MesoSim v2.9: Complex StrikeSelector with new Strategies

MesoSim v2.9

We released MesoSim v2.9 today, which further extends the simulator's flexibility with a new strike selector. Additionally, we are expanding our built-in strategy library to showcase the new feature.

List of improvements

Complex StrikeSelector

To enhance the simulation capabilities we have added the Complex StrikeSelector. This feature allows users to find a leg based on complex criteria, such as the delta-to-theta ratio. The Complex StrikeSelect is particularly useful for building spreads and optimizing multi-legged structures. Similar to other Strike Selectors, it can be used during Entry, MoveLeg and AddLeg Adjustments.

Please check out the documentation or take a look at the two built-in templates that utilize this feature:

  • RUT-ComplexStrikeSelector-DeltaToTheta
  • SuperBull
"Complex": {
    "Statement": "pos_delta / pos_theta",
    "Target": "0.5",
    "Constraints": [
         "leg_long_strike < leg_short_strike"

Official Settlement prices

Initially, we used closing and opening prices to account for settlements (PM and AM, respectively). While this approach provides a close approximation for PM settlements, AM-settled options may exhibit larger differences (more details here). 

As part of the VIX stabilization effort, we have begun utilizing the official settlement prices for all the instruments we support.

Behavioral change warning:
If you re-run previous backtests in which trades reached settlements you will now observe a different, more accurate simulation now.

Reg-T margin calculation

We have addressed a remaining bug and included the missing structures in the Reg-T margin calculation. This makes Reg-T complete and fully supported under the Advanced plan.

New variables

To better support intraday strategies we are adding two variables for tracking the time of the day: minutes_before_open and minutes_after_close
These variables be used in intraday entry, exit or adjustment conditions.

VIX progress update

To ensure an accurate simulation of VIX Options' Settlement we have switched to using the official settlement prices. This is crucial because all VIX options are AM settled and approximation using open didn't was not sufficiently accurate.

We are currently awaiting the resolution of the data issues we reported to CBOE. Once that is resolved we will promote VIX to Stable. Please stay tuned for further updates. 

New ThetaEngine Variant

Claudio Valerio graciously shared his work on ThetaEngine with us.
His variant, the Volatility Hedged Theta Engine is featured in this blog-post.

Upcoming sale

We're planning a sale starting on the 4th of July.
This will be your final opportunity to sign up for our grandfathered plan which offers the advanced plan at the lowest discounted initial price.