options-automation/options_chain.py

from datetime import datetime
from dotenv import load_dotenv
from os import getenv

from tradestation import TradeStationClient

from option_type import OptionType

load_dotenv()

class OptionsChain:

    def __init__(self, symbol, expiration):
        self.symbol = symbol
        self.expiration = expiration
        self.options_chain = self.get_options_chain(symbol, expiration)

    def get_options_chain(self, symbol: str, expiration: datetime):
        tradestation_client = TradeStationClient(getenv('TRADESTATION_REFRESH_TOKEN'))
        return tradestation_client.get_options_chain(symbol, expiration)

    def options_by_type(self, option_type: OptionType):
        return self.options_chain[self.options_chain['Type'] == option_type.value].copy()

    def closest_contract_by_credit(self, target_credit: float, option_type: OptionType):
        options = self.options_by_type(option_type)
        options['Credit Distance'] = abs(options['Bid'] - target_credit)
        return options.loc[options['Credit Distance'].idxmin()]

    def closest_contract_by_delta(self, target_delta: float, option_type: OptionType):
        options = self.options_by_type(option_type)
        options['Delta Distance'] = abs(options['Delta'] - target_delta)
        return options.loc[options['Delta Distance'].idxmin()]

    def closest_contract_by_strike(self, target_strike: float, option_type: OptionType):
        options = self.options_by_type(option_type)
        options['Strike Distance'] = abs(options['Strike'] - target_strike)
        return options.loc[options['Strike Distance'].idxmin()]

    def spread_mid_price(self, near_strike: float, far_strike: float, option_type: OptionType):
        options = self.options_by_type(option_type)

        near_leg = options[options['Strike'] == near_strike]
        far_leg = options[options['Strike'] == far_strike]

        near_leg_mid = (near_leg['Ask'] + near_leg['Bid'].clip(lower = 0)) / 2.0
        far_leg_mid = (far_leg['Ask'] + far_leg['Bid'].clip(lower = 0)) / 2.0
        spread_mid = near_leg_mid.iloc[0] - far_leg_mid.iloc[0]

        return spread_mid

    def __repr__(self) -> str:
        return self.options_chain.to_string()

if __name__ == '__main__':
    options_chain = OptionsChain('$SPXW.X', datetime.now())
    print(options_chain)
    print(options_chain.closest_contract_by_credit(5.0, OptionType.PUT))