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ib-report-delta-adjusted-notional-exposure

@staskh · 收录于 1 周前

Report delta-adjusted notional exposure across all IBKR accounts. Calculates option deltas using Black-Scholes and reports long/short exposure by account and underlying. Use when user asks about delta exposure, portfolio risk, or directional exposure.

场景投资组合风控期权敞口分析

适合你，如果管理多个IBKR账户并需要监控期权Delta敞口

/ 下载安装
ib-report-delta-adjusted-notional-exposure.skill双击,或拖进 Claude 桌面版 / Cowork,即完成安装↓ .skill↓ .zip
用别的 agent?下载 .zip 解压,把文件夹放进它的技能目录
Claude Code~/.claude/skills/(项目级 .claude/skills/)
Codex CLI~/.codex/skills/
Cursor自动读取上面两处目录
其他工具见其文档的「skills」目录;两个下载是同一份文件,只是名字不同
/ 通过 npx 安装 校验哈希
npx oh-my-skill add staskh/trading_skills/ib-report-delta-adjusted-notional-exposure
/ 通过 bash 安装
curl -fsSL https://oh-my-skill.com/install.sh | bash -s -- staskh/trading_skills/ib-report-delta-adjusted-notional-exposure
/ 已经装过?验证本机副本,不用重装
npx oh-my-skill verify staskh/trading_skills/ib-report-delta-adjusted-notional-exposure
安装目标可用 --agent / --scope 或 --to 明确指定;省略时只会在唯一已存在的 agent 目录上自动选择,零命中或多命中会停止并提示。content_hash 缺失或不一致均拒装。
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怎么用

技能原文 SKILL.md作者撰写 · MIT · cc30858

IB Delta-Adjusted Notional Exposure Report

Calculate and report delta-adjusted notional exposure across all Interactive Brokers accounts.

IB Connection

TWS or IB Gateway must be running locally with API enabled:

  • Paper trading — port 7497
  • Live trading — port 7496

Port fallback: If the configured port fails, automatically retry on the other port. If the retry succeeds, save to memory which account type worked (live/paper) and reuse it for all IB skill calls in this and future sessions — until the user explicitly asks for the other account. If both ports fail, ask the user to verify that TWS or IB Gateway is running with API access enabled.

Instructions
Step 1: Gather Data
uv run python scripts/delta_exposure.py [--port PORT]

The script returns JSON to stdout with all position deltas and summary data.

Step 2: Format Report

Read templates/markdown-template.md for formatting instructions. Generate a markdown report from the JSON data and save to sandbox/.

Filename: delta_exposure_report_{YYYYMMDD}_{HHMMSS}.md

Step 3: Report Results

Present the summary table (total long, short, net) and top exposures to the user. Include the saved report path.

Arguments
  • --port - IB port (default: 7497 for paper trading)
JSON Output

Returns delta-adjusted notional exposure with:

  • connected - Boolean
  • accounts - List of account IDs
  • position_count - Total positions
  • positions - Array of positions with symbol, delta, delta_notional, spot price
  • summary - Totals for long, short, and net delta notional
  • by_account - Long/short breakdown by account
  • by_underlying - Long/short/net breakdown by symbol
Methodology
  • Equity Options: Delta calculated via Black-Scholes with estimated IV based on moneyness
  • Futures: Delta = 1.0 (full notional exposure)
  • Futures Options: Delta calculated with lower IV assumption (20%)
  • Stocks: Delta = 1.0

Delta-adjusted notional = delta x spot price x quantity x multiplier

Examples
# Paper trading (default)
uv run python scripts/delta_exposure.py

# Live trading
uv run python scripts/delta_exposure.py --port 7496
Timezone

All timestamps and time-based calculations must use the America/New_York timezone. All JSON output must include generated_at (NY time string) and data_delay fields.

按 MIT 许可原样转载,未经改动 · 在 GitHub 查看 →

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