Crypto simulation

MesoSim supports backtesting Options Trading strategies on Crypto instruments.
The simulator models Deribit Exchange and has historical data sourced from Deribit directly. 

The instruments (BTCUSD and ETHUSD) traded on Deribit slightly differ from Equity Index Options (SPX,  RUT, etc) traded on CBOE as follows:

• Crypto Options trade 24x7
• Options on Deribit are Inverse Options
• The commission structure is more complicated:
  taker, maker fees, waived commissions
• The tradable Quantity can be fractional
• The settlement price is an average of the last 30 minutes of trading of the underlying
• Theta is quoted in the base (USD) currency

MesoSim implements the differences mentioned above and adjusts its simulation behavior whenever crypto options are specified. 

We also provide basic templates (Short Put, Straddle and Butterfly) for crypto options which can be considered as stepping stones for future strategy development.

While our more complex templates (such as Boxcar-NG and NetZero) in theory should be applicable to Crypto Options they need adjustments and tuning to account for the above differences and become profitable strategies.

The Job Definition Reference contains all the details related to the behavioral differences in the respective sections.