An options simulator for a trading desk
A simulator and automation layer for an options desk that stress tests positions and runs the workflow from pre-trade checks to post-trade reconciliation, handling more than 5,000 lots a day.
- Sector
- Capital markets
- Scope
- 5,000+ lots a day
- My role
- Quant developer
The problem
An options book can look safe at today's prices and fall apart on a sharp move. The desk also spent hours on manual checks before and after every trading session.
The approach
Simulate the book
Reprice positions under shocks to price, volatility and time to see the loss profile before it happens.Automate pre-trade checks
Validate orders against margin, limits and exposure before they go out.Automate post-trade work
Reconcile fills, positions and P&L automatically at the end of the session.
Who it served
Traders
A view of risk under stress before placing a trade.Operations
Less time on manual checks and reconciliation.
The outcome
Manual oversight dropped by about 60%, with the system handling more than 5,000 lots a day.