Introduction

This project displays creates a dashoabrd that used the current best bid and ask for an option to create a market-by-price (MBP) orderbook and depth chart. The project uses the TD Ameritrade Options Chain API (https://developer.tdameritrade.com/option-chains/apis/get/marketdata/chains) to all option data which is then saved periodically and graphed live thougout the day (9:30AM to 4:00PM). All funtionality currently included in the project is described below.

Order Book

When the API is called I collect the current best bid-ask and save that to a hashmap of prices that are determined based on the openning price of the option (the option premium at market-open) This data is then graphed into a orderbook. When the nest update is made (withing the next 2 seconds) the order book is updated based on the new best bid and ask price. I assume that no orders are cancelled since I do not currenly have access to that data, meaning that if a bid comes in and the next best bid is higher I assume that the previous bid went unfilled and is still on the orderbook.

Depth Chart Book

The Depth Chart is based on data from the order book but is instead cumulative meaning that for a given price, you can either see the total volume of options that would be sold/ bought at that price. Again I assume once an oder is sent, it is either filled or stays on the book and is cancelled at market-close if it is still on the orderbook. This allowed me to better place my limit orders. If there was a large bid at a price level, I would place my bid above that to ensure that my order got filled before a reletiley large number of orders came in.

Mark Price and Volume Tracker

Unfortunetely, my broker did not provide me with historical option prices unless I had the option in my portfolio, I wanted to see how option premiums were fluctuating before I bought/sold them. To do this I used the mark-price (midpoint between the besd best and ask price) and tracked that over time. Alongside the mark-price, I also tracked the volume. The TD Ameritrade API only gave me total volume at the time of the API call so I had to keep track of the previuos volume to calculate the volume between two time periods. I used this information to gather insights about the best time to sell/ buy my options. If I saw that there was a lot of volume then I knew that my orders would be filled reletively quickly. According to the information gathered (image is below) most trading happened in the morning so that was when I did most of my trading since the market had more liquidity in the morninig when compared to the afternoon.

Option Greek Tracker

Lastly I decided to implement tracker for the option greeks (Delta, Gamma, Vega, Theta, and Rho). All of the option greeks were tracked live througout the day meaing that I could see the relationship between any of the greeks and the price of the underlying and vice versa to assist in my understanding of option pricing. I hope to next develop methods to estimate option premium using the saved data thougout a trading day. Below is an example image of the Delta of a QQQ option with a $381.0 strike expiring on September 10th. The data was captrured from market Open to 10:00 AM.

If there are any questions, please contact me at: jsmith58@bryant.edu