Mangrove/Market Maker Profiler. This repository contains several use cases to run in a Python terminal, plus a Streamlit webapp.
For a detailed summary of the Streamlit app features, see README_STREAMLIT.md.
The app provides interactive tools to explore market making strategies based on option delta curves, using both static and dynamic approaches. It leverages simulation, visualization, and analytics to help users understand the impact of different parameters and strategies.
- Visualization of orders and order book
- Simulate taking positions (buy/sell at best price)
- Analyze market maker PnL across different price ranges
- Simulate price diffusion (geometric Brownian motion)
- Interactive results and charts (Plotly)
- Compare different market making strategies (Zero Knowledge, Delta, Replication)
- Install Poetry
- The project is bound to use Python 3.10 (for dependencies compatibility):
poetry env use $(which python3.10)(or adapt it to your Python 3.10 path) - Run:
poetry install - Or use the Makefile:
make install
- Run:
poetry run streamlit run ./trajectory.py - Or use the Makefile:
make run - Access the app at http://localhost:8501/