|
|
1e88f1903f
|
Utilize new VVIX regime filter when deciding whether to enter trades
|
2024-05-13 07:31:29 -07:00 |
|
|
|
8bba1541a1
|
Trivial fix of bare except clause
|
2024-04-21 07:57:32 -07:00 |
|
|
|
f3289a47c3
|
Trivial removal of unused exception assignment
|
2024-04-21 07:49:12 -07:00 |
|
|
|
64e632d9a2
|
Add fees and commissions to trade report
|
2024-03-17 04:56:57 -07:00 |
|
|
|
ebe3c700c9
|
Add live trading profit and difference between live trading and backtest profits to report
|
2024-03-09 05:45:04 -08:00 |
|
|
|
6f8aaa0c74
|
Remove options chain mid price debug logs
|
2024-03-08 11:59:34 -08:00 |
|
|
|
34cb5f3fe9
|
Convert trade report to markdown and include entry and exit slippage information
|
2024-03-06 06:32:34 -08:00 |
|
|
|
0bebd31c26
|
Replace trade filter condition with an assertion
|
2024-03-03 05:42:35 -08:00 |
|
|
|
8a0355cc98
|
Replace condition to check for successful connection to IBKR with assertion
|
2024-03-03 05:35:42 -08:00 |
|
|
|
84df97d96b
|
Extract spread monitoring logic into its own file
|
2024-02-29 05:45:59 -08:00 |
|
|
|
d7bce267ca
|
Rename method to monitor option spreads
|
2024-02-28 11:20:10 -08:00 |
|
|
|
2ca34e4004
|
Consolidate inputs required to monitor the spread into an option order
|
2024-02-28 11:19:10 -08:00 |
|
|
|
a9023f8594
|
Consolidate the inputs required when updating the trades table into an options order
|
2024-02-28 10:34:47 -08:00 |
|
|
|
19987f1114
|
Add the differences between the backtest and trade spread opening prices to the report
|
2024-02-28 05:43:20 -08:00 |
|
|
|
57b446924e
|
Update slippage analysis with exit slippage if any trades were stopped out on the specified date
|
2024-02-27 19:39:37 -08:00 |
|
|
|
da58e44dda
|
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
|
2024-02-27 14:43:14 -08:00 |
|
|
|
d868192002
|
Update trades table upon stopping out of a spread so that it includes the closing price and slippage incurred on exit
|
2024-02-27 10:52:07 -08:00 |
|
|
|
b6c0738e00
|
Add stop multiple to iron condor trade
|
2024-02-27 05:55:29 -08:00 |
|
|
|
5d75d0d635
|
Remove time zone information from entry time in order to facilitate database lookups where the timestamp is stored without this information
|
2024-02-26 08:14:16 -08:00 |
|
|
|
4c167a6d81
|
Add class for representing the information necessary to identify an iron condor trade in the trades table
|
2024-02-25 05:45:52 -08:00 |
|
|
|
013b6c6e8a
|
Trivial formatting changes
|
2024-02-24 05:38:44 -08:00 |
|
|
|
03ef60b303
|
Rename slippage calculation method
|
2024-02-24 05:14:31 -08:00 |
|
|
|
61811a97a9
|
Add script for computing the average slippage incurred for a given trading day
|
2024-02-23 14:09:36 -08:00 |
|
|
|
73d3a6145a
|
Ensure that all options in the chain are returned in the string representation
|
2024-02-22 13:15:15 -08:00 |
|
|
|
815fdfd043
|
Remove limit price logging as limit orders are not currently being used
|
2024-02-22 12:36:57 -08:00 |
|
|
|
4c0c72446a
|
Remove excessive tick-by-tick logging
|
2024-02-22 12:27:36 -08:00 |
|
|
|
2a79d0aec2
|
Utilize the new trades table utility to insert records upon iron condor trade entry
|
2024-02-22 12:23:59 -08:00 |
|
|
|
c1dfb8f432
|
Add utility for interacting with the trades table
|
2024-02-22 12:23:26 -08:00 |
|
|
|
ffc281fcc2
|
Round exit slippage calculation as well
|
2024-02-21 13:02:36 -08:00 |
|
|
|
b26c4068ac
|
Fix broken entry slippage calculation
|
2024-02-21 08:51:12 -08:00 |
|
|
|
f3c99b3aa0
|
Ensure that entry slippage is always a positive number
|
2024-02-21 08:50:32 -08:00 |
|
|
|
09ba7dfed3
|
Round entry slippage to 3 decimal places when inserting into the trades table
|
2024-02-21 08:44:58 -08:00 |
|
|
|
5807aa076c
|
Log exit slippage incurred when stopping out of a trade
|
2024-02-21 08:35:27 -08:00 |
|
|
|
0f12e6932c
|
Add entry slippage to call and put spread details before insertion into the trades table
|
2024-02-20 14:33:31 -08:00 |
|
|
|
df932568b4
|
Track the spread mid prices and use them to obtain a more accurate measure of slippage
|
2024-02-20 08:46:00 -08:00 |
|
|
|
c723cc3ecc
|
Trivial removal of an unused variable
|
2024-02-19 14:32:00 -08:00 |
|
|
|
353df04d64
|
Trivial formatting change
|
2024-02-19 14:31:09 -08:00 |
|
|
|
577aa73ec3
|
Refactor order submission to utilize new IBKR client
|
2024-02-19 14:29:49 -08:00 |
|
|
|
6426fd2f63
|
Update stop loss order submission based on recent changes to the IBKR client
|
2024-02-19 12:51:39 -08:00 |
|
|
|
e91cbb696b
|
Simplify IBKR client creation by removing optional host and port input parameters
|
2024-02-19 08:53:18 -08:00 |
|
|
|
cfdfb1421f
|
Retrieve strategy name from trade results table
|
2024-02-17 05:56:42 -08:00 |
|
|
|
aedbedc40f
|
Another trivial formatting change
|
2024-02-14 12:35:38 -08:00 |
|
|
|
a72d8aa0ab
|
Trivial formatting change
|
2024-02-14 12:34:34 -08:00 |
|
|
|
c05bed04b9
|
Pass the entry time to the iron condor trade processes
|
2024-02-14 08:29:37 -08:00 |
|
|
|
786364a8af
|
Filter trading days according to the current volatility regime
|
2024-02-13 14:30:22 -08:00 |
|
|
|
9b6405dc30
|
Add example of options chain usage
|
2024-02-13 12:19:30 -08:00 |
|
|
|
97c5bd982f
|
Trivial change to utilize existing expiration variable when retrieving the options chain
|
2024-02-13 10:51:42 -08:00 |
|
|
|
9ce9067e5d
|
Provide the entry time to the iron condor entry script in order to be explicit about the expected entry time of each trade
|
2024-02-13 10:50:50 -08:00 |
|
|
|
b5168bd92d
|
Select short strikes based on target credit
|
2024-02-13 08:49:02 -08:00 |
|
|
|
a0f4b62f65
|
Implement a string representation of the options chain
|
2024-02-13 08:36:20 -08:00 |
|
