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