Features

MesoSim is highly flexible options strategy backtesting platform that allows traders to rigorously test their strategies using historical data.

• Instruments & Data

  • Index and equity options (SPX, RUT, VIX, GLD) and crypto options (BTC, ETH).
  • 5‑minute resolution options data for instruments: SPX, RUT, VIX, GLD, BTCUSD and ETHUSD.
  • Exchange‑aware timing with AM/PM settlement logic and holiday/weekend handling.

• Strategy Definition

  • Create multi‑leg structures with Entry, Adjustment and Exit rules.
  • Strike and expiration selection via simple selectors or programmable Lua expressions.
  • External CSV data becomes variables you can reference in conditions and sizing.
  • Multiple positions in flight (campaign mode) and concurrency controls.

• Execution Modeling

  • Market‑order modeling with two fill models: AtMidPrice or AtBidAsk; per‑leg slippage.
  • Commission models: Fixed fee and Deribit model (maker/taker, delivery fees, buy/sell combo waivers).
  • Option settlement handling across instruments; NAV/PnL consistent with fills and commissions.

• Risk, Margin & Analytics

  • Position Monitor with 2D/3D risk graphs and BQL‑powered valuation.
  • Per‑leg and position Greeks; strategy-level Greeks tracked over time.
  • Margin models: Reg‑T and PM‑like (house multiplier and configurable bounds).
  • Tearsheet generation using QuantStats
  • Volatility Surface viewer to visualize IV, OI, GEX over time.

• Results, Export & Sharing

  • Share results and collaborate
  • Export risk traces and event logs for postprocessing
  • Export runs to OptionNet Explorer for manual analysis

• Live Trading & Automation

  • Run the strategies live with MesoLive.
  • API access for automation and scale

• Strategy Development assistance

  • AI Assistant for interactive strategy development and debugging
  • Ready‑to‑run examples spanning income, directional, and calendar strategies.