Project for algorithmic trading of (dynamic) delta hedging

dev:

• poetry install
• pre-commit install

Run main:

python3 src/trading/main.py

Run tests:

To run test using pytest, simply run:

pytest -sv

Setting up TW

First install and login onto the Trader Workstation.

Next you need to change your API settings by:

• Enable ActiveX and Socket Clients.
• Disable the Read-Only, i.e. the API needs to be able to place orders.

Notes:

Delta Hedging strategy (when selling options)

• If I sell 0DTE, I remove the overnight risk.
• The stocks I am considering are: ["TSLA", "NVDA", "ARM"] (maybe add more stocks in the future)
• I first sell an ITM covered call option, and then perform simple dynamic delta-hedging. It outperforms covered and naked.
• It is best to do this on high iv/hist iv.

Important

Before running the program, two things must be done:

1. Change 'todays_date' variable to today's date in yyyymmdd format
2. Make sure that the 'cash_to_trade' variable is larger than 100*stock_price for the most expensive stock in 'stocks' list. If this is not the case, it will throw an error: 'not enough cash to trade'.