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Options portfolio management system.

Web application
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24 months to release

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10 people participated in the development

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We support it from 2021

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Agile Development Methodology

Key development results

/ 1

Integration with the Moscow Exchange derivatives market using FAST, TWIME, and CGATE protocols

/ 2

Complete separation of the interface and high-frequency trading parts of the system for the sake of the latter's performance

/ 3

Implementation of high-frequency option coding algorithms with automatic delta hedging

/ 4

Implementation of several models of the volatility curve with automatic adjustment to the market and the possibility of manual adjustments of parameters

/ 5

Using different volatility curves for coding and hedging

/ 6

Displaying the current state of the portfolio both as a whole and in the context of a separate trading algorithm

/ 7

Calculation and construction of the risk profile and portfolio balances

/ 8

What-if scenarios

/ 9

Modeling of option positions, including modeling of the planned adjustment of real positions

/ 10

Start and stop algorithms both on a schedule and in manual mode

/ 11

Setting up sending notifications in telegram about completed transactions

Technology Stack

Back-end

  • Linux
  • Docker
  • ASP.NET
  • C#

Front-end

  • Blazor