I was chudded yesterday so I waited a bit for that to expire before posting this.
Alpaca is an API that allows you to algorithmically trade stocks. I've been wanting options for a long time, as most of my trading is theta ganging options. There has never really been a good API available to the average person for trading options till now. So much potential degeneracy has been unleashed!
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Nice, I can automate my losses now.
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Ideally, what you would do is scan the market for the options w the highest EV and buy those. Options are a lot less liquid than stocks so there are a lot more opportunities to find mispriced options
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Wow brilliant idea! How weird is it that Optiver, Flow, Virtu, Citadel haven't tried this yet?
Someone should tell Goldman Sachs, DE Shaw or Rentec that they can make money by buying options with a high EV
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You jest, but I have personally seen it play out where an option is mispriced and there's a chance to swoop in and grab it. Deducing the "correct" price isn't trivial either; it involves some complicated math
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Of course. But you're not competing against the average redditor.
Do you have pricing models that are better than what e.g. Optiver are using? How do you measure the quality of your model?
Yeah sure, but that's not enough to build an algorithm.
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Since draumanaut's funds are low, and thus their influence on the market, couldn't you just test your model by having it record what it would have done, then seeing how it did after a month or two before letting it play with real funds?
Is there an easy way to set something like this up? Sounds kinda fun!
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easiest way to play around is probably the quantconnect platform.
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Thanks!
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