{"repo":"adityatomar15/options-market-making","free":true,"listed":false,"github":"https://github.com/adityatomar15/options-market-making","clone":"git clone https://github.com/adityatomar15/options-market-making.git","description":"options market making engine in C++20 — SVI vol surface, Black-Scholes pricing, lock-free SPSC queues, delta hedging, and real-time PnL attribution.","language":"C++","stars":15,"topics":["black-scholes","cpp","cpp20","delta-hedging","derivatives","financial-engineering","hft","high-frequency-trading","lock-free","low-latency"],"license":null,"category":"trading","readme_excerpt":"Options Market Making Engine A complete, options market making system in C++20 with high-frequency architecture and performance targets calibrated to real market making requirements. System Overview - Real-time volatility surface fitting using SVI parametrization with arbitrage checks - Theoretical value computation with Greeks (delta, gamma, vega, theta, rho) - High-frequency quote generation with inventory management and spread optimization - Automated risk management with portfolio Greeks aggregation and hard limits - Delta hedging with gamma-adjusted thresholds - PnL attribution decomposing spread capture, gamma scalping, theta decay, vega exposure - Lock-free data structures for sub-microsecond latencies Architecture spans 6 independent threads communicating via lock-free SPSC queues. --- Performance Results Latency Benchmarks (i5-1334U, GCC 13, -O3 -march=native, Linux) Component Metric Result Target Status ----------- -------- -------- -------- -------- Pricing Engine TV + Greeks (single) 238ns 1M ✓ PASS Option universe size 10 - ✓ Ready Positions tracked 3–100 - ✓ Dynamic Fill events/sec 100k 100k ✓ On-track Hedge orders/sec 10k 10k ✓ On-track System Integration All 6 core components operational: - ✓ Volatility Surface Engine (SVI + arbitrage checks) - ✓ Theoretical Value Engine (Black-Scholes, Greeks) - ✓ Quote Generator (spread calc + inventory skew) - ✓ Risk Manager (Greeks aggregation, limits) - ✓ Delta Hedger (gamma-adjusted thresholds) - ✓ PnL Attribution (sprea","default_branch":null,"files":null,"tree":[],"storefront":"/r/adityatomar15","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/adityatomar15/options-market-making/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}