Features

MesoSim is an options strategy backtesting platform from Deltaray. Develop strategies, test them against historical data, and explore their performance and risk.

Instruments and data

Five-minute-resolution options data covers the following periods. For active symbols, see Service Status for the latest end date.

• SPX: 17 May 2010 onwards.
• RUT: 1 January 2012 onwards.
• VIX: 1 January 2012 onwards.
• GLD: 1 January 2012 onwards.
• Historical crypto options data (legacy):
  • BTCUSD and ETHUSD: 1 June 2019 – 28 March 2026.
  • SOLUSD: 9 May 2022 – 30 December 2022.

Exchange-aware timing includes AM/PM settlement and holiday or weekend handling.

Strategy development

• Start with ready-to-run examples covering income, directional, and calendar strategies.
• Use the AI Assistant for interactive strategy development and debugging.
• Create multi-leg structures with entry, adjustment, and exit rules.
• Select strikes and expirations using selectors or Lua expressions.
• Incorporate external CSV data into conditions and position sizing.
• Manage multiple positions with concurrency controls.

Execution modeling

• Model market-order fills at the mid-price or bid/ask, with configurable slippage for each leg.
• Include commissions in your backtests.
• Account for option settlement, fills, and commissions when tracking profit and loss.

Risk, margin, and analytics

• Explore positions with the Position Monitor's 2D and 3D risk graphs.
• Track Greeks for individual legs, positions, and the overall strategy.
• Estimate margin requirements with Reg-T and portfolio margin models.
• Review performance metrics in a tearsheet report.
• Visualize events in Analytics with DataVoyager to explore relationships between captured entry variables and trade outcomes.
• Use the Volatility Surface Viewer to explore implied volatility, open interest, and gamma exposure over time.

Portfolio and statistical analysis

• Combine completed backtests into portfolios for analysis.
• Use StatSim to explore alternative performance paths by resampling observed returns.

Results, exports, and sharing

• Share results with others.
• Export event logs for further analysis.
• Export runs to OptionNet Explorer for manual analysis.

Live trading and automation

• Run strategies live with MesoLive.
• Use the MesoSim API to automate your research workflow.

Get started

Open MesoSim, compare plans and features, or follow the guide to create and run a backtest.