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Refactor order submission to utilize new IBKR client

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moshferatu 2024-02-19 14:29:49 -08:00
parent 6426fd2f63
commit 577aa73ec3
1 changed files with 43 additions and 38 deletions
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65
iron_condor.py
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@ -60,10 +60,10 @@ def monitor_spread_price(short_leg: OptionLeg, long_leg: OptionLeg, stop_price:
short_leg_exit = replace(short_leg, action = BUY if short_leg.action == SELL else SELL) 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) long_leg_exit = replace(long_leg, action = BUY if long_leg.action == SELL else SELL)
if long_contract.bid > 0: if long_contract.bid > 0:
client.submit_combo_option_order([short_leg_exit, long_leg_exit], quantity) client.submit_spread_order(short_leg_exit, long_leg_exit)
logging.info('Whole spread exited.') logging.info('Whole spread exited.')
else: else:
client.submit_single_option_order(short_leg_exit, quantity) client.submit_option_order(short_leg_exit)
logging.info('Short leg only exited.') logging.info('Short leg only exited.')
# Unsubscribe from market data updates once the trade has exited. # Unsubscribe from market data updates once the trade has exited.
@ -121,51 +121,57 @@ def _enter_iron_condor(entry_time: datetime):
ibkr_client = Client() ibkr_client = Client()
trade_records = []
call_spread_details = {}
put_spread_details = {}
short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol) 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) 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], quantity) call_spread_order = ibkr_client.submit_spread_order(short_call_leg, long_call_leg)
while not call_spread_order.isDone(): call_spread_limit = call_spread_order.limit_price
ibkr_client.ib.waitOnUpdate() call_spread_fill = call_spread_order.fill_price
logging.info(f'Call Spread Limit Price: {call_spread_limit}')
logging.info(f'Call Spread Fill Price: {call_spread_fill}')
logging.info(f'Call Spread Slippage: {call_spread_fill - call_spread_limit}')
if call_spread_order.orderStatus.status == 'Filled': monitor_spread_price(
fill_price = abs(call_spread_order.orderStatus.avgFillPrice) short_leg = short_call_leg,
logging.info(f'Call Spread Fill Price: {fill_price}') long_leg = long_call_leg,
monitor_spread_price(short_call_leg, long_call_leg, fill_price * 2, ibkr_client) stop_price = call_spread_fill * 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)
put_spread_limit = put_spread_order.limit_price
put_spread_fill = put_spread_order.fill_price
logging.info(f'Put Spread Limit Price: {put_spread_limit}')
logging.info(f'Put Spread Fill Price: {put_spread_fill}')
logging.info(f'Put Spread Slippage: {put_spread_fill - put_spread_limit}')
monitor_spread_price(
short_leg = short_put_leg,
long_leg = long_put_leg,
stop_price = put_spread_fill * 2,
client = ibkr_client
)
call_spread_details = { call_spread_details = {
'Legs': [ 'Legs': [
{'Action': 'SELL', 'Strike': short_call_strike, 'Type': 'CALL'}, {'Action': 'SELL', 'Strike': short_call_strike, 'Type': 'CALL'},
{'Action': 'BUY', 'Strike': long_call_strike, 'Type': 'CALL'} {'Action': 'BUY', 'Strike': long_call_strike, 'Type': 'CALL'}
], ],
'Open': fill_price 'Open': call_spread_fill
} }
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], quantity)
while not put_spread_order.isDone():
ibkr_client.ib.waitOnUpdate()
if put_spread_order.orderStatus.status == 'Filled':
fill_price = abs(put_spread_order.orderStatus.avgFillPrice)
logging.info(f'Put Spread Fill Price: {fill_price}')
monitor_spread_price(short_put_leg, long_put_leg, fill_price * 2, ibkr_client)
put_spread_details = { put_spread_details = {
'Legs': [ 'Legs': [
{'Action': 'SELL', 'Strike': short_put_strike, 'Type': 'PUT'}, {'Action': 'SELL', 'Strike': short_put_strike, 'Type': 'PUT'},
{'Action': 'BUY', 'Strike': long_put_strike, 'Type': 'PUT'} {'Action': 'BUY', 'Strike': long_put_strike, 'Type': 'PUT'}
], ],
'Open': fill_price 'Open': put_spread_fill
} }
trade_records.append({ upsert(pd.DataFrame([{
'Date': datetime.now().date(), 'Date': datetime.now().date(),
'Symbol': symbol, 'Symbol': symbol,
'Strategy': f'${credit_target:.2f} Iron Condor', 'Strategy': f'${credit_target:.2f} Iron Condor',
@ -173,8 +179,7 @@ def _enter_iron_condor(entry_time: datetime):
'Exit Time': None, 'Exit Time': None,
'Spreads': [call_spread_details, put_spread_details], 'Spreads': [call_spread_details, put_spread_details],
'Profit': None 'Profit': None
}) }]))
upsert(pd.DataFrame(trade_records))
# TODO: Add a shutdown hook. # TODO: Add a shutdown hook.
ibkr_client.run_event_loop() ibkr_client.run_event_loop()