This source code is too complicated for me in this moment. I'll see what I can do in the future. For now, I'll just use RQuantlib delta or maybe create my own function based on the Black-Scholes formula.
Re: Trading options with Zorro: How to calculate Delta
Good afternoon. I am interested in this script for delta neutral dynamic adjustment for the synthetic positions between stocks and options. I have two doubts. Does that script work? Is it possible to test it on tradestation broker? Thank you