python) / MongoDB Stitch (for React)
2. Dash for dashboarding
3. https://github.com/vollib/py_vollib / https://github.com/yassinemaaroufi/MibianLib for IV/greeks calculations

Documentation

Project Updates

See and subscribe to relevant updates using LaunchNotes