Release Notes

Version 2.8

Released on 1st of July, 2023. Blog post.

Features:

• Complex StrikeSelector
• New strategy: Volatility Hedged Theta Engine
• New strategy: SuperBull by John Locke
• RegT Margin calculation graduates to Stable

Fixes:

• Use official Settlement Prices in AM and PM settled options
• Add ExternalVars to Structure/StrikeSelector validator
  
• Division by 0 in Margin Report
  

Version 2.8

Released on 27th of May, 2023. Blog post.

Features:

• VIX Index Options (beta)
• Reg-T Margin Calculation (beta)
  
• Risk Graph is promoted from beta to production

Fixes:

• Propagate indicator names to all ScriptEngine validators
• Remove outdated waring about MaxDaysInTrade

Version 2.7

Released on 23rd of April, 2023. Blog post.

Features:

• Russell 2000 (RUT) Index support
• New adjustment type: Add Legs Adjustment
  
• Extend Move Leg Adjustment with Expirations (rolling out in time)
• Least restrictive Leg Selection Constraint:
  Enable stepping on strikes within and across positions
• Automatically upgrade cloned jobs to contain all the new fields
• Manually upgrade templates via 'Upgrade' action in Manage Templates

Fixes:

• Do not try to close position when not all contract prices (missing data) are available
  
• Exports for OptionNet Explorer with settlements contained wrong Position ID for the last settled leg
  

Version 2.6

Released on 1 April 2023. Blog post.

Main features

• External Data (CSV) support
• Extended Leg Selection Constraints to use contracts across positions

Version 2.5

Released on 19 March 2023. Blog post.

Main features

• Crypto graduates to Stable
• Remove Leg Adjustments
• Multiple Adjustment support
• Historical Volatility

Version 2.4

Released on 19 February 2023. Blog post.

Main features

• Relative Expirations
• Root Selector in Expirations
• Risk Graph (beta) in JobEditor
  
• Full TearSheet
• New built-in Templates and Featured runs

Version 2.3

Released on 30 December 2022. Blog post

Main Features

• Crypto Support of BTCUSD / ETHUSD via Deribit (Beta)
• TradeId reporting related fixes

Version 2.2

Released on 25 November 2022. Blog post

Main Features

• Simple Run interface
  
• Mobile UI Improvements
• Missing Data Handling related improvements
• Ability to export over 1000 trades to OptionNet Explorer

Version 2.1

Released on 02 October 2022. Blog post

Main Features

• Event Log Exporter
• Strategy template for Theta Engine by David Sun
• Fixes related to edge cases when no trades are made
• Fix expiry in OptionNet Explorer export for non-us customers

Version 2.0

Released on 18 Sept 2022. Blog post

Main Features

• Multiple positions in flight, aka Campaign mode
• Indicator support
• IV Rank & Pct of the underlying
• Equity curve CSV export
• And many more usability enhancements

MesoSim v2.0 contains one backward incompatible change, which is related to the Multiple Positions in Flight (aka Campaign mode) feature.

Change log

v2.0.2: MAINT: Show Max Position in flight in backtest details (#176)
            MAINT: Variable cosmetics before  Go Live with 2.0 (#177)
v2.0.1: DOC: Add help screen to Job Editor and Template Editor (#174)
v2.0.0: DOC: Points to docs.deltaray.io site (#172)
            ENH: Limit the number of jobs in flight (#170)
            ENH: Add equity curve CSV export feature (#167)
            ENH: Add implied volatility variables (#166)
            FIX: Liquidate when multiple days of data are missing (#165)
            FIX: Missing data handling (#160)
            FIX: Win, Loss, and Avg DIT calculation in stats
            ENH: IV Rank and Pct calculation (#158)
            ENH: Multiple trades in flight (#156)
            ENH: Indicators (#154)

Backward incompatible changes

Previously, the (position’s) greeks were exposed using the delta, gamma, theta, vega, wvega, rho, iv variables. As MesoSim-1.x always had one request in flight, these variables represented both the position’s and account’s greeks.

With MesoSim-2.0, we are introducing multiple positions in flight, which requires us to differentiate Position and Account Greeks. The position Greeks are still tracking single or multi-legged structure's Greeks, while the account Greeks are an accumulation of all the position Greeks. For example:

 - We have two positions in flight:
          - Position #1 delta = 5
          - Position #2 delta = 7
 - Then the account greeks are the accumulation of all positions:
          - Account delta = (Position #1 delta + Position #2 delta) = 5 + 7 = 12
 - The same logic can be applied to all Greeks.

To remove ambiguity around the Greeks, we introduced prefixes to each of such variables:

In other words (using delta as an example):
delta becomes pos_delta, and the acc_delta variable is introduced.

We made the migration process automatic; therefore, the user does not need to update the previous runs stored in MesoSim.

• acc_: Prefix for account related variables. For example: acc_delta, acc_theta
• pos_: Prefix for the current position’s variables: E.g.: pos_delta, pos_theta
• leg_: (Unchanged) prefix for leg related variables: E.g.: leg_LEGNAME_delta
  

Version 1.0

Released on 1 July 2022

Main Features

• Backtest multi-leg Option Strategies
• Define legs using Greeks, IV, Prices, or custom statements
• Define entry, exit, and adjustment logic via algorithmically defined conditions
• Test intraday strategies by leveraging 5 minutes resolution options data on SPX dating back to 2004
• Provide Settlement for cases when the position is not liquidated at the end
• Accurate execution modeling backed by two order fill models and slippage definition
• Strategy performance analytics using risk metrics and visualization of NAVs and Greeks
• Convert strategy performance via templates using various market regimes:
• grind up, grind down, crash, and sideways
• Export runs to OptionNet Explorer for further modeling and analysis
• Conveniently validate strategies using various market conditions