58 lines
1.9 KiB
Python
58 lines
1.9 KiB
Python
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from datetime import datetime
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from pandas import DataFrame
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from backtesting.credit_targeting import iron_condor_strategy
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from database.trades import get_leg, get_spread, upsert
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from database.trades.action import Action
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from database.trades.option_type import OptionType
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from ibkr import option_type as IBKROptionType
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from ibkr.option_order import OptionOrder
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def translate_action(action_string: str) -> Action:
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for action in Action:
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if action_string == action.value:
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return action
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def translate_option_type(option_type_string: str) -> OptionType:
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if option_type_string == IBKROptionType.CALL:
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return OptionType.CALL
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else:
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return OptionType.PUT
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def spread(spread_order: OptionOrder) -> dict:
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near_leg = spread_order.legs[0]
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far_leg = spread_order.legs[1]
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return get_spread(
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near_leg = get_leg(
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action = translate_action(near_leg.action),
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strike = near_leg.strike,
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option_type = translate_option_type(near_leg.option_type)
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),
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far_leg = get_leg(
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action = translate_action(far_leg.action),
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strike = far_leg.strike,
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option_type = translate_option_type(far_leg.option_type)
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),
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open_price = spread_order.fill_price,
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entry_slippage = round(spread_order.mid_price - spread_order.fill_price, 3)
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)
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def insert_trade(
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symbol: str,
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target: float,
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entry_time: datetime,
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call_spread_order: OptionOrder,
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put_spread_order: OptionOrder
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):
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upsert(
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DataFrame([{
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'Date': datetime.now().date(),
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'Symbol': symbol,
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'Strategy': iron_condor_strategy(target),
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'Entry Time': entry_time.replace(tzinfo = None),
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'Exit Time': None, # Required.
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'Spreads': [spread(call_spread_order), spread(put_spread_order)],
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'Profit': None # Required.
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}])
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)
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