79 lines
2.7 KiB
Python
79 lines
2.7 KiB
Python
from pandas import DataFrame
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from database.trades import get_leg, get_spread, trade, upsert
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from database.trades.action import Action
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from database.trades.option_type import OptionType
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from ibkr import option_type as IBKROptionType
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from ibkr.option_order import OptionOrder
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from iron_condor_trade import IronCondorTrade
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def translate_action(action_string: str) -> Action:
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for action in Action:
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if action_string == action.value:
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return action
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def translate_option_type(option_type_string: str) -> OptionType:
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if option_type_string == IBKROptionType.CALL:
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return OptionType.CALL
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else:
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return OptionType.PUT
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def spread(spread_order: OptionOrder) -> dict:
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near_leg = spread_order.legs[0]
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far_leg = spread_order.legs[1]
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return get_spread(
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near_leg = get_leg(
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action = translate_action(near_leg.action),
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strike = near_leg.strike,
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option_type = translate_option_type(near_leg.option_type)
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),
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far_leg = get_leg(
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action = translate_action(far_leg.action),
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strike = far_leg.strike,
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option_type = translate_option_type(far_leg.option_type)
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),
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open_price = spread_order.fill_price,
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entry_slippage = round(spread_order.mid_price - spread_order.fill_price, 3)
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)
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def insert_trade(iron_condor: IronCondorTrade, call_spread_order: OptionOrder, put_spread_order: OptionOrder):
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upsert(
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DataFrame([{
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'Date': iron_condor.entry_time.date(),
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'Symbol': iron_condor.symbol,
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'Strategy': iron_condor.strategy,
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'Entry Time': iron_condor.entry_time,
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'Exit Time': None, # Required.
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'Spreads': [spread(call_spread_order), spread(put_spread_order)],
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'Profit': None # Required.
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}])
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)
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def update_on_stop_loss(iron_condor: IronCondorTrade, option_type: str, close_price: float, exit_slippage: float):
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date = iron_condor.entry_time.date()
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trade_record = trade(
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date = date,
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symbol = iron_condor.symbol,
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strategy = iron_condor.strategy,
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entry_time = iron_condor.entry_time
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)
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spreads = trade_record['Spreads'].iloc[0]
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spread_index = 0 if option_type == 'C' else 1 # 'C' for call spread, 'P' for put spread.
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spreads[spread_index]['Close'] = close_price
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spreads[spread_index]['Exit Slippage'] = exit_slippage
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upsert(
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DataFrame([{
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'Date': date,
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'Symbol': iron_condor.symbol,
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'Strategy': iron_condor.strategy,
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'Entry Time': iron_condor.entry_time,
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'Exit Time': None,
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'Spreads': spreads,
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'Profit': None # To be updated end of day.
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}])
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) |