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Add logic for placing the appropriate orders to enter the iron condor

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moshferatu 2023-09-19 08:52:03 -07:00
parent a52c0c1e22
commit 4c6c24bfd9
1 changed files with 47 additions and 17 deletions
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64
iron_condor.py
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@ -1,9 +1,11 @@
from datetime import datetime from datetime import datetime
from dotenv import load_dotenv from dotenv import load_dotenv
from ibkr import Client from ibkr import Client
from ibkr.option_type import CALL, PUT from option_type import CALL, PUT
from os import getenv from os import getenv
from tastytrade import Tastytrade from tastytrade import Tastytrade
from tastytrade.order import create_credit_spread
from tastytrade.symbology import zero_dte_spx_contract as contract
load_dotenv() load_dotenv()
@ -31,31 +33,59 @@ def contract_filter(contract):
option_chain = ibkr_client.get_option_chain('SPX', datetime.now(), sub_symbol = 'SPXW', contract_filter = contract_filter) option_chain = ibkr_client.get_option_chain('SPX', datetime.now(), sub_symbol = 'SPXW', contract_filter = contract_filter)
print(option_chain) print(option_chain)
target_delta = 0.10 target_delta = 0.20
def closest_strike_by_delta(target_delta, option_chain, option_type): def closest_contract_by_delta(target_delta, option_chain, option_type):
options = option_chain[option_chain['Type'] == option_type].copy() options = option_chain[option_chain['Type'] == option_type].copy()
options['Delta Distance'] = abs(options['Delta'] - (target_delta * (1 if option_type == CALL else -1))) options['Delta Distance'] = abs(options['Delta'] - target_delta)
return options.loc[options['Delta Distance'].idxmin()] return options.loc[options['Delta Distance'].idxmin()]
# Find the strikes that minimize the distance to the target delta. # Find the strikes that minimize the distance to the target delta.
closest_call_strike = closest_strike_by_delta(target_delta, option_chain, CALL) short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
closest_put_strike = closest_strike_by_delta(target_delta, option_chain, PUT) short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
# Do the same for the long strikes. # When selecting long strikes, minimize the distance to a 50 point spread.
target_long_call_strike = closest_call_strike['Strike'] + 50 # TODO: Select long strike based on preferred price.
target_long_put_strike = closest_put_strike['Strike'] - 50 target_long_put_strike = short_put_contract['Strike'] - 50
target_long_call_strike = short_call_contract['Strike'] + 50
def closest_strike_by_strike(target_strike, option_chain, option_type): def closest_contract_by_strike(target_strike, option_chain, option_type):
options = option_chain[option_chain['Type'] == option_type].copy() options = option_chain[option_chain['Type'] == option_type].copy()
options['Strike Distance'] = abs(options['Strike'] - target_strike) options['Strike Distance'] = abs(options['Strike'] - target_strike)
return options.loc[options['Strike Distance'].idxmin()] return options.loc[options['Strike Distance'].idxmin()]
closest_long_call_strike = closest_strike_by_strike(target_long_call_strike, option_chain, CALL) long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
closest_long_put_strike = closest_strike_by_strike(target_long_put_strike, option_chain, PUT) long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
# The requested iron condor. # Build the iron condor.
print('Short Call Strike:', closest_call_strike['Strike']) short_put_strike = float(short_put_contract['Strike'])
print('Long Call Strike:', closest_long_call_strike['Strike']) long_put_strike = float(long_put_contract['Strike'])
print("Short Put Strike:", closest_put_strike['Strike']) short_call_strike = float(short_call_contract['Strike'])
print('Long Put Strike:', closest_long_put_strike['Strike']) long_call_strike = float(long_call_contract['Strike'])
put_spread_limit_price = short_put_contract['Bid'] - long_put_contract['Ask']
call_spread_limit_price = short_call_contract['Bid'] - long_call_contract['Ask']
print("Short Put Strike:", short_put_strike)
print('Long Put Strike:', long_put_strike)
print('Put Spread Limit Price:', put_spread_limit_price)
print('Short Call Strike:', short_call_strike)
print('Long Call Strike:', long_call_strike)
print('Call Spread Limit Price:', call_spread_limit_price)
put_credit_spread = create_credit_spread(
contract(PUT, short_put_strike),
contract(PUT, long_put_strike),
put_spread_limit_price, 1
)
call_credit_spread = create_credit_spread(
contract(CALL, short_call_strike),
contract(CALL, long_call_strike),
call_spread_limit_price, 1
)
put_spread_result = tastytrade_client.submit_order(tastytrade_account, put_credit_spread)
call_spread_result = tastytrade_client.submit_order(tastytrade_account, call_credit_spread)
print(put_spread_result)
print(call_spread_result)