Delta hedging

If you want to protect positions by option strategies (for example, as Volatility trading) you can use the DeltaHedgeStrategy hedging strategy by delta.

Delta hedging

1. As a demonstration of how the DeltaHedgeStrategy works, the SampleOptionQuoting example is modified (for details see Volatility trading).

2. The VolatilityQuotingStrategy strategy does not start, but instead it is passed as a child strategy to the DeltaHedgeStrategy.

   // create delta hedge strategy
   var hedge = new DeltaHedgeStrategy
   {
    Security = option.GetUnderlyingAsset(Connector),
    Portfolio = Portfolio.SelectedPortfolio,
    Connector = Connector,
   };
   // create option quoting for 20 contracts
   var quoting = new VolatilityQuotingStrategy(Sides.Buy, 20,
    	new Range<decimal>(ImpliedVolatilityMin.Value ?? 0, ImpliedVolatilityMax.Value ?? 100))
   {
           // working size is 1 contract
    Volume = 1,
    Security = option,
    Portfolio = Portfolio.SelectedPortfolio,
    Connector = Connector,
   };
   // link quoting and hedging
   hedge.ChildStrategies.Add(quoting);
   // start hedging
   hedge.Start();
   

   The DeltaHedgeStrategy takes strategies, working separately on their strike, as child strategies. Thus, DeltaHedgeStrategy controls the total position by all child option strategies.

3. Completing the delta hedging:

   hedge.Stop();