Set the limit price based on the order action (BUY / SELL) of the nearest leg
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@ -135,7 +135,9 @@ class Client:
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def submit_option_order(self, leg: OptionLeg) -> OptionOrder:
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leg_data = self.get_market_data(self.get_option_contract(leg))
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leg_mid = (leg_data.ask + max(leg_data.bid, 0)) / 2.0
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leg_limit = (leg_mid - 0.25) - (leg_mid % 0.05)
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leg_limit = leg_limit if leg.action == BUY else -leg_limit
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option_order = self.submit_single_option_order(leg_data, limit_price = leg_limit)
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while not option_order.isDone():
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@ -143,17 +145,18 @@ class Client:
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return OptionOrder(option_order)
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def submit_spread_order(self, short_leg: OptionLeg, long_leg: OptionLeg) -> OptionOrder:
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short_leg_data = self.get_market_data(self.get_option_contract(short_leg))
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long_leg_data = self.get_market_data(self.get_option_contract(long_leg))
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def submit_spread_order(self, near_leg: OptionLeg, far_leg: OptionLeg) -> OptionOrder:
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near_leg_data = self.get_market_data(self.get_option_contract(near_leg))
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far_leg_data = self.get_market_data(self.get_option_contract(far_leg))
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short_leg_mid = (short_leg_data.ask + max(short_leg_data.bid, 0)) / 2.0
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long_leg_mid = (long_leg_data.ask + max(long_leg_data.bid, 0)) / 2.0
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near_leg_mid = (near_leg_data.ask + max(near_leg_data.bid, 0)) / 2.0
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far_leg_mid = (far_leg_data.ask + max(far_leg_data.bid, 0)) / 2.0
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spread_mid = near_leg_mid - far_leg_mid
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spread_mid = short_leg_mid - long_leg_mid
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spread_limit = (spread_mid - 0.25) - (spread_mid % 0.05)
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spread_limit = spread_limit if near_leg.action == BUY else -spread_limit
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spread_order = self.submit_combo_option_order([short_leg, long_leg], limit_price = spread_limit)
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spread_order = self.submit_combo_option_order([near_leg, far_leg], limit_price = spread_limit)
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while not spread_order.isDone():
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self.ib.waitOnUpdate()
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