Rename iron condor scripts
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parent
80a782aefc
commit
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196
iron_condor.py
196
iron_condor.py
@ -1,153 +1,89 @@
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from datetime import datetime, timezone
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from datetime import datetime
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from dotenv import load_dotenv
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from dotenv import load_dotenv
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from ibkr import Client
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from ibkr import Client, OptionLeg
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from option_type import CALL, PUT
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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 os import getenv
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from os import getenv
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from tastytrade import Tastytrade
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from tastytrade.order import create_credit_spread, create_stop_limit_order
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from tastytrade.symbology import zero_dte_spx_contract as contract
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from time import sleep
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load_dotenv()
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load_dotenv()
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ibkr_host = getenv('IBKR_HOST')
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def enter_iron_condor():
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ibkr_port = getenv('IBKR_PORT')
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ibkr_host = getenv('IBKR_HOST')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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ibkr_port = getenv('IBKR_PORT')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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tastytrade_account = getenv('TASTYTRADE_ACCOUNT')
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symbol, sub_symbol = 'SPX', 'SPXW'
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tastytrade_username = getenv('TASTYTRADE_USERNAME')
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expiration = datetime.now()
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tastytrade_password = getenv('TASTYTRADE_PASSWORD')
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tastytrade_client = Tastytrade(tastytrade_username, tastytrade_password)
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tastytrade_client.login()
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underlying_ticker = ibkr_client.get_ticker('SPX', 'CBOE')
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underlying_ticker = ibkr_client.get_ticker(symbol, 'CBOE')
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current_price = underlying_ticker.last
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current_price = underlying_ticker.last
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# Filtering strikes based on distance from current price speeds up the request.
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# Filtering strikes based on distance from current price speeds up the request.
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max_strike_distance = 100
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max_strike_distance = 100
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def contract_filter(contract):
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def contract_filter(contract):
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if contract.right == 'C':
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if contract.right == CALL:
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return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
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return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
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return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
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return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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option_chain = ibkr_client.get_option_chain('SPX', datetime.now(), sub_symbol = 'SPXW', contract_filter = contract_filter)
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option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
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print(option_chain)
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print(option_chain)
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target_delta = 0.20
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target_delta = 0.10
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def closest_contract_by_delta(target_delta, option_chain, option_type):
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def closest_contract_by_delta(target_delta, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Delta Distance'] = abs(options['Delta'] - target_delta)
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options['Delta Distance'] = abs(options['Delta'] - target_delta)
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return options.loc[options['Delta Distance'].idxmin()]
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return options.loc[options['Delta Distance'].idxmin()]
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# Find the strikes that minimize the distance to the target delta.
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# Find the strikes that minimize the distance to the target delta.
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short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
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short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
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short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
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short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# TODO: Select long strike based on preferred price.
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# TODO: Select long strike based on preferred price.
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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def closest_contract_by_strike(target_strike, option_chain, option_type):
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def closest_contract_by_strike(target_strike, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Strike Distance'] = abs(options['Strike'] - target_strike)
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options['Strike Distance'] = abs(options['Strike'] - target_strike)
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return options.loc[options['Strike Distance'].idxmin()]
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return options.loc[options['Strike Distance'].idxmin()]
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long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
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long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
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long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
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long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
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# Build the iron condor.
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# Build the iron condor.
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short_put_strike = float(short_put_contract['Strike'])
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short_put_strike = float(short_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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put_spread_limit_price = short_put_contract['Bid'] - long_put_contract['Ask'] - 0.05 # Yield to the MMs.
