A live derivatives trading platform for Deribit — designed, built, and operated in production. Every component of our client systems is drawn from this foundation.
This platform manages the full lifecycle of options trading on Deribit — from live market data ingestion and real-time volatility surface construction, through risk management and order execution, to portfolio monitoring and decision support. It runs continuously in production and has been refined through live trading.
The architecture is deliberately modular: each component has a single responsibility, communicates through well-defined interfaces, and can be replaced or extended independently. This is the same design philosophy we apply to every client engagement — systems that adapt as the business evolves.
All components are orchestrated via process-compose with enforced startup dependencies and automatic restart on failure.
Maintains a persistent WebSocket connection to Deribit. Normalises the full instrument universe — options, futures, perpetuals — and publishes order book snapshots, trades, and user events onto the Redis bus. Handles reconnection with exponential backoff.
Calibrates SVI (Stochastic Volatility Inspired) volatility surfaces every 5 seconds across all active expirations. Produces parametrised skew metrics — ATM implied volatility, risk reversal, butterfly spread — and publishes them for downstream consumption.
Computes live portfolio Greeks — delta, gamma, vega, theta — adjusted for volatility skew. Tracks net exposure across all positions, enforces risk limits, and exposes a REST pricing API. Integrates quanto adjustment for USD P&L on ETH-denominated options.
Manages order lifecycle end-to-end. Supports automated delta hedging via perpetual rebalancing, implied volatility-targeted limit orders, microstructure-driven strategies using order book imbalance signals, and manual order submission via the operator interface.
A real-time web dashboard streaming live position data, Greeks, vol surface parameters, and order book state via WebSocket. Provides a single-screen view of system health and market exposure for the operations team.
An LLM-powered agent accessible via Telegram. Exposes structured tools for querying historical data, current positions, and risk metrics in natural language. An MCP server brokers access to QuestDB, Redis, and order submission — keeping the LLM layer cleanly separated from execution.
Underpinning the system is a proprietary Rust quantitative library developed in-house — the same library deployed across all client engagements.
Black-Scholes-Merton (European, American, barrier, digital, spread), Heston stochastic volatility, Rough Heston with Volterra kernels.
Raw SVI parametrisation with vega-weighted grid-search calibration. Sub-second fit across 100+ strikes per expiry. Full skew metrics output.
Delta, gamma, vega, theta, vanna, volga — skew-adjusted and quanto-corrected for multi-currency derivatives books.
Particle swarm optimisation, simulated annealing, genetic algorithm, and Armijo-backtracked projected gradient for multi-bet Kelly criterion.
Order book imbalance via EWMA smoothing, cumulative delta detection, tick and volume imbalance indicators for short-horizon signal generation.
Python backtesting framework for microstructure signals with proper taker/maker fill modelling, train/test split, Sharpe and drawdown metrics.
Live screenshots from the production system.
Risk Monitoring Dashboard
Real-time Skew adjusted Greeks
Volatility Surface
Real-time SVI calibration per expiry
Market Positioning
Open-interest option tracking
LLM Powered System Chatbot
Market/position monitoring or order execution in natural language
Every component of this system is available as a foundation for a bespoke client engagement. We adapt and extend it to fit your market, your workflow, and your regulatory environment.
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