70 lines
2.2 KiB
Python
70 lines
2.2 KiB
Python
import schedule
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import time
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from database.backtest import backtest_results
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from datetime import datetime, timedelta
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from dotenv import load_dotenv
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from ibkr import Client
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from iron_condor import enter_iron_condor
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from multiprocessing import Process
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from os import getenv
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load_dotenv()
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entry_time_format = '%H:%M:%S'
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def available_entry_times():
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start = datetime.strptime('09:35:00', entry_time_format)
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end = datetime.strptime('15:55:00', entry_time_format)
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current_time = start
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entry_times = []
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while current_time <= end:
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entry_times.append(current_time.strftime(entry_time_format))
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current_time += timedelta(minutes = 5)
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return entry_times
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def best_entry_times():
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end_date = datetime.now().replace(hour = 0, minute = 0, second = 0, microsecond = 0)
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start_date = end_date - timedelta(days = 10) # TODO: Really want 5 most recent trading days.
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cumulative_profits = {}
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for entry_time in available_entry_times():
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backtest = backtest_results('SPX', f'10 Delta Iron Condor @ {entry_time}',
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start_date = start_date, end_date = end_date)
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cumulative_profits[entry_time] = backtest.tail(5)['Profit'].sum()
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print(backtest)
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sorted_entry_times = sorted(cumulative_profits.items(), key=lambda x: x[1], reverse=True)[:10]
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return [entry_time for entry_time, _ in sorted_entry_times]
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def enter_trade():
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job_process = Process(target = enter_iron_condor)
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job_process.start()
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def connection_successful():
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try:
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ibkr_host = getenv('IBKR_HOST')
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ibkr_port = getenv('IBKR_PORT')
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Client(host = ibkr_host, port = ibkr_port)
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return True
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except:
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return False
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if __name__ == '__main__':
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if connection_successful():
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print('Connected to IBKR.')
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entry_times = best_entry_times()
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print(entry_times)
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for entry_time in entry_times:
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print(f'Scheduling for {entry_time}.')
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schedule.every().day.at(entry_time, 'America/New_York').do(enter_trade)
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while True:
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schedule.run_pending()
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time.sleep(1)
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else:
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print('ERROR: Cannot connect to IBKR. Ensure that TWS / Gateway is running.') |