moshferatu/options-automation
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Log exit slippage incurred when stopping out of a trade

Browse Source
This commit is contained in:
moshferatu 2024-02-21 08:35:27 -08:00
parent 0f12e6932c
commit 5807aa076c
1 changed files with 4 additions and 2 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

6
iron_condor.py
View File

@ -58,12 +58,14 @@ 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)
long_leg_exit = replace(long_leg, action = BUY if long_leg.action == SELL else SELL)
if long_contract.bid > 0:
client.submit_spread_order(short_leg_exit, long_leg_exit)
exit_order = client.submit_spread_order(short_leg_exit, long_leg_exit)
logging.info('Whole spread exited.')
else:
client.submit_option_order(short_leg_exit)
exit_order = client.submit_option_order(short_leg_exit)
logging.info('Short leg only exited.')
logging.info(f'Exit Slippage: {exit_order.fill_price - stop_price}')
# 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