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Quant Coding > Vertical Spreads Option Screener

Vertical spreads option screener

We have developed a GUI application for our client that worked using data from the Interactive brokers TWS API. The application consisted of few separate portions. As inputs we were taking entire stock indices which we scan in addition to getting a lot of filters and selection criteria. Data was then obtained for the given stocks for the stock indices from Interactive Brokers TWS API and it was processed according to client criteria and filtering. After filtering and calculation of few custom measures such as Z-score on option implied volatility we fetched entire options chains for the stocks. These option chains or option market data was then processed in a separate module for screening Vertical Spread portfolios. We simulated all the possible Vertical Spread portfolios from the given data and filtered them according to client criteria. The end results were then displayed to the client in a table in the intuitive PyQt5 GUI application we have built, in addition to allowing the client to export his data to Excel. The application it’self involved a fair bit of financial knowledge and expertise when it comes to back-testing Vertical Spreads on Options in addition to serious effort being invested and excellent results achieved in the purely technical parts for interacting with IB TWS API. The sheer amount of data that needed to be pulled in under 15 minutes pushed the IB TWS API to it’s limits and allowed us to gain deeper understanding of the possibilities and limitations when interacting the the Interactive Brokers TWS API. It really is a wonderful opportunity to be working with more exotic derivatives such as options contracts and have technical and engineering challenges to solve at the same time. In the end client was extremely satisfied with our performance and we extended the cooperation by building other modules.

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