Day 11 - Introducing floe: A Zero-Dependency npm Package for Real-Time Option Pricing, Analytics, and More via any Broker of Your Choice

This post is part of the 'The 12 Days of Full Stack Dev' series, an adventure through full stack fintech app development. Join me through the first 12 days of December as we develop a variety of new features, fixes, and components within the Full Stack Craft fintech family.

For the full list of days and topics in this series, see the original post: The 12 Days of Full Stack Dev.

Brokers Democratizing Data - The Good and The Bad

For the past few years, many brokers have embraced a sort of digitalization of their trading platforms, allowing individuals to connect via APIs to build their own trading tools, bots, and applications. This has opened up a world of possibilities for traders and developers alike, enabling the creation of custom solutions tailored to specific trading strategies and needs. This is the good news.

However, I know from personal experience working on Full Stack Craft's various fintech products that each broker API is very similar, but just different enough to make building cross-broker applications a pain. From the authentication process to the actual market data APIs - while all publicly available - are very different in their implementation, naming conventions, and data structures. This is the bad news.

That's when I knew I had a great product idea on my hands: What if there was a zero-dependency, TypeScript-only library that could make connecting to a variety of broker APIs a breeze? Additionally, regardless of which broker was chosen, this library would have an identical and unified API for doing things like providing real-time option pricing, implied volatility surfaces, greeks, and dealer exposures using the Black-Scholes model.

Introducing floe

That's exactly what floe is, and I couldn't imagine ending the year with a better tool to share with the community.

So far, floe has support for connecting to the following brokers:

• Tradier
• Schwab
• TradeStation
• TastyTrade

The functionality, which is still being expanded, currently includes five main areas:

• Pricing via Black-Scholes
• Implied volatility and smooth implied volatility surface generation (via Black-Scholes bisection method and smoothing algorithms)
• Greek calculations from first to third order (delta, gamma, theta, vega, rho, vomma, veta, charm, speed, zomma, color, ultima), also via Black-Scholes
• Dealer exposure calculations (gamma, vanna, and charm exposures), based on either static open interest, or intraday estimated open interest changes in real-time
• Implied PDF generation from option prices

floe is currently being used in production in The Wheel Screener, and VannaCharm for real-time option pricing, implied volatility, greeks, and dealer exposures.

If you're interested, think about giving it a star on GitHub, and check out the documentation and examples at https://fullstackcraft.github.io/floe/. I'd love to hear any feedback or feature requests you might have!

Happy coding!

-Chris