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Select short strikes based on target credit

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moshferatu 2024-02-13 08:49:02 -08:00
parent a0f4b62f65
commit b5168bd92d
1 changed files with 10 additions and 23 deletions
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33
iron_condor.py
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@ -10,9 +10,10 @@ from dotenv import load_dotenv
from ibkr import Client, OptionLeg
from ibkr.option_type import CALL, PUT
from ibkr.order_action import BUY, SELL
from options_chain import OptionsChain
from option_type import OptionType
from os import getenv
from pytz import timezone
from tradestation import TradeStationClient
load_dotenv()
@ -96,35 +97,21 @@ def _enter_iron_condor():
# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
symbol, sub_symbol = 'SPX', 'SPXW'
expiration = datetime.now()
tradestation_client = TradeStationClient(getenv('TRADESTATION_REFRESH_TOKEN'))
option_chain = tradestation_client.get_options_chain('$SPXW.X', expiration)
logging.info(option_chain)
options_chain = OptionsChain('$SPXW.X', datetime.now())
logging.info(options_chain)
target_delta = 0.10
def closest_contract_by_delta(target_delta, option_chain, option_type):
options = option_chain[option_chain['Type'] == option_type].copy()
options['Delta Distance'] = abs(options['Delta'] - target_delta)
return options.loc[options['Delta Distance'].idxmin()]
# Find the strikes that minimize the distance to the target delta.
short_put_contract = closest_contract_by_delta(-target_delta, option_chain, 'PUT')
short_call_contract = closest_contract_by_delta(target_delta, option_chain, 'CALL')
credit_target = float(getenv('CREDIT_TARGET'))
short_put_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.PUT)
short_call_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.CALL)
# When selecting long strikes, minimize the distance to a 50 point spread.
# TODO: Select long strike based on preferred price.
target_long_put_strike = short_put_contract['Strike'] - 50
target_long_call_strike = short_call_contract['Strike'] + 50
def closest_contract_by_strike(target_strike, option_chain, option_type):
options = option_chain[option_chain['Type'] == option_type].copy()
options['Strike Distance'] = abs(options['Strike'] - target_strike)
return options.loc[options['Strike Distance'].idxmin()]
long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, 'PUT')
long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, 'CALL')
long_put_contract = options_chain.closest_contract_by_strike(target_long_put_strike, OptionType.PUT)
long_call_contract = options_chain.closest_contract_by_strike(target_long_call_strike, OptionType.CALL)
# Build the iron condor.
short_put_strike = float(short_put_contract['Strike'])
@ -188,7 +175,7 @@ def _enter_iron_condor():
trade_records.append({
'Date': now.date(),
'Symbol': symbol,
'Strategy': f'{int(target_delta * 100)} Delta Iron Condor',
'Strategy': f'${credit_target:.2f} Iron Condor',
'Entry Time': now,
'Exit Time': None,
'Spreads': [call_spread_details, put_spread_details],