Comments on: Algorithmic Options Trading 2

By: Gustavo

Gustavo — Thu, 12 Mar 2026 02:07:21 +0000

Isso funciona pra corretoras de OB como quotex,bullex ou pocket broker,amigo?

By: jcl

jcl — Fri, 06 Dec 2024 13:04:58 +0000

Questions like this are better directed to Zorro support. You can find the formula for calculating the PnL of a combo in the manual. A negative price generally means you don’t pay it, but get it.

By: dafari

dafari — Fri, 06 Dec 2024 12:44:12 +0000

Hi,
I want to sell a Straddle (same expiry and same strike)

Here is the relevant code:
Multiplier = 100;
put_leg = contractNext (PUT, Expiry, priceClose()*-1);
call_leg = contractNext (CALL, Expiry, priceClose()*-1);

t1=enterShort(comboLeg(1));
t2=enterShort(comboLeg(2));
pnl = comboProfit ( priceClose() , -1);

However the Output looks strange:

Put Undl:5316.6 Strike:5315.0 ask:3.100 bid 2.900 / 2nd Leg: Call Strike:5315.0 ask:5.600 bid 5.250
Combo 7, NumOpenTotal 1, ComboPremium -8.70, PnL: -7.10, Margin 402.82

As I sell (short) the straddle I would expect the Premium to be positive and the comboProfit too, actually it is negative.

Additionally the comboProfit is quite off, I would expect it to be either 8.7 (ask delta) or 8.4 (mid Delta).

Can someone point me to a solution.

By: Sid Khandai

Sid Khandai — Tue, 21 Jul 2020 20:50:44 +0000

Hi jcl,

Thanks for pointing me to the Zorro forum.

By referring to https://opserver.de/ubb7/ubbthreads.php?ubb=showflat&Number=472919&Searchpage=1&Main=57228&Words=%2BRQuantLib&Search=true#Post472919, I got to know that I had to change the the path to Rterm in the Zorro.ini file. Once I did that, it worked like a charm 🙂

Thanks again!

By: jcl

jcl — Tue, 21 Jul 2020 14:40:28 +0000

If you need help with Zorro or R, you can ask on their user forums or contact their support.

By: Sid Khandai

Sid Khandai — Tue, 21 Jul 2020 12:48:01 +0000

Hi,

I did the following but I’m still getting the error in the Zorro console “Can’t run R!” followed by “Error – can’t start R!”
1. Installed Zorro 2.257
2. Installed R 4.0.2
3. Installed the RQuantLib library using the R GUI for Windows “Packages” > “Install Packages”
4. Selected RQuantLib and installed it. This installation automatically installed Rcpp and zoo libraries

What am I missing?

By: random

random — Thu, 07 Jun 2018 00:07:14 +0000

A math-heavy paper with interesting title:A Universal Model for Pricing All Options https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3007314

By: Jack

Jack — Mon, 11 Dec 2017 11:02:34 +0000

High Frequency and Algo Trading are Taking Over Markets – What It Means For You
https://www.cityfalcon.com/blog/investing-for-newbies/high-frequency-algo-trading-taking-over/?utm_campaign=ao_financial-hacker

By: jcl

jcl — Sun, 10 Dec 2017 10:26:34 +0000

The condor was indeed incorrect, thanks for pointing this out. AFAIK this was fixed in the latest optionscurve script for part 3 of the series. And the best options strategy programmer that I know is my colleague Richard – you can contact him under info(at)opgroup.de. But he won’t work for split profits.

By: Andrew C.

Andrew C. — Sun, 10 Dec 2017 05:03:36 +0000

JCL… or you could point me in the direction of some fellow programmers with options algo experience who might be interested in latching onto a proven profitable methodology.