feat: option lab

backend/services/strategy_engine.py

@@ -81,7 +81,10 @@ def value_at(
     r: float,
     contract_size: float = DEFAULT_CONTRACT_SIZE,
 ) -> float:
-    """Signed portfolio value (BS reprice for unexpired legs, intrinsic for expired ones)."""
+    """Signed portfolio value (BS reprice for unexpired legs, intrinsic for expired ones).
+    check_bounded_risk calls this ~700 times per candidate it evaluates — second-order
+    Greeks are never read here, so they're skipped (include_second_order=False) rather than
+    computed and discarded on every one of those calls."""
     total = 0.0
     for leg in legs:
         remaining = leg["days_to_expiry"] - eval_days_from_now
@@ -91,7 +94,7 @@ def value_at(
             price = _intrinsic(S, leg["strike"], leg["option_type"])
         else:
             sigma = surface.iv_at(leg["strike"], remaining)
-            price = black_scholes(S, leg["strike"], remaining / 365, r, sigma, leg["option_type"])["price"]
+            price = black_scholes(S, leg["strike"], remaining / 365, r, sigma, leg["option_type"], include_second_order=False)["price"]
         total += sign * price * qty * contract_size
     return total