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iron_condor.py
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@ -1,19 +1,18 @@
from datetime import datetime from datetime import datetime
from dotenv import load_dotenv from dotenv import load_dotenv
from ibkr import Client from ibkr import Client
from ibkr.option_type import CALL, PUT
from os import getenv from os import getenv
from tastytrade import Tastytrade from tastytrade import Tastytrade
load_dotenv() load_dotenv()
ibkr_host = getenv('IBKR_HOST') ibkr_host = getenv("IBKR_HOST")
ibkr_port = getenv('IBKR_PORT') ibkr_port = getenv("IBKR_PORT")
ibkr_client = Client(host = ibkr_host, port = ibkr_port) ibkr_client = Client(host = ibkr_host, port = ibkr_port)
tastytrade_account = getenv('TASTYTRADE_ACCOUNT') tastytrade_account = getenv("TASTYTRADE_ACCOUNT")
tastytrade_username = getenv('TASTYTRADE_USERNAME') tastytrade_username = getenv("TASTYTRADE_USERNAME")
tastytrade_password = getenv('TASTYTRADE_PASSWORD') tastytrade_password = getenv("TASTYTRADE_PASSWORD")
tastytrade_client = Tastytrade(tastytrade_username, tastytrade_password) tastytrade_client = Tastytrade(tastytrade_username, tastytrade_password)
tastytrade_client.login() tastytrade_client.login()
@ -30,32 +29,3 @@ def contract_filter(contract):
# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options. # 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) option_chain = ibkr_client.get_option_chain('SPX', datetime.now(), sub_symbol = 'SPXW', contract_filter = contract_filter)
print(option_chain) print(option_chain)
target_delta = 0.10
def closest_strike_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 * (1 if option_type == CALL else -1)))
return options.loc[options['Delta Distance'].idxmin()]
# Find the strikes that minimize the distance to the target delta.
closest_call_strike = closest_strike_by_delta(target_delta, option_chain, CALL)
closest_put_strike = closest_strike_by_delta(target_delta, option_chain, PUT)
# Do the same for the long strikes.
target_long_call_strike = closest_call_strike['Strike'] + 50
target_long_put_strike = closest_put_strike['Strike'] - 50
def closest_strike_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()]
closest_long_call_strike = closest_strike_by_strike(target_long_call_strike, option_chain, CALL)
closest_long_put_strike = closest_strike_by_strike(target_long_put_strike, option_chain, PUT)
# The requested iron condor.
print('Short Call Strike:', closest_call_strike['Strike'])
print('Long Call Strike:', closest_long_call_strike['Strike'])
print("Short Put Strike:", closest_put_strike['Strike'])
print('Long Put Strike:', closest_long_put_strike['Strike'])