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print('Short Put Strike:', short_put_strike)
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call_spread_limit_price = short_call_contract['Bid'] - long_call_contract['Ask'] - 0.05
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print('Long Put Strike:', long_put_strike)
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print('Short Call Strike:', short_call_strike)
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print('Long Call Strike:', long_call_strike)
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print("Short Put Strike:", short_put_strike)
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short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol)
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print('Long Put Strike:', long_put_strike)
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long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)
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print('Put Spread Limit Price:', put_spread_limit_price)
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print('Short Call Strike:', short_call_strike)
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print('Long Call Strike:', long_call_strike)
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print('Call Spread Limit Price:', call_spread_limit_price)
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put_credit_spread = create_credit_spread(
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call_spread_order = ibkr_client.submit_combo_option_order([short_call_leg, long_call_leg], 1)
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contract(PUT, short_put_strike),
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while not call_spread_order.isDone():
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contract(PUT, long_put_strike),
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ibkr_client.ib.waitOnUpdate()
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put_spread_limit_price, 1
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)
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call_credit_spread = create_credit_spread(
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contract(CALL, short_call_strike),
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contract(CALL, long_call_strike),
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call_spread_limit_price, 1
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)
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entry_time = datetime.now(timezone.utc)
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if call_spread_order.orderStatus.status == 'Filled':
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fill_price = call_spread_order.orderStatus.avgFillPrice
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print('Call Spread Fill Price: ', fill_price)
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ibkr_client.submit_stop_loss_order(call_spread_order, fill_price * 2)
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put_spread_result = tastytrade_client.submit_order(tastytrade_account, put_credit_spread)
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short_put_leg = OptionLeg(symbol, expiration, short_put_strike, PUT, SELL, sub_symbol)
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call_spread_result = tastytrade_client.submit_order(tastytrade_account, call_credit_spread)
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long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)
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print(put_spread_result)
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put_spread_order = ibkr_client.submit_combo_option_order([short_put_leg, long_put_leg], 1)
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print(call_spread_result)
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while not put_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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def spread_fill_price(short_position, long_position):
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if put_spread_order.orderStatus.status == 'Filled':
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short_leg_price = float(short_position['average-open-price'])
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fill_price = put_spread_order.orderStatus.avgFillPrice
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long_leg_price = float(long_position['average-open-price'])
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print('Put Spread Fill Price: ', fill_price)
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return short_leg_price - long_leg_price
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ibkr_client.submit_stop_loss_order(put_spread_order, fill_price * 2)
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def fill_time(position):
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return datetime.strptime(position["created-at"], '%Y-%m-%dT%H:%M:%S.%f%z')
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def wait_for_fill():
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while True:
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positions = tastytrade_client.get_positions(tastytrade_account)
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positions = positions.get('data', {}).get('items', []) # TODO: Client should handle this.
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print(positions)
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# Consider only positions created after the order was submitted.
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new_positions = [position for position in positions if fill_time(position) > entry_time]
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if len(new_positions) == 4: # Assuming no other positions, 4 legs in an iron condor.
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short_put = next(p for p in new_positions if str(int(short_put_strike)) in p['symbol'])
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long_put = next(p for p in new_positions if str(int(long_put_strike)) in p['symbol'])
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short_call = next(p for p in new_positions if str(int(short_call_strike)) in p['symbol'])
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long_call = next(p for p in new_positions if str(int(long_call_strike)) in p['symbol'])
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put_spread_fill_price = spread_fill_price(short_put, long_put)
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call_spread_fill_price = spread_fill_price(short_call, long_call)
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return put_spread_fill_price, call_spread_fill_price
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# If not all positions are filled, sleep for a few seconds, then retry.
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sleep(3)
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put_spread_fill_price, call_spread_fill_price = wait_for_fill()
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print(f'Put Spread Fill Price: {put_spread_fill_price}')
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print(f'Call Spread Fill Price: {call_spread_fill_price}')
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put_spread_stop = put_spread_fill_price * 2.0
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put_spread_stop_order = create_stop_limit_order(
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contract(PUT, short_put_strike),
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contract(PUT, long_put_strike),
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stop_trigger = put_spread_stop - 0.25, # Allow for slippage.
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limit_price = put_spread_stop,
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quantity = 1
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)
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call_spread_stop = call_spread_fill_price * 2.0
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call_spread_stop_order = create_stop_limit_order(
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contract(CALL, short_call_strike),
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contract(CALL, long_call_strike),
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stop_trigger = call_spread_stop - 0.25, # Allow for slippage.
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limit_price = call_spread_stop,
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quantity = 1
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)
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put_spread_stop_result = tastytrade_client.submit_order(tastytrade_account, put_spread_stop_order)
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call_spread_stop_result = tastytrade_client.submit_order(tastytrade_account, call_spread_stop_order)
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print(put_spread_stop_result)
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print(call_spread_stop_result)
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@ -1,88 +0,0 @@
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from datetime import datetime
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from dotenv import load_dotenv
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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 os import getenv
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load_dotenv()
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ibkr_host = getenv('IBKR_HOST')
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ibkr_port = getenv('IBKR_PORT')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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symbol, sub_symbol = 'SPX', 'SPXW'
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expiration = datetime.now()
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underlying_ticker = ibkr_client.get_ticker(symbol, 'CBOE')
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current_price = underlying_ticker.last
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# Filtering strikes based on distance from current price speeds up the request.
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max_strike_distance = 100
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def contract_filter(contract):
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if contract.right == CALL:
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return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
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return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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option_chain = ibkr_client.get_option_chain(symbol, expiration, sub_symbol = sub_symbol, contract_filter = contract_filter)
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print(option_chain)
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target_delta = 0.10
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def closest_contract_by_delta(target_delta, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Delta Distance'] = abs(options['Delta'] - target_delta)
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return options.loc[options['Delta Distance'].idxmin()]
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# Find the strikes that minimize the distance to the target delta.
