99 lines
4.1 KiB
Python
99 lines
4.1 KiB
Python
#########################################################################
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# Not currently using this as the call to reqTickers takes > 10 seconds #
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#########################################################################
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import datetime
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import pandas as pd
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from ib_insync import *
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from ibkr.exchange import SMART
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ib = IB()
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ib.connect('127.0.0.1', 7497, clientId=1) # Assuming TWS is running on the current machine.
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underlying = Index('SPX', 'CBOE')
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ib.qualifyContracts(underlying)
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underlying_ticker = ib.reqTickers(underlying)[0]
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atm = underlying_ticker.last
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print('Last Price:', atm)
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chains = ib.reqSecDefOptParams(underlying.symbol, '', underlying.secType, underlying.conId)
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chain = next(c for c in chains if c.tradingClass == 'SPXW' and c.exchange == SMART)
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today = datetime.datetime.now().strftime('%Y%m%d')
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expirations = [exp for exp in chain.expirations if exp == today]
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max_strike_distance = 100
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call_strikes = sorted(strike for strike in chain.strikes if strike <= (atm + max_strike_distance) and strike >= atm)
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put_strikes = sorted(strike for strike in chain.strikes if strike <= atm and strike >= (atm - max_strike_distance))
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put_contracts = [Option('SPX', expiration, strike, 'P', SMART) for expiration in expirations for strike in put_strikes]
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call_contracts = [Option('SPX', expiration, strike, 'C', SMART) for expiration in expirations for strike in call_strikes]
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contracts = put_contracts + call_contracts
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qualified_contracts = ib.qualifyContracts(*contracts)
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# Requesting market data (e.g., current bid / ask) for each contract.
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# This is what takes a long time.
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tickers = ib.reqTickers(*qualified_contracts)
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data = []
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for ticker in tickers:
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symbol = ticker.contract.localSymbol
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strike = ticker.contract.strike
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right = 'CALL' if ticker.contract.right == 'C' else 'PUT'
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# TODO: Bid and Ask.
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price = iv = delta = gamma = vega = theta = underlying_price = None
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# TODO: The model greeks are not always available, wait for them.
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if ticker.modelGreeks is not None:
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price = ticker.modelGreeks.optPrice
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iv = ticker.modelGreeks.impliedVol
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delta = ticker.modelGreeks.delta
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gamma = ticker.modelGreeks.gamma
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vega = ticker.modelGreeks.vega
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theta = ticker.modelGreeks.theta
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underlying_price = ticker.modelGreeks.undPrice
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data.append([symbol, strike, right, price, iv, delta, gamma, vega, theta, underlying_price])
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option_chain = pd.DataFrame(data, columns=['Symbol', 'Strike', 'Type', 'Price', 'IV', 'Delta', 'Gamma', 'Vega', 'Theta', 'Underlying Price'])
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print('Option Chain:')
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print(option_chain)
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target_delta = 0.10
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# Separate calls and puts.
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calls = option_chain[option_chain['Type'] == 'CALL'].copy()
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puts = option_chain[option_chain['Type'] == 'PUT'].copy()
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# Find the difference between the target delta and actual delta for calls and puts.
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calls['Delta Delta'] = abs(calls['Delta'] - target_delta)
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puts['Delta Delta'] = abs(puts['Delta'] + target_delta)
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# Find the row where this difference is minimized for calls.
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closest_call_strike = calls.loc[calls['Delta Delta'].idxmin()]
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# Find the row where this difference is minimized for puts.
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closest_put_strike = puts.loc[puts['Delta Delta'].idxmin()]
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# Determine the target strikes.
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target_long_call_strike = closest_call_strike['Strike'] + 50
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target_long_put_strike = closest_put_strike['Strike'] - 50
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def find_closest_strike(target_strike, option_type, option_chain):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Strike Distance'] = abs(options['Strike'] - target_strike)
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nearest_strike = options.loc[options['Strike Distance'].idxmin()]
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return nearest_strike
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# Find the closest call and put strikes to the desired targets
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closest_long_call_strike = find_closest_strike(target_long_call_strike, 'CALL', option_chain)
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closest_long_put_strike = find_closest_strike(target_long_put_strike, 'PUT', option_chain)
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# For entering an iron condor.
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print('Short Call Strike:', closest_call_strike['Strike'])
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print('Long Call Strike:', closest_long_call_strike['Strike'])
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print("Short Put Strike:", closest_put_strike['Strike'])
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print('Long Put Strike:', closest_long_put_strike['Strike'])
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ib.disconnect()
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