options-automation/iron_condor_scheduler.py

import schedule
import time

from database.backtest import backtest_results
from datetime import datetime, timedelta
from dotenv import load_dotenv
from ibkr import Client
from iron_condor import enter_iron_condor
from multiprocessing import Process
from os import getenv
from pytz import timezone

load_dotenv()

entry_time_format = '%H:%M:%S'
eastern_timezone = 'America/New_York'

def available_entry_times():
    start = datetime.strptime('09:35:00', entry_time_format)
    end = datetime.strptime('15:55:00', entry_time_format)

    current_time = start
    entry_times = []

    while current_time <= end:
        entry_times.append(current_time.strftime(entry_time_format))
        current_time += timedelta(minutes = 5)

    return entry_times

def best_entry_times():
    end_date = datetime.now().replace(hour = 0, minute = 0, second = 0, microsecond = 0)
    start_date = end_date - timedelta(days = 10) # TODO: Really want 5 most recent trading days.

    cumulative_profits = {}
    for entry_time in available_entry_times():
        backtest = backtest_results('SPX', f'10 Delta Iron Condor @ {entry_time}', 
            start_date = start_date, end_date = end_date)
        cumulative_profits[entry_time] = backtest.tail(5)['Profit'].sum()
        print(backtest)

    sorted_entry_times = sorted(cumulative_profits.items(), key=lambda x: x[1], reverse=True)[:10]
    return [entry_time for entry_time, _ in sorted_entry_times]

def enter_trade():
    job_process = Process(target = enter_iron_condor)
    job_process.start()

def connection_successful():
    try:
        ibkr_host = getenv('IBKR_HOST')
        ibkr_port = getenv('IBKR_PORT')
        Client(host = ibkr_host, port = ibkr_port)
        return True
    except:
        return False

if __name__ == '__main__':
    if connection_successful():
        print('Connected to IBKR.')

        now = datetime.now(timezone(eastern_timezone))

        entry_times = sorted(best_entry_times())
        print(entry_times)
        for entry_time in entry_times:
            schedule_time = datetime.strptime(entry_time, '%H:%M:%S').replace(
                year = now.year, 
                month = now.month, 
                day = now.day,
                tzinfo = now.tzinfo
            )

            # Prevent scheduling for times that have already elapsed.
            if schedule_time > now:
                print(f'Scheduling for {entry_time}.')
                schedule.every().day.at(entry_time, eastern_timezone).do(enter_trade)

        while True:
            schedule.run_pending()
            time.sleep(1)
    else:
        print('ERROR: Cannot connect to IBKR. Ensure that TWS / Gateway is running.')