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short_put_contract = closest_contract_by_delta(-target_delta, option_chain, PUT)
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short_call_contract = closest_contract_by_delta(target_delta, option_chain, CALL)
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# TODO: Select long strike based on preferred price.
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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def closest_contract_by_strike(target_strike, option_chain, option_type):
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options = option_chain[option_chain['Type'] == option_type].copy()
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options['Strike Distance'] = abs(options['Strike'] - target_strike)
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return options.loc[options['Strike Distance'].idxmin()]
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long_put_contract = closest_contract_by_strike(target_long_put_strike, option_chain, PUT)
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long_call_contract = closest_contract_by_strike(target_long_call_strike, option_chain, CALL)
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# Build the iron condor.
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short_put_strike = float(short_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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print('Short Put Strike:', short_put_strike)
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print('Long Put Strike:', long_put_strike)
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print('Short Call Strike:', short_call_strike)
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print('Long Call Strike:', long_call_strike)
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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], 1)
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while not call_spread_order.isDone():
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ibkr_client.ib.waitOnUpdate()
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if call_spread_order.orderStatus.status == 'Filled':
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fill_price = call_spread_order.orderStatus.avgFillPrice
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print('Call Spread Fill Price: ', fill_price)
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ibkr_client.submit_stop_loss_order(call_spread_order, fill_price * 2)
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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], 1)
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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 = put_spread_order.orderStatus.avgFillPrice
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print('Put Spread Fill Price: ', fill_price)
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ibkr_client.submit_stop_loss_order(put_spread_order, fill_price * 2)
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153
iron_condor_tastytrade.py
Normal file
153
iron_condor_tastytrade.py
Normal file
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from datetime import datetime, timezone
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from dotenv import load_dotenv
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from ibkr import Client
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from option_type import CALL, PUT
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from os import getenv
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from tastytrade import Tastytrade
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from tastytrade.order import create_credit_spread, create_stop_limit_order
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from tastytrade.symbology import zero_dte_spx_contract as contract
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from time import sleep
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load_dotenv()
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ibkr_host = getenv('IBKR_HOST')
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ibkr_port = getenv('IBKR_PORT')
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ibkr_client = Client(host = ibkr_host, port = ibkr_port)
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tastytrade_account = getenv('TASTYTRADE_ACCOUNT')
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tastytrade_username = getenv('TASTYTRADE_USERNAME')
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tastytrade_password = getenv('TASTYTRADE_PASSWORD')
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tastytrade_client = Tastytrade(tastytrade_username, tastytrade_password)
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tastytrade_client.login()
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underlying_ticker = ibkr_client.get_ticker('SPX', 'CBOE')
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current_price = underlying_ticker.last
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||||||
|
|
||||||
|
# Filtering strikes based on distance from current price speeds up the request.
|
||||||
|
max_strike_distance = 100
|
||||||
|
def contract_filter(contract):
|
||||||
|
if contract.right == 'C':
|
||||||
|
return contract.strike <= (current_price + max_strike_distance) and contract.strike >= current_price
|
||||||
|
return contract.strike <= current_price and contract.strike >= (current_price - max_strike_distance)
|
||||||
|
|
||||||
|
# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
|
||||||
|
option_chain = ibkr_client.get_option_chain('SPX', datetime.now(), sub_symbol = 'SPXW', contract_filter = contract_filter)
|
||||||
|
print(option_chain)
|
||||||
|
|
||||||
|
target_delta = 0.20
|
||||||
|
|
||||||
|
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)
|
||||||
|
|
||||||
|
# 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)
|
||||||
|
|
||||||
|
# Build the iron condor.
|
||||||
|
short_put_strike = float(short_put_contract['Strike'])
|
||||||
|
long_put_strike = float(long_put_contract['Strike'])
|
||||||
|
short_call_strike = float(short_call_contract['Strike'])
|
||||||
|
long_call_strike = float(long_call_contract['Strike'])
|
||||||
|
|
||||||
|
put_spread_limit_price = short_put_contract['Bid'] - long_put_contract['Ask'] - 0.05 # Yield to the MMs.
