** Do not bid unless you have extensive C#/C++ optimization experience. **  Some comprehension of option modeling is recommended but not required.  You can use MATLAB if you want, but I would try to stay in C#, or create custom optimization routine.

We have a realtime data set that is processed by our program.  In this program we have built an options analysis program.  This program analyzes different option positions, vega, theta, gamma, delta, etc.  We are looking to optimize, or find, the best combination of positions based upon requirements we specify.  So you would use MATLAB or a custom C# algorithm to optimize and calibrate the 'best position' based upon our criteria.  All our proprietary options analysis software is written in C#, and you could write your own optimization code in C# or you could utilize MATLAB, I believe.  The data feed is only available from 9:30 EST - 4:15 EST so you would plan accordingly.



When you post a bid please explain your experience with MATLAB, writing C# optimization for a larger dataset and other optimization routines in the past.

Thanks for bidding.