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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.

Variables

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:

Variables

Available Constants and their Values

  • expiration_<expiration_name>_dte
  • leg_<leg name>_delta
  • leg_<leg name>_gamma
  • leg_<leg name>_theta
  • leg_<leg name>_vega
  • leg_<leg name>_wvega
  • leg_<leg name>_rho
  • leg_<leg name>_pnl
  • leg_<leg name>_qty
  • leg_<leg name>_dit
  • leg_<leg name>_price
  • leg_<leg name>_strike
  • leg_<leg name>_iv

Where <leg name> should be replaced with the respective leg’s name.

Position variables

  • days_in_trade
  • profit_target
  • stop_loss
  • pos_pnl
  • pos_delta
  • pos_gamma
  • pos_theta
  • pos_vega
  • pos_wvega
  • pos_rho

Account variables

  • nav
  • pos_in_flight
  • acc_delta
  • acc_gamma
  • acc_theta
  • acc_vega
  • acc_wvega
  • acc_rho

Underlying variables

  • underlying_price
  • underlying_today_open
  • underlying_prevday_close
  • underlying_iv
  • underlying_iv_rank
  • underlying_iv_pct
  • underlying_hv