|
||||||
|
call_spread_limit_price = short_call_contract['Bid'] - long_call_contract['Ask'] - 0.05
|
||||||
|
|
||||||
|
print("Short Put Strike:", short_put_strike)
|
||||||
|
print('Long Put Strike:', long_put_strike)
|
||||||
|
print('Put Spread Limit Price:', put_spread_limit_price)
|
||||||
|
print('Short Call Strike:', short_call_strike)
|
||||||
|
print('Long Call Strike:', long_call_strike)
|
||||||
|
print('Call Spread Limit Price:', call_spread_limit_price)
|
||||||
|
|
||||||
|
put_credit_spread = create_credit_spread(
|
||||||
|
contract(PUT, short_put_strike),
|
||||||
|
contract(PUT, long_put_strike),
|
||||||
|
put_spread_limit_price, 1
|
||||||
|
)
|
||||||
|
call_credit_spread = create_credit_spread(
|
||||||
|
contract(CALL, short_call_strike),
|
||||||
|
contract(CALL, long_call_strike),
|
||||||
|
call_spread_limit_price, 1
|
||||||
|
)
|
||||||
|
|
||||||
|
entry_time = datetime.now(timezone.utc)
|
||||||
|
|
||||||
|
put_spread_result = tastytrade_client.submit_order(tastytrade_account, put_credit_spread)
|
||||||
|
call_spread_result = tastytrade_client.submit_order(tastytrade_account, call_credit_spread)
|
||||||
|
|
||||||
|
print(put_spread_result)
|
||||||
|
print(call_spread_result)
|
||||||
|
|
||||||
|
def spread_fill_price(short_position, long_position):
|
||||||
|
short_leg_price = float(short_position['average-open-price'])
|
||||||
|
long_leg_price = float(long_position['average-open-price'])
|
||||||
|
return short_leg_price - long_leg_price
|
||||||
|
|
||||||
|
def fill_time(position):
|
||||||
|
return datetime.strptime(position["created-at"], '%Y-%m-%dT%H:%M:%S.%f%z')
|
||||||
|
|
||||||
|
def wait_for_fill():
|
||||||
|
while True:
|
||||||
|
positions = tastytrade_client.get_positions(tastytrade_account)
|
||||||
|
positions = positions.get('data', {}).get('items', []) # TODO: Client should handle this.
|
||||||
|
print(positions)
|
||||||
|
# Consider only positions created after the order was submitted.
|
||||||
|
new_positions = [position for position in positions if fill_time(position) > entry_time]
|
||||||
|
|
||||||
|
if len(new_positions) == 4: # Assuming no other positions, 4 legs in an iron condor.
|
||||||
|
short_put = next(p for p in new_positions if str(int(short_put_strike)) in p['symbol'])
|
||||||
|
long_put = next(p for p in new_positions if str(int(long_put_strike)) in p['symbol'])
|
||||||
|
short_call = next(p for p in new_positions if str(int(short_call_strike)) in p['symbol'])
|
||||||
|
long_call = next(p for p in new_positions if str(int(long_call_strike)) in p['symbol'])
|
||||||
|
|
||||||
|
put_spread_fill_price = spread_fill_price(short_put, long_put)
|
||||||
|
call_spread_fill_price = spread_fill_price(short_call, long_call)
|
||||||
|
|
||||||
|
return put_spread_fill_price, call_spread_fill_price
|
||||||
|
|
||||||
|
# If not all positions are filled, sleep for a few seconds, then retry.
|
||||||
|
sleep(3)
|
||||||
|
|
||||||
|
put_spread_fill_price, call_spread_fill_price = wait_for_fill()
|
||||||
|
|
||||||
|
print(f'Put Spread Fill Price: {put_spread_fill_price}')
|
||||||
|
print(f'Call Spread Fill Price: {call_spread_fill_price}')
|
||||||
|
|
||||||
|
put_spread_stop = put_spread_fill_price * 2.0
|
||||||
|
put_spread_stop_order = create_stop_limit_order(
|
||||||
|
contract(PUT, short_put_strike),
|
||||||
|
contract(PUT, long_put_strike),
|
||||||
|
stop_trigger = put_spread_stop - 0.25, # Allow for slippage.
|
||||||
|
limit_price = put_spread_stop,
|
||||||
|
quantity = 1
|
||||||
|
)
|
||||||
|
|
||||||
|
call_spread_stop = call_spread_fill_price * 2.0
|
||||||
|
call_spread_stop_order = create_stop_limit_order(
|
||||||
|
contract(CALL, short_call_strike),
|
||||||
|
contract(CALL, long_call_strike),
|
||||||
|
stop_trigger = call_spread_stop - 0.25, # Allow for slippage.
|
||||||
|
limit_price = call_spread_stop,
|
||||||
|
quantity = 1
|
||||||
|
)
|
||||||
|
|
||||||
|
put_spread_stop_result = tastytrade_client.submit_order(tastytrade_account, put_spread_stop_order)
|
||||||
|
call_spread_stop_result = tastytrade_client.submit_order(tastytrade_account, call_spread_stop_order)
|
||||||
|
|
||||||
|
print(put_spread_stop_result)
|
||||||
|
print(call_spread_stop_result)
|
||||||
Loading…
Reference in New Issue
Block a user