This repo is for generic option portfolio optimisation code. Essentially we take the market data snapshot for a given instrument's option chain and then run a MIP model to tune the greeks. Following that we compose a basket order that performs the portfolio rebalance. Nothing too fancy.
Currently the code does not include optimisation formulation ready for production. For compatibility I am including a play example that may or may not make sense. Naturally, don't even think about using any of that for real production and trading.
For the whole thing to work you need, among other common libraries, also:
- GAMS API for Python. Available at GAMS website
- Interactive Brokers TWS API Python API available at their GitHub page
Other than that, the code relies heavily on AWS, but boto3 is readily available through regular channels.