options-automation/iron_condor.py

import logging
import nest_asyncio
import traceback

from dataclasses import replace
from datetime import datetime
from dotenv import load_dotenv
from os import getenv

from ibkr import Client, OptionLeg
from ibkr.option_type import CALL, PUT
from ibkr.order_action import BUY, SELL

from iron_condor_trade import IronCondorTrade
from options_chain import OptionsChain
from option_type import OptionType
from trades_table import insert_trade, update_on_stop_loss

load_dotenv()

# Allows for starting an event loop even if there's already one running in the current thread.
# Necessary for monitoring spread prices asynchronously while interacting with the IBKR client.
nest_asyncio.apply()

def monitor_spread_price(trade: IronCondorTrade, short_leg: OptionLeg, long_leg: OptionLeg, stop_price: float, client: Client):
    """""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
        Stop loss orders will not execute if trying to sell back a contract with no bid while paper trading.
        Therefore, the spread price must be monitored and the spread manually exited if the stop price is reached.
        If there is no bid for the long leg, only the short leg will be exited.
    """""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
    stopped_out = False
    market_data = {}  # Stores real-time market data for each leg.

    def on_market_data_update(update_event):
        # Prevent the trade from being exited multiple times if there are other updates queued.
        # This will prevent unintentionally entering new trades.
        nonlocal stopped_out
        if stopped_out:
            return

        # Ensure there is market data for both legs before proceeding.
        if short_leg in market_data and long_leg in market_data:
            short_contract = market_data[short_leg]
            long_contract = market_data[long_leg]

            # If a contract has no bid -1.0 is returned, set it to 0 to avoid negative mid prices.
            mid_price_short = (max(short_contract.bid, 0) + short_contract.ask) / 2
            mid_price_long = (max(long_contract.bid, 0) + long_contract.ask) / 2
            current_spread_price = mid_price_short - mid_price_long

            if current_spread_price >= stop_price:
                stopped_out = True
                logging.info('Stop price reached or exceeded. Exiting trade.')

                short_leg_exit = replace(short_leg, action = BUY if short_leg.action == SELL else SELL)
                long_leg_exit = replace(long_leg, action = BUY if long_leg.action == SELL else SELL)
                if long_contract.bid > 0:
                    exit_order = client.submit_spread_order(short_leg_exit, long_leg_exit)
                    logging.info('Whole spread exited.')
                else:
                    exit_order = client.submit_option_order(short_leg_exit)
                    logging.info('Short leg only exited.')

                exit_slippage = round(exit_order.fill_price - stop_price, 3)
                logging.info(f'Exit Slippage: {exit_slippage}')

                update_on_stop_loss(trade, short_leg.option_type, exit_order.fill_price, exit_slippage)

                # Unsubscribe from market data updates once the trade has exited.
                for leg in [short_leg, long_leg]:
                    market_data[leg].updateEvent -= on_market_data_update

    for leg in [short_leg, long_leg]:
        option_contract = client.get_option_contract(leg)
        leg_market_data = client.get_market_data(option_contract, streaming = True)
        market_data[leg] = leg_market_data
        leg_market_data.updateEvent += on_market_data_update

def enter_iron_condor(entry_time: datetime):
    logging.basicConfig(
        filename = f'iron_condor_{entry_time.strftime("%H%M")}.log', 
        level = logging.INFO,
        format = '%(asctime)s : %(levelname)s : %(message)s',
        datefmt = '%Y-%m-%d %H:%M:%S'
    )
    try:
        _enter_iron_condor(entry_time)
    except Exception as e:
        logging.error('Error: %s', traceback.format_exc())

def _enter_iron_condor(entry_time: datetime):
    # The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
    symbol, sub_symbol = 'SPX', 'SPXW'
    expiration = datetime.now()

    options_chain = OptionsChain('$SPXW.X', expiration)
    logging.info(options_chain)

    credit_target = float(getenv('CREDIT_TARGET'))
    short_put_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.PUT)
    short_call_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.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

    long_put_contract = options_chain.closest_contract_by_strike(target_long_put_strike, OptionType.PUT)
    long_call_contract = options_chain.closest_contract_by_strike(target_long_call_strike, OptionType.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}')

    put_spread_price = options_chain.spread_mid_price(short_put_strike, long_put_strike, OptionType.PUT)
    logging.info(f'Options Chain Put Spread Mid Price: {put_spread_price}')

    call_spread_price = options_chain.spread_mid_price(short_call_strike, long_call_strike, OptionType.CALL)
    logging.info(f'Options Chain Call Spread Mid Price: {call_spread_price}')

    ibkr_client = Client()
    trade = IronCondorTrade(symbol, credit_target, entry_time, float(getenv('STOP_MULTIPLE')))

    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_spread_order(short_call_leg, long_call_leg)
    logging.info(f'Call Spread Mid Price: {call_spread_order.mid_price}')
    logging.info(f'Call Spread Fill Price: {call_spread_order.fill_price}')
    logging.info(f'Call Spread Slippage: {call_spread_order.mid_price - call_spread_order.fill_price}')
    logging.info(f'Options Chain Call Spread Slippage: {call_spread_price - call_spread_order.fill_price}')

    monitor_spread_price(
        trade = trade,
        short_leg = short_call_leg, 
        long_leg = long_call_leg, 
        stop_price = call_spread_order.fill_price * 2, 
        client = ibkr_client
    )

    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_spread_order(short_put_leg, long_put_leg)
    logging.info(f'Put Spread Mid Price: {put_spread_order.mid_price}')
    logging.info(f'Put Spread Fill Price: {put_spread_order.fill_price}')
    logging.info(f'Put Spread Slippage: {put_spread_order.mid_price - put_spread_order.fill_price}')
    logging.info(f'Options Chain Put Spread Slippage: {put_spread_price - put_spread_order.fill_price}')

    monitor_spread_price(
        trade = trade,
        short_leg = short_put_leg, 
        long_leg = long_put_leg, 
        stop_price = put_spread_order.fill_price * 2, 
        client = ibkr_client
    )

    insert_trade(trade, call_spread_order, put_spread_order)

    # TODO: Add a shutdown hook.
    ibkr_client.run_event_loop()