Variables
MesoSim exposes the following Variables, which can be used in expressions.
You can find the list of available variables in the Job Editor.
The range of available Variables was significantly updated with MesoSim 2.0; if you want to know more about the specific changes, please read the Backward Incompatible Changes section of our Release Notes.
List of available variables
Note that you can see the available constants and their values in a backtest under the Events tab by opening up row details using the arrow on the left-hand side:
Available Constants and their Values
Expiration related variables
expiration_<expiration_name>_dte
Leg related variables
leg_<leg name>_deltaleg_<leg name>_gammaleg_<leg name>_thetaleg_<leg name>_vegaleg_<leg name>_wvegaleg_<leg name>_rholeg_<leg name>_pnlleg_<leg name>_qtyleg_<leg name>_ditleg_<leg name>_priceleg_<leg name>_strikeleg_<leg name>_iv
Where <leg name> should be replaced with the respective leg’s name.
Position variables
days_in_tradeprofit_targetstop_losspos_pnlpos_deltapos_gammapos_thetapos_vegapos_wvegapos_rho
Account variables
navpos_in_flightacc_deltaacc_gammaacc_thetaacc_vegaacc_wvegaacc_rho
Underlying variables
underlying_priceunderlying_today_openunderlying_prevday_closeunderlying_ivunderlying_iv_rankunderlying_iv_pctunderlying_hv