Algorithmic Options Trading on Interactive Brokers' Platform

Name: Algorithmic Options Trading on Interactive Brokers' Platform
Rating: 4.6 (296 reviews)

Using interactive brokers' python API client to implement options trading strategies

Created byMayank Rasu, RASUQUANT LTD

Last updated 8/2023

English

What you'll learn

Learn about options trading
Trade options algorithmically
Gain familiarity with IBAPI tools
Use parallel programming concepts to implement sophisticated trading strategies

Course content

8 sections • 67 lectures • 9h 22m total length

IBAPI Courses3:57
Discover four Interactive Brokers API courses, including algorithmic trading with the Python API, advanced concepts, options trading, and quantitative bond trading, plus notes on Trader Workstation and Client Portal APIs.
Why This Course?4:04
Course Structure6:40
Explore option fundamentals, valuation methods (Monte Carlo and Black-Scholes), option chains, contract selection, data streaming, greeks, advanced orders, and beer spread or straddle strategy implementation with backtesting notes.
What is a Financial Option9:34
Options Payoff7:42
Option Valuation Intuition and Careers in Quantitative Finance11:36
Explore intuitive option valuation using Amazon stock scenarios, contrasting fixed weekly returns with normally distributed returns, and learn how current price, strike, expiry, volatility, and interest rate drive Black-Scholes pricing.
Calculating Historical Volatility to Feed Black Scholes Model9:04
Pricing Options using Black Scholes Model15:05
Implement the Black-Scholes pricing function to compute d1 and d2 and price call and put options using current price, strike, volatility, time to expiry, and rate.
What is Implied Volatility6:47
Calculating Implied Volatility using Black Scholes Model7:36
Monte Carlo Simulation Intuition8:36
Pricing Options using Monte Carlo Simulation16:22

Important - Debugging Errors Arising from Function Signature Changes6:30
IBAPI Function Change Catalogue0:29
Subscribing to Options Market Data4:01
Option Chain and Option Contract - Intro8:04
Extracting Option Chain and Option Contract Details5:04
Parsing Option Contract Details9:23
Parse Interactive Brokers option contract details to extract symbol, expiry date, strike, right, and multiplier from the contract details, enabling precise option selection for trading strategies.
Storing Option Contract Details10:58
Store option chain information for multiple tickers in a dictionary keyed by ticker index, capturing expiry, strike, and right (call/put), and prepare for conversion to a data frame.
Storing Option Contract Details in DataFrames9:15
Assignment - Extract Option Contracts Expiring in Future Months1:21
Modify the assignment to extract option contracts expiring in future months by passing a single argument, compute future expiry months, and store results in data frames.
Assignment Solution9:46

Selecting Desired Option Contract - Intro3:41
Current Price Streaming Using Multithreading - Recap8:15
Revisit the code that streams current prices for tickers using multithreading and parallel processing, updating a last_price dictionary in real time. Learn to access the latest price for a ticker via a last_price function, with streaming running on a separate thread to keep price data flowing as it changes.
Getting ATM Option Contract from the Option Chain15:27
Assignment - Get Desired Option Contract from the Option Chain1:01

Streaming Real Time Market Data - Intro1:49
Discover how to source real-time option data for algorithmic trading using the IBP streaming data module. Analyze current price, open interest, and Greeks to refine trades.
Streaming LTP of a Specific Option Contract5:54
Streaming LTP of Multiple Option Contracts - I12:48
Streaming LTP of Multiple Option Contracts - II9:39
How to Interpret Option OI and Volume10:57
Streaming OI and Vol of a Specific Option Contract14:11
Streaming OI and Vol of Multiple Option Contracts - I13:31
Streaming OI and Vol of Multiple Option Contracts - II7:11
Create a utility function that returns a dictionary of underlying price, option price, open interest, and volume for a given symbol and option type.
Accessing Option Greeks in TWS2:35
Getting to Know the Greeks11:48
Explore how option price sensitivity to variables is captured by the Greeks—delta, gamma, theta, vega, and rho—highlighting their use in risk management and dynamic hedging, with intuitive interpretations and examples.
Streaming IV and Greeks for a Specific Option Contract9:51
Streaming IV and Greeks for Multiple Option Contracts11:45

