I'm having a similar conundrum... I had the Tradestation connection built for Zorro and shock horror... TradeStation does not deliver Greeks over the API. Ugh...

So for one strategy Im trying to specify I'm thinking of how I get around that issue where I have to calculate the Delta in high frequency perhaps. Basic intraday (preferentially on expiry day) strategy is buy a 50 Delta Put and Call (Straddle) within certain time windows. And because the trade is made on expiry day the pricing models are very unstable and some trades only last minutes sometimes less (I trade this manually at present).

So I am thinking I would need to create a high frequency options calculator of some kind (I'm not even sure if I should use some exotic calculator script, like a GARCH or something), store the results series and if a match up occurs in the live premium price delivered every second or minute then take a trade if the premiums arent to disparate for entry... exit is hard as well as sometimes on expiry day it can be done right in the last seconds of trading... so I'm not sure how or if it is possible to deal with this instability in pricing? Any thoughts or tips?

I'm just pretty sure I will need to calculate and store prices in the script or figure out a cheap and nasty way to quickly verify deltas or the premium to pay for puts and calls that match the 50 delta and then calculate the exit prices as well, this would need a fast clock in the script to measure the fractional expiry time.