From 786364a8afe206d7cd6ec6e15703694c6bc89dbf Mon Sep 17 00:00:00 2001
From: moshferatu <gitea@steveharris.sh>
Date: Tue, 13 Feb 2024 14:30:22 -0800
Subject: [PATCH] Filter trading days according to the current volatility
 regime

---
 iron_condor_scheduler.py | 46 +++++++++++++++++++++++-----------------
 1 file changed, 27 insertions(+), 19 deletions(-)

diff --git a/iron_condor_scheduler.py b/iron_condor_scheduler.py
index 6ae4892..5ebd386 100644
--- a/iron_condor_scheduler.py
+++ b/iron_condor_scheduler.py
@@ -1,6 +1,7 @@
 import schedule
 import time
 
+from backtesting.filter import VolatilityRegimeFilter
 from datetime import datetime
 from dotenv import load_dotenv
 from ibkr import Client
@@ -13,6 +14,8 @@ load_dotenv()
 
 eastern_timezone = 'America/New_York'
 
+trade_filters = [VolatilityRegimeFilter()]
+
 def enter_trade():
     job_process = Process(target = enter_iron_condor)
     job_process.start()
@@ -27,27 +30,32 @@ def connection_successful():
         return False
 
 if __name__ == '__main__':
-    if connection_successful():
-        print('Connected to IBKR.')
+    now = datetime.now(timezone(eastern_timezone))
 
-        now = datetime.now(timezone(eastern_timezone))
+    if all(filter.trade_allowed(now) for filter in trade_filters):
+        print('Trade filters allow for trading today.')
 
-        entry_times = getenv('ENTRY_TIMES').split(',')
-        for entry_time in entry_times:
-            schedule_time = datetime.strptime(entry_time, '%H:%M:%S').replace(
-                year = now.year, 
-                month = now.month, 
-                day = now.day,
-                tzinfo = now.tzinfo
-            )
+        if connection_successful():
+            print('Connected to IBKR.')
 
-            # Prevent scheduling for times that have already elapsed.
-            if schedule_time > now:
-                print(f'Scheduling for {entry_time}.')
-                schedule.every().day.at(entry_time, eastern_timezone).do(enter_trade, schedule_time)
+            entry_times = getenv('ENTRY_TIMES').split(',')
+            for entry_time in entry_times:
+                schedule_time = datetime.strptime(entry_time, '%H:%M:%S').replace(
+                    year = now.year, 
+                    month = now.month, 
+                    day = now.day,
+                    tzinfo = now.tzinfo
+                )
 
-        while True:
-            schedule.run_pending()
-            time.sleep(1)
+                # Prevent scheduling for times that have already elapsed.
+                if schedule_time > now:
+                    print(f'Scheduling for {entry_time}.')
+                    schedule.every().day.at(entry_time, eastern_timezone).do(enter_trade, schedule_time)
+
+            while True:
+                schedule.run_pending()
+                time.sleep(1)
+        else:
+            print('ERROR: Cannot connect to IBKR. Ensure that TWS / Gateway is running.')
     else:
-        print('ERROR: Cannot connect to IBKR. Ensure that TWS / Gateway is running.')
\ No newline at end of file
+        print('Trade filters prevent trading today.')
\ No newline at end of file