options-market-making
Unverified Market-making strategy on Options by adityatomar15. BotFinder score 18 out of 100.
options market making engine in C++20 — SVI vol surface, Black-Scholes pricing, lock-free SPSC queues, delta hedging, and real-time PnL attribution.
Source: github
BotFinder analysis pending.
options-market-making
Options Market Making Engine A complete, options market making system in C++20 with high-frequency architecture and performance targets calibrated to real market making requirements. System Overview - Real-time volatility surface fitting using SVI parametrization with arbitrage checks - Theoretical value computation with Greeks (delta, gamma, vega, theta, rho) - High-frequency quote generation with inventory management and spread optimization - Automated risk management with portfolio Greeks aggregation and hard limits - Delta hedging with gamma-adjusted thresholds - PnL attribution decomposing spread capture, gamma scalping, theta decay, vega exposure - Lock-free data structures for sub-microsecond latencies Architecture spans 6 independent threads communicating via lock-free SPSC queues. --- Performance Results Latency Benchmarks (i5-1334U, GCC 13, -O3 -march=native, Linux) | Component | Metric | Result | Target | Status | |-----------|--------|--------|--------|--------| | Pricing Engine | TV + Greeks (single) | 238ns | 1M | ✓ PASS | | Option universe size | 10 | - | ✓ Ready | | P
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