Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
20 documents
This example outlines a staged workflow for obtaining option data through an Interactive Brokers connection. It configures an instrument provider for an underlying futures contract and a put option, then checks whether the gateway or trading workstation is…
This reference describes a data record for venue-provided option sensitivities and implied volatility associated with one option instrument. It includes delta, gamma, vega, theta, and rho, along with optional mark, bid, and ask implied volatility, underlying…
This example describes a live data actor that subscribes to a slice of Bybit BTC options. At startup, it searches cached instruments for unexpired Bybit options, selects the soonest expiry, prefers USDT settlement when available, and constructs the…
This example shows how to run an options backtest from a catalog containing option instruments, quote ticks, and Greeks. It subscribes to periodic option-chain snapshots for a chosen series and selects a contract either at a specified strike or near a target…
This documentation explains platform support for listed, crypto, spread, and binary options, including differences in their metadata and identifiers. It describes subscribing to venue-provided Greeks either for an individual contract or for a series-level…
This reference explains how to represent an exchange-defined options strategy as one tradable instrument. A venue may list a vertical spread, calendar spread, or similar multi-leg strategy under its own symbol, with its own pricing increment, expiration, and…
This reference explains how to represent an exchange-listed cryptocurrency option spread as one tradable instrument. It describes the instrument identity, underlying and quote and settlement currencies, inverse sizing flag, strategy type, activation and…
This technical guide explains how NautilusTrader’s Interactive Brokers adapter connects to Trader Workstation or IB Gateway for market data, order execution, instrument discovery, and historical requests. It covers socket access, paper and live connection…
This reference explains the fields used to describe a listed put or call on a non-crypto underlying. It covers contract identity, underlying asset, option type, strike, activation and expiration times, premium currency, price precision, minimum price…
This technical reference describes an OKX integration for market data and order execution across spot, margin, perpetual swaps, dated futures, options, spreads, and event contracts. It outlines the adapter's data and execution components, instrument loading…
This example demonstrates how to model an option purchase across expiration in a backtest. A strategy subscribes to option quotes and futures bars, then submits a market buy order for one option when it receives the first eligible quote. The sample replays…
This Rust tutorial shows how NautilusTrader actors can consume Bybit options market data in two forms: per-contract Greeks updates and aggregated option-chain snapshots. The individual stream exposes values such as delta, gamma, vega, theta, implied…
This tutorial describes a live short-volatility strategy that sells an out-of-the-money BTC call and put on Bybit, then hedges the resulting delta exposure with a BTCUSDT perpetual. It selects strikes by percentile within the nearest-expiry option chain,…
This script creates four visual explanations for a Bybit delta-neutral options example: a short-strangle expiration payoff, how position delta changes as the underlying moves, a simulated rehedging threshold, and a strike-selection illustration. It reads…
This technical guide explains how NautilusTrader connects to Polymarket’s central limit order book for binary outcome tokens. It outlines market data and execution components, wallet signature types, pUSD collateral, allowance setup, session keys, and…
This document explains a data model for reference indexes such as equity benchmarks and volatility indexes. An index instrument stores identifiers, its native symbol, quote currency, price and size precision, valid increments, timestamps, and optional…
The document explains two ways to obtain option sensitivities in a trading system: consume venue-reported Greeks, or calculate Black-Scholes values from cached market data. Venue values can be subscribed to, stored, and replayed as market data. The local…
This plotting script creates four explanatory visuals for an ETH short-strangle options example. The panels show expiry profit and loss for a short put and call, how the combined option delta may change as spot moves, how a threshold-triggered hedge could…
This integration guide explains how a trading system connects to Deribit for market data and order execution. It outlines the division between WebSocket use for streaming and trading operations and HTTP use for instrument loading, historical requests, and…
This tutorial describes running a shared short volatility strategy on Derive. It selects an out-of-the-money ETH call and put at the nearest expiry, tracks venue supplied option Greeks, and offsets net portfolio delta with ETH perpetual orders when exposure…