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How to algorithmically hedge combos based on greek parameters?
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How to algorithmically hedge combos based on greek parameters?

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How to algorithmically hedge combos based on greek parameters?


I developed a new trading strategy which requires "frequent" hedging of combos based on greek parameters.
It is my understanding that this is possible with IB TWS and I was hoping that someone on this forum could explain this feature to me.

I have looked at the Attach Delta Hedge Order feature. However it isn't exactly clear to me how to attach an order to a combo which continuously updates/ rebalances the position based on the predetermined limits. In addition it is not clear to me whether or not the order is active on the IB server or the client.

In addition, I have looked at the Option Portfolio Module, however I haven't figured out how to use this module to suit my purpose.

Example of application:

The position of Option Combo X touches a delta value +100 or -100. As a result, I would like to automatically hedge with the underlying stock to rebalance the position delta to a value of 0. How do I configure this?

Last edited by Cogito ergo sum; January 10th, 2014 at 06:50 PM. Reason: spelling
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