Midas is a cryptocurrency options trading framework written in Python. It supports both backtesting and live trading.
At the moment Midas only supports Deribit.
You will need the following data to backtest your strategies:
- Options (creation & expiration date)
- Tickers (best bid & ask price)
- Delivery prices
The example directory contains one week of data for BTC options on Deribit. Ticker data were recorded every 30 minutes.
Use get_delivery_prices endpoint to get delivery prices for BTC and ETH options.
$ poetry install
$ poetry run backtest$ poetry run trade