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Overview

MesoSim Service​

MesoSim is a specialized option strategy backtesting service that enables traders to design, test, and optimize complex multi-leg options strategies using a low-code approach. It provides high-performance backtesting with 5-minute resolution historical options data, allowing for thorough strategy validation before deployment to live markets.

The service features a domain-specific language (DSL) specifically designed for options trading, offering:

  • Precise leg selection based on Greeks, IV, prices, or custom criteria
  • Algorithmic entry, exit, and adjustment logic
  • Comprehensive performance analytics and risk metrics
  • Seamless export to third-party tools and direct deployment to live trading

The full documentation of the service is available in the MesoSim Documentation site

Key Features​

  • Multi-leg Strategy Backtesting: Test complex options strategies across indices (SPX, RUT, VIX) and cryptocurrencies (BTC, ETH)
  • Low-Code Implementation: Define strategies using a specialized domain language optimized for options trading
  • High-Resolution Data: Access 5-minute resolution options data spanning multiple years (SPX from 2005, RUT from 2012, Crypto from 2019)
  • Advanced Execution Modeling: Two order fill models with customizable slippage parameters
  • Comprehensive Analytics: Risk metrics, NAV visualization, Greeks analysis, and full QuantStats tearsheets
  • Campaign Mode: Test strategies with multiple concurrent positions
  • Volatility Indicators: Historical and implied volatility metrics, IV rank and percentile
  • Integration Capabilities: Export to OptionNet Explorer and deploy to MesoLive for live trading