moshferatu/options-automation
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Add some debug logs for tracking entry slippage based on the options chain since that data is coming from Tradestation while the order is submitted on IBKR

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moshferatu 2024-02-27 14:43:14 -08:00
parent d868192002
commit da58e44dda
2 changed files with 20 additions and 0 deletions
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8
iron_condor.py
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@ -119,6 +119,12 @@ def _enter_iron_condor(entry_time: datetime):
logging.info(f'Short Call Strike: {short_call_strike}')
logging.info(f'Long Call Strike: {long_call_strike}')
put_spread_price = options_chain.spread_mid_price(short_put_strike, long_put_strike, OptionType.PUT)
logging.info(f'Options Chain Put Spread Mid Price: {put_spread_price}')
call_spread_price = options_chain.spread_mid_price(short_call_strike, long_call_strike, OptionType.CALL)
logging.info(f'Options Chain Call Spread Mid Price: {call_spread_price}')
ibkr_client = Client()
trade = IronCondorTrade(symbol, credit_target, entry_time, float(getenv('STOP_MULTIPLE')))
@ -129,6 +135,7 @@ def _enter_iron_condor(entry_time: datetime):
logging.info(f'Call Spread Mid Price: {call_spread_order.mid_price}')
logging.info(f'Call Spread Fill Price: {call_spread_order.fill_price}')
logging.info(f'Call Spread Slippage: {call_spread_order.mid_price - call_spread_order.fill_price}')
logging.info(f'Options Chain Call Spread Slippage: {call_spread_price - call_spread_order.fill_price}')
monitor_spread_price(
trade = trade,
@ -145,6 +152,7 @@ def _enter_iron_condor(entry_time: datetime):
logging.info(f'Put Spread Mid Price: {put_spread_order.mid_price}')
logging.info(f'Put Spread Fill Price: {put_spread_order.fill_price}')
logging.info(f'Put Spread Slippage: {put_spread_order.mid_price - put_spread_order.fill_price}')
logging.info(f'Options Chain Put Spread Slippage: {put_spread_price - put_spread_order.fill_price}')
monitor_spread_price(
trade = trade,

12
options_chain.py
View File

@ -37,6 +37,18 @@ class OptionsChain:
options['Strike Distance'] = abs(options['Strike'] - target_strike)
return options.loc[options['Strike Distance'].idxmin()]
def spread_mid_price(self, near_strike: float, far_strike: float, option_type: OptionType):
options = self.options_by_type(option_type)
near_leg = options[options['Strike'] == near_strike]
far_leg = options[options['Strike'] == far_strike]
near_leg_mid = (near_leg['Ask'] + near_leg['Bid'].clip(lower = 0)) / 2.0
far_leg_mid = (far_leg['Ask'] + far_leg['Bid'].clip(lower = 0)) / 2.0
spread_mid = near_leg_mid.iloc[0] - far_leg_mid.iloc[0]
return spread_mid
def __repr__(self) -> str:
return self.options_chain.to_string()