界面已本地化;技能介绍与说明文档按所选语言由 AI 自动翻译,代码、命令、路径和专业术语保留原文,以原作者文档为准。
探索技能
效率与协作 · SKILL.md

ib-report-delta-adjusted-notional-exposure

ib-report-delta-adjusted-notional-exposure

【效率与协作】Report delta-adjusted notional exposure across all IBKR accounts. Calculates option deltas using Black-Scholes and reports long/short exposure by account and underlying. Use when user asks about delta exposure, portfolio risk, or directional exposure.

独立 GitHub 快照 · 自动分类 · 以原作者文档为准

技能说明

GitHub

name: ib-report-delta-adjusted-notional-exposure description: Report delta-adjusted notional exposure across all IBKR accounts. Calculates option deltas using Black-Scholes and reports long/short exposure by account and underlying. Use when user asks about delta exposure, portfolio risk, or directional exposure. dependencies: ["trading-skills"]

IB Delta-Adjusted Notional Exposure Report

Calculate and report delta-adjusted notional exposure across all Interactive Brokers accounts.

IB Connection

TWS or IB Gateway must be running locally with API enabled:

  • Paper trading — port 7497
  • Live trading — port 7496
  • IB_PORT env var — default port when --port is omitted (e.g. IB_PORT=4001 for a Gateway container). Precedence: --port flag > IB_PORT > built-in default. Set it in the shell or a .env file.

Port fallback: If the configured port fails, automatically retry on the other port. If the retry succeeds, save to memory which account type worked (live/paper) and reuse it for all IB skill calls in this and future sessions — until the user explicitly asks for the other account. If both ports fail, ask the user to verify that TWS or IB Gateway is running with API access enabled.

Instructions

Step 1: Gather Data

uv run python scripts/delta_exposure.py [--port PORT]

The script returns JSON to stdout with all position deltas and summary data.

Step 2: Format Report

Read templates/markdown-template.md for formatting instructions. Generate a markdown report from the JSON data and save to sandbox/.

Filename: delta_exposure_report_{YYYYMMDD}_{HHMMSS}.md

Step 3: Report Results

Present the summary table (total long, short, net) and top exposures to the user. Include the saved report path.

Arguments

  • --port - IB port (default: 7497 for paper trading)

JSON Output

Returns delta-adjusted notional exposure with:

  • connected - Boolean
  • accounts - List of account IDs
  • position_count - Total positions
  • positions - Array of positions with symbol, delta, delta_notional, spot price
  • summary - Totals for long, short, and net delta notional
    • by_account - Long/short breakdown by account
    • by_underlying - Long/short/net breakdown by symbol

Methodology

  • Equity Options: Delta calculated via Black-Scholes with estimated IV based on moneyness
  • Futures: Delta = 1.0 (full notional exposure)
  • Futures Options: Delta calculated with lower IV assumption (20%)
  • Stocks: Delta = 1.0

Delta-adjusted notional = delta x spot price x quantity x multiplier

Examples

# Paper trading (default)
uv run python scripts/delta_exposure.py

# Live trading
uv run python scripts/delta_exposure.py --port 7496

Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.

我的收藏