Extract spread monitoring logic into its own file
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@ -2,19 +2,19 @@ import logging
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import nest_asyncio
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import traceback
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from dataclasses import replace
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from datetime import datetime
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from dotenv import load_dotenv
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from os import getenv
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from ibkr import Client, OptionLeg, OptionOrder
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from ibkr import Client, OptionLeg
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from ibkr.option_type import CALL, PUT
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from ibkr.order_action import BUY, SELL
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from iron_condor_trade import IronCondorTrade
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from monitor_spread import monitor_spread
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from options_chain import OptionsChain
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from option_type import OptionType
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from trades_table import insert_trade, update_trade
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from trades_table import insert_trade
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load_dotenv()
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@ -22,64 +22,6 @@ load_dotenv()
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# Necessary for monitoring spread prices asynchronously while interacting with the IBKR client.
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nest_asyncio.apply()
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def monitor_spread(trade: IronCondorTrade, spread_order: OptionOrder, client: Client):
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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Stop loss orders will not execute if trying to sell back a contract with no bid while paper trading.
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Therefore, the spread price must be monitored and the spread manually exited if the stop price is reached.
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If there is no bid for the long leg, only the short leg will be exited.
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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stop_price = spread_order.fill_price * trade.stop_multiple
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stopped_out = False
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short_leg = spread_order.legs[0]
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long_leg = spread_order.legs[1]
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market_data = {} # Stores real-time market data for each leg.
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def on_market_data_update(update_event):
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# Prevent the trade from being exited multiple times if there are other updates queued.
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# This will prevent unintentionally entering new trades.
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nonlocal stopped_out
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if stopped_out:
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return
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# Ensure there is market data for both legs before proceeding.
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if short_leg in market_data and long_leg in market_data:
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short_contract = market_data[short_leg]
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long_contract = market_data[long_leg]
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# If a contract has no bid -1.0 is returned, set it to 0 to avoid negative mid prices.
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mid_price_short = (max(short_contract.bid, 0) + short_contract.ask) / 2
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mid_price_long = (max(long_contract.bid, 0) + long_contract.ask) / 2
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current_spread_price = mid_price_short - mid_price_long
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if current_spread_price >= stop_price:
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stopped_out = True
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logging.info('Stop price reached or exceeded. Exiting trade.')
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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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exit_order = 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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exit_order = client.submit_option_order(short_leg_exit)
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logging.info('Short leg only exited.')
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exit_slippage = round(exit_order.fill_price - stop_price, 3)
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logging.info(f'Exit Slippage: {exit_slippage}')
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update_trade(trade, exit_order)
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# Unsubscribe from market data updates once the trade has exited.
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for leg in [short_leg, long_leg]:
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market_data[leg].updateEvent -= on_market_data_update
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for leg in [short_leg, long_leg]:
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option_contract = client.get_option_contract(leg)
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leg_market_data = client.get_market_data(option_contract, streaming = True)
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market_data[leg] = leg_market_data
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leg_market_data.updateEvent += on_market_data_update
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def enter_iron_condor(entry_time: datetime):
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logging.basicConfig(
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filename = f'iron_condor_{entry_time.strftime("%H%M")}.log',
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67
monitor_spread.py
Normal file
67
monitor_spread.py
Normal file
@ -0,0 +1,67 @@
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import logging
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from dataclasses import replace
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from ibkr import Client, OptionOrder
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from ibkr.order_action import BUY, SELL
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from iron_condor_trade import IronCondorTrade
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from trades_table import update_trade
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def monitor_spread(trade: IronCondorTrade, spread_order: OptionOrder, client: Client):
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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Stop loss orders will not execute if trying to sell back a contract with no bid while paper trading.
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Therefore, the spread price must be monitored and the spread manually exited if the stop price is reached.
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If there is no bid for the long leg, only the short leg will be exited.
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"""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""""
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stop_price = spread_order.fill_price * trade.stop_multiple
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stopped_out = False
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short_leg = spread_order.legs[0]
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long_leg = spread_order.legs[1]
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market_data = {} # Stores real-time market data for each leg.
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def on_market_data_update(update_event):
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# Prevent the trade from being exited multiple times if there are other updates queued.
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# This will prevent unintentionally entering new trades.
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nonlocal stopped_out
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if stopped_out:
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return
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# Ensure there is market data for both legs before proceeding.
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if short_leg in market_data and long_leg in market_data:
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short_contract = market_data[short_leg]
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long_contract = market_data[long_leg]
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# If a contract has no bid -1.0 is returned, set it to 0 to avoid negative mid prices.
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mid_price_short = (max(short_contract.bid, 0) + short_contract.ask) / 2
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mid_price_long = (max(long_contract.bid, 0) + long_contract.ask) / 2
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current_spread_price = mid_price_short - mid_price_long
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if current_spread_price >= stop_price:
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stopped_out = True
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logging.info('Stop price reached or exceeded. Exiting trade.')
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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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exit_order = 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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exit_order = client.submit_option_order(short_leg_exit)
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logging.info('Short leg only exited.')
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exit_slippage = round(exit_order.fill_price - stop_price, 3)
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logging.info(f'Exit Slippage: {exit_slippage}')
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update_trade(trade, exit_order)
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# Unsubscribe from market data updates once the trade has exited.
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for leg in [short_leg, long_leg]:
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market_data[leg].updateEvent -= on_market_data_update
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for leg in [short_leg, long_leg]:
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option_contract = client.get_option_contract(leg)
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leg_market_data = client.get_market_data(option_contract, streaming = True)
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market_data[leg] = leg_market_data
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leg_market_data.updateEvent += on_market_data_update
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