Monitor the price of each spread and perform stop outs when necessary

iron_condor.py

@@ -1,6 +1,8 @@
 import logging
+import nest_asyncio
 import traceback
 
+from dataclasses import replace
 from datetime import datetime
 from dotenv import load_dotenv
 from ibkr import Client, OptionLeg
@@ -10,8 +12,73 @@ from os import getenv
 
 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()
+
+quantity = 1
+
+def monitor_spread_price(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
+
+            logging.info(f'Short Contract: {short_leg.strike} {short_leg.option_type}')
+            logging.info(f'Long Contract: {long_leg.strike} {long_leg.option_type}')
+            logging.info(f'Current Spread Price: {current_spread_price}')
+            logging.info(f'Stop Price: {stop_price}')
+
+            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:
+                    client.submit_combo_option_order([short_leg_exit, long_leg_exit], quantity)
+                    logging.info('Whole spread exited.')
+                else:
+                    client.submit_option_order(short_leg_exit, quantity)
+                    logging.info('Short leg only exited.')
+
+                # 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():
-    logging.basicConfig(filename=f'iron_condor_{datetime.now().strftime("%H%M")}.log', level=logging.INFO)
+    logging.basicConfig(
+        filename=f'iron_condor_{datetime.now().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()
     except Exception as e:
@@ -22,6 +89,7 @@ def _enter_iron_condor():
     ibkr_port = getenv('IBKR_PORT')
     ibkr_client = Client(host = ibkr_host, port = ibkr_port)
 
+    # The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
     symbol, sub_symbol = 'SPX', 'SPXW'
     expiration = datetime.now()
 
@@ -35,7 +103,6 @@ def _enter_iron_condor():
             return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
         return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
 
-    # The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
     option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
     logging.info(option_chain)
 
@@ -77,23 +144,26 @@ def _enter_iron_condor():
     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_combo_option_order([short_call_leg, long_call_leg], 1)
+    call_spread_order = ibkr_client.submit_combo_option_order([short_call_leg, long_call_leg], quantity)
     while not call_spread_order.isDone():
         ibkr_client.ib.waitOnUpdate()
 
     if call_spread_order.orderStatus.status == 'Filled':
-        fill_price = call_spread_order.orderStatus.avgFillPrice
+        fill_price = abs(call_spread_order.orderStatus.avgFillPrice)
-        print('Call Spread Fill Price: ', fill_price)
+        logging.info(f'Call Spread Fill Price: {fill_price}')
-        ibkr_client.submit_stop_loss_order(call_spread_order, fill_price * 2)
+        monitor_spread_price(short_call_leg, long_call_leg, fill_price * 2, 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_combo_option_order([short_put_leg, long_put_leg], 1)
+    put_spread_order = ibkr_client.submit_combo_option_order([short_put_leg, long_put_leg], quantity)
     while not put_spread_order.isDone():
         ibkr_client.ib.waitOnUpdate()
 
     if put_spread_order.orderStatus.status == 'Filled':
-        fill_price = put_spread_order.orderStatus.avgFillPrice
+        fill_price = abs(put_spread_order.orderStatus.avgFillPrice)
-        print('Put Spread Fill Price: ', fill_price)
+        logging.info(f'Put Spread Fill Price: {fill_price}')
-        ibkr_client.submit_stop_loss_order(put_spread_order, fill_price * 2)
+        monitor_spread_price(short_put_leg, long_put_leg, fill_price * 2, ibkr_client)
+    
+    # TODO: Add a shutdown hook.
+    ibkr_client.run_event_loop()