Which Indian broker gives realtime options Greeks via API?
building an options strategy that needs delta and IV continuously to make position sizing and adjustment decisions. logic is written and works on historical data but ive hit a wall on the live data side that i didnt see coming.
my broker shows greeks beautifully on the terminal option chain but the API only returns LTP, OI, bid, ask, volume. zero greeks. so to actually run this live im computing them myself with py_vollib, fetching the risk free rate from a separate source, making assumptions about dividend yield, and trying to handle the indian options settlement nuances (cash settled, european style, weekly cycles, the works). its working but its 200+ lines of code for something that should be a field on the tick. and the IV i compute often disagrees with what the terminal shows by a meaningful amount which is awkward when youre placing trades based on it.
what i actually want is a broker API that streams delta, gamma, theta, vega, IV directly on the options chain websocket. ideally calibrated against the same model the exchange or a recognised data vendor uses so the values are internally consistent and i can just trust them instead of running my own calibration loop.
ive started looking at this seriously and the only Indian broker i can find that exposes greeks live via websocket is Nubra trading app. havent tested it long enough to vouch fully for accuracy or update frequency but on paper it removes the entire compute layer im currently maintaining. anyone here actually using greeks from a broker API in production, and if so which one and how trustworthy are the values?
if youre rolling your own, what library are you using and how are you handling the model calibration question? im on py_vollib right now but seriously considering QuantLib for the more nuanced handling. open to a better recommendation.