Hello everyone,
I'm running a theta harvesting strategy on SPX/XSP and I've built a Python-based analytics platform connected to IBKR via TWS API that snapshots spot, IV per leg, time, and all Greeks (delta, gamma, theta, vega) for every leg, every minute.
Current approach is per-leg Taylor approximation (delta/gamma/theta/vega buckets). Seems to be working ok for simple positions but breaks badly on multi-leg time spreads with large offsetting intrinsic values. Seen $2k+ gaps between actual and attributed P&L on positions with $124 net P&L.
Does anyone have any experience building something similar? I know there are advanced institutional options trading EMS that have this feature but those are out of reach for me right now.