options-automation/iron_condor.py

import logging
import traceback

from datetime import datetime
from dotenv import load_dotenv
from ibkr import Client, OptionLeg
from ibkr.option_type import CALL, PUT
from ibkr.order_action import BUY, SELL
from os import getenv

load_dotenv()

def enter_iron_condor():
    logging.basicConfig(filename=f'iron_condor_{datetime.now().strftime("%H%M")}.log', level=logging.INFO)
    try:
        _enter_iron_condor()
    except Exception as e:
        logging.error("Error: %s", traceback.format_exc())

def _enter_iron_condor():
    ibkr_host = getenv('IBKR_HOST')
    ibkr_port = getenv('IBKR_PORT')
    ibkr_client = Client(host = ibkr_host, port = ibkr_port)

    symbol, sub_symbol = 'SPX', 'SPXW'
    expiration = datetime.now()

    underlying_ticker = ibkr_client.get_ticker(symbol, 'CBOE')
    current_price = underlying_ticker.last

    # Filtering strikes based on distance from current price speeds up the request.
    max_strike_distance = 100
    def contract_filter(contract):
        if contract.right == CALL:
            return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
        return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)

    # The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
    option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
    logging.info(option_chain)

    target_delta = 0.10

    def closest_contract_by_delta(target_delta, option_chain, option_type):
        options = option_chain[option_chain['Type'] == option_type].copy()
        options['Delta Distance'] = abs(options['Delta'] - target_delta)
        return options.loc[options['Delta Distance'].idxmin()]

    # Find the strikes that minimize the distance to the target delta.
    short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
    short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)

    # When selecting long strikes, minimize the distance to a 50 point spread.
    # TODO: Select long strike based on preferred price.
    target_long_put_strike = short_put_contract['Strike'] - 50
    target_long_call_strike = short_call_contract['Strike'] + 50

    def closest_contract_by_strike(target_strike, option_chain, option_type):
        options = option_chain[option_chain['Type'] == option_type].copy()
        options['Strike Distance'] = abs(options['Strike'] - target_strike)
        return options.loc[options['Strike Distance'].idxmin()]

    long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
    long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)

    # Build the iron condor.
    short_put_strike = float(short_put_contract['Strike'])
    long_put_strike = float(long_put_contract['Strike'])
    short_call_strike = float(short_call_contract['Strike'])
    long_call_strike = float(long_call_contract['Strike'])

    logging.info(f'Short Put Strike: {short_put_strike}')
    logging.info(f'Long Put Strike: {long_put_strike}')
    logging.info(f'Short Call Strike: {short_call_strike}')
    logging.info(f'Long Call Strike: {long_call_strike}')

    short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol)
    long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)

    call_spread_order = ibkr_client.submit_combo_option_order([short_call_leg, long_call_leg], 1)
    while not call_spread_order.isDone():
        ibkr_client.ib.waitOnUpdate()

    if call_spread_order.orderStatus.status == 'Filled':
        fill_price = call_spread_order.orderStatus.avgFillPrice
        print('Call Spread Fill Price: ', fill_price)
        ibkr_client.submit_stop_loss_order(call_spread_order, fill_price * 2)

    short_put_leg = OptionLeg(symbol, expiration, short_put_strike, PUT, SELL, sub_symbol)
    long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)

    put_spread_order = ibkr_client.submit_combo_option_order([short_put_leg, long_put_leg], 1)
    while not put_spread_order.isDone():
        ibkr_client.ib.waitOnUpdate()

    if put_spread_order.orderStatus.status == 'Filled':
        fill_price = put_spread_order.orderStatus.avgFillPrice
        print('Put Spread Fill Price: ', fill_price)
        ibkr_client.submit_stop_loss_order(put_spread_order, fill_price * 2)