Portfolio-Risk
real-time greeks aggregation: knowing your portfolio delta/gamma at sub-second speed
·2716 words
2:15am wednesday.
still processing this week. the q1 factor attribution post from sunday was cathartic but it also made me confront something i’d been papering over: i was flying blind on real-time greeks for most of march. not completely blind — i had position-level greeks from IB’s TWS feed. but aggregating them into a coherent portfolio view? that was a manual spreadsheet thing i’d run every few hours.