Quant Delta Market Maker Algorithm

A sophisticated algorithmic trading system for options market making with delta hedging capabilities.

Features

• Options Pricing: Black-Scholes model with Greeks calculation
• Delta Hedging: Automatic delta-neutral portfolio management
• Market Making: Intelligent bid/ask quote generation
• Risk Management: Position limits and exposure controls
• Real-time Monitoring: Live P&L and Greeks tracking
• Backtesting: Historical simulation framework

Installation

pip install -r requirements.txt

Quick Start

from market_maker import DeltaMarketMaker
from data_models import OptionContract

# Initialize market maker
mm = DeltaMarketMaker(
    capital=1000000,
    max_delta_exposure=0.1,
    bid_ask_spread=0.02
)

# Run market making strategy
mm.run()

Architecture

• data_models.py - Core data structures
• greeks_calculator.py - Options pricing and Greeks
• delta_hedging.py - Delta hedging logic
• market_maker.py - Main market making strategy
• risk_manager.py - Risk controls and limits
• backtesting.py - Historical simulation
• monitoring.py - Real-time dashboard

Risk Disclaimer

This is for educational purposes only. Trading involves substantial risk and may not be suitable for all investors.