Bear Spread Strategy - Intro8:29
Getting Historical Data & Performing Technical Analysis17:18
Getting ATM and OTM Option Contracts for Screened Stocks14:29
Streaming Market Data for Selected Option Contracts13:23
Ranking Selected Options Based on Payoff to Risk Ratio6:17
Placing Combo Orders for Selected Option Contracts5:47
Place combo orders for selected option contracts on Interactive Brokers, using add-the-money and out-of-the-money calls, calculate limit prices and quantities from position risk, and execute the spread.
Key Takeaways and an Assignment5:07

Derivative Historical Data Intro2:36
Extract historical data for derivative contracts on Interactive Brokers by defining a contract object; access data for futures and options, with expired futures having limited data and expired options unavailable.
Extracting Historical Data of Futures Contracts14:17
Extracting Historical Data of Live Options Contracts15:57
Extracting Historical Data of Expired Options (Intuition)6:43
Extracting Historical Data of Expired Options - I13:57
Extracting Historical Data of Expired Options - II18:03

Requirements

Completion of Courses titled "Algorithmic Trading using Interactive Broker's Python API" and "Interactive Brokers Python API - Advanced Concepts"
Interactive Broker Pro Account
Intermediate level familiarity with finance/trading

Description

The much awaited and sought after Options Trading course is here!!

Most Algorithmic trading courses focus on stocks and forex (and lately crypto asset classes) but avoid derivative trading owing to the complexity associated with effectively implementing derivative (options and futures) trading strategies. However, this course will not only introduce you to trading options algorithmically on Interactive Brokers platform but also help you gain a thorough understanding of IBAPI options trading tools to help implement complex strategies such as Straddle and Bear Spread.

You can expect to gain the following skills from this course

Basics of options trading and option valuation
Implement option valuation using the Black Scholes model and Monte Carlo Simulation
Calculate implied volatility using the Black Scholes model.
Options trading settings on TWS and market data access
Extracting option chain for any underlying
Using parallel programming/multi threading to stream and store options market data
Extracting options historical data
Identifying option contracts of interest algorithmically
Advanced order types (Combo)
End to end design and deployment of advanced strategies (Straddle & Bear Spread)

I have created this course based on the strong and persistent demand for an options trading course from my existing students. This course seeks to provide you with the required tools to deploy any kind of options trading strategy on Interactive Brokers platform and gain an edge by leveraging IBAPI's advanced functionalities.

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Course Prerequisite

This is a conceptually advanced and technically involved topic and therefore completion of my other two IBAPI courses listed below is required to get the most out of this course

1) Algorithmic Trading using Interactive Broker's Python API

2) Interactive Brokers Python API - Advanced Concepts

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The course covers and implements Options Straddle and Bear Spread strategy which are quite complex to implement as they require a number of tasks to be performed in tandem (e.g. extracting options chain, streaming options market data, identifying option contracts of interest, generating signals and executing orders). The course explains how such strategies can be built step by step and how the various IBAPI tools can be used efficiently to ensure that the various parts of the strategy work harmoniously.

Who this course is for:

Traders looking to automate their option trading strategies on Interactive Broker's platform
Anyone interested in Algorithmic trading

Algorithmic Options Trading on Interactive Brokers' Platform

What you'll learn

Explore related topics

Course content

Introduction to Options Trading and Valuation12 lectures • 1hr 47min

Bonus Section : Interactive Brokers AI Terminal9 lectures • 49min

Handling Option Chains and Contracts10 lectures • 1hr 5min

Selecting Required Option Contract from the Option Chain4 lectures • 28min

Streaming Options Market Data12 lectures • 1hr 52min

Placing Option Orders7 lectures • 59min

Implementing Bear Spread Strategy7 lectures • 1hr 11min

Extracting Historical Data of Derivative Contracts6 lectures • 1hr 12min

Requirements

Description

Who this course is for: