88 lines
3.8 KiB
Python
88 lines
3.8 KiB
Python
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from datetime import datetime
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from dotenv import load_dotenv
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from ibkr import Client, OptionLeg
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from ibkr.option_type import CALL, PUT
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from ibkr.order_action import BUY, SELL
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from os import getenv
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load_dotenv()
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ibkr_host = getenv('IBKR_HOST')
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ibkr_port = getenv('IBKR_PORT')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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symbol, sub_symbol = 'SPX', 'SPXW'
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expiration = datetime.now()
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underlying_ticker = ibkr_client.get_ticker(symbol, 'CBOE')
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current_price = underlying_ticker.last
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# Filtering strikes based on distance from current price speeds up the request.
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max_strike_distance = 100
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def contract_filter(contract):
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if contract.right == CALL:
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return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
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return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
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print(option_chain)
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target_delta = 0.10
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def closest_contract_by_delta(target_delta, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Delta Distance'] = abs(options['Delta'] - target_delta)
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return options.loc[options['Delta Distance'].idxmin()]
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# Find the strikes that minimize the distance to the target delta.
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short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
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short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# TODO: Select long strike based on preferred price.
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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def closest_contract_by_strike(target_strike, option_chain, option_type):
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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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return options.loc[options['Strike Distance'].idxmin()]
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long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
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long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
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# Build the iron condor.
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short_put_strike = float(short_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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print("Short Put Strike:", short_put_strike)
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print('Long Put Strike:', long_put_strike)
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print('Short Call Strike:', short_call_strike)
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print('Long Call Strike:', long_call_strike)
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short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol)
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long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)
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call_spread_order = ibkr_client.submit_combo_option_order([short_call_leg, long_call_leg], 1)
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while not call_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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if call_spread_order.orderStatus.status == 'Filled':
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fill_price = call_spread_order.orderStatus.avgFillPrice
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print('Call Spread Fill Price: ', fill_price)
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ibkr_client.submit_stop_loss_order(call_spread_order, fill_price * 2)
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short_put_leg = OptionLeg(symbol, expiration, short_put_strike, PUT, SELL, sub_symbol)
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long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)
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put_spread_order = ibkr_client.submit_combo_option_order([short_put_leg, long_put_leg], 1)
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while not put_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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if put_spread_order.orderStatus.status == 'Filled':
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fill_price = put_spread_order.orderStatus.avgFillPrice
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print('Put Spread Fill Price: ', fill_price)
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ibkr_client.submit_stop_loss_order(put_spread_order, fill_price * 2)
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