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Track the spread mid prices and use them to obtain a more accurate measure of slippage

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moshferatu 2024-02-20 08:46:00 -08:00
parent c723cc3ecc
commit df932568b4
1 changed files with 6 additions and 2 deletions
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8
iron_condor.py
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@ -123,11 +123,13 @@ def _enter_iron_condor(entry_time: datetime):
long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol) long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)
call_spread_order = ibkr_client.submit_spread_order(short_call_leg, long_call_leg) call_spread_order = ibkr_client.submit_spread_order(short_call_leg, long_call_leg)
call_spread_mid = call_spread_order.mid_price
call_spread_limit = call_spread_order.limit_price call_spread_limit = call_spread_order.limit_price
call_spread_fill = call_spread_order.fill_price call_spread_fill = call_spread_order.fill_price
logging.info(f'Call Spread Mid Price: {call_spread_mid}')
logging.info(f'Call Spread Limit Price: {call_spread_limit}') logging.info(f'Call Spread Limit Price: {call_spread_limit}')
logging.info(f'Call Spread Fill Price: {call_spread_fill}') logging.info(f'Call Spread Fill Price: {call_spread_fill}')
logging.info(f'Call Spread Slippage: {call_spread_fill - call_spread_limit}') logging.info(f'Call Spread Slippage: {call_spread_fill - call_spread_mid}')
monitor_spread_price( monitor_spread_price(
short_leg = short_call_leg, short_leg = short_call_leg,
@ -140,11 +142,13 @@ def _enter_iron_condor(entry_time: datetime):
long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol) long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)
put_spread_order = ibkr_client.submit_spread_order(short_put_leg, long_put_leg) put_spread_order = ibkr_client.submit_spread_order(short_put_leg, long_put_leg)
put_spread_mid = put_spread_order.mid_price
put_spread_limit = put_spread_order.limit_price put_spread_limit = put_spread_order.limit_price
put_spread_fill = put_spread_order.fill_price put_spread_fill = put_spread_order.fill_price
logging.info(f'Put Spread Mid Price: {put_spread_mid}')
logging.info(f'Put Spread Limit Price: {put_spread_limit}') logging.info(f'Put Spread Limit Price: {put_spread_limit}')
logging.info(f'Put Spread Fill Price: {put_spread_fill}') logging.info(f'Put Spread Fill Price: {put_spread_fill}')
logging.info(f'Put Spread Slippage: {put_spread_fill - put_spread_limit}') logging.info(f'Put Spread Slippage: {put_spread_fill - put_spread_mid}')
monitor_spread_price( monitor_spread_price(
short_leg = short_put_leg, short_leg = short_put_leg,