Fast and efficient way to fetch greeks data/calculate greeks data from options data

General
1

Hey, I have checked a couple of posts on this community for option greeks live feed but none of them help since they are pretty old posts.

What I want to do is stream option greeks from broker api and if not that then an efficient and fast way to calculate greeks especially for a large historical dataset. I know that Zerodha, Angel Broking, 5 Paisa do not offer stream of the greeks. I also know that IBKR does.

I tried streaming the options data such as price, underlying etc. and pass them into mibian (its a python library I found that calculates the greeks and IV) and get the greek values on the other end. Its easy to calculate the greeks for 1 row in a dataframe since it doesnt consume much time, however to calculate the greeks for a historical dataset, its taking a lot of time. Any solution that anyone can suggest?

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3

Why don’t you open an IBKR account and consume the same

4

Thanks, but not the answer I was looking for.

5

If you are concerned with execution speed then switch to a programming language like C or C++, the compiled output of which is executed directly rather than interpreted like Python.

Switch to a faster computing hardware, limit historical data to process per execution are other options that you have. Number crunching is usually pretty computationally intensive.

As you have noted I have not seen a broker other than IB that directly gives what you are looking for.

1 Like
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@VaradJoshi ever find a solution to this? Having the same problem. I’ve tried sparklyr with spark_apply in databricks for calculating greeks/implied vol for a large set of spx options but it’s still taking ages.