94 lines
3.9 KiB
Python
94 lines
3.9 KiB
Python
import logging
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import nest_asyncio
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import traceback
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from datetime import datetime
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from dotenv import load_dotenv
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from os import getenv
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from ibkr import Client, OptionLeg
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from ibkr.option_type import CALL, PUT
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from ibkr.order_action import BUY, SELL
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from iron_condor_trade import IronCondorTrade
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from monitor_spread import monitor_spread
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from options_chain import OptionsChain
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from option_type import OptionType
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from trades_table import insert_trade
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load_dotenv()
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# Allows for starting an event loop even if there's already one running in the current thread.
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# Necessary for monitoring spread prices asynchronously while interacting with the IBKR client.
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nest_asyncio.apply()
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def enter_iron_condor(entry_time: datetime):
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logging.basicConfig(
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filename = f'iron_condor_{entry_time.strftime("%H%M")}.log',
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level = logging.INFO,
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format = '%(asctime)s : %(levelname)s : %(message)s',
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datefmt = '%Y-%m-%d %H:%M:%S'
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)
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try:
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_enter_iron_condor(entry_time)
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except Exception:
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logging.error('Error: %s', traceback.format_exc())
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def _enter_iron_condor(entry_time: datetime):
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# The weekly symbol for SPX (SPXW) is required in order to distinguish from monthly options.
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symbol, sub_symbol = 'SPX', 'SPXW'
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expiration = datetime.now()
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options_chain = OptionsChain('$SPXW.X', expiration)
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logging.info(options_chain)
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credit_target = float(getenv('CREDIT_TARGET'))
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short_put_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.PUT)
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short_call_contract = options_chain.closest_contract_by_credit(credit_target, OptionType.CALL)
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# When selecting long strikes, minimize the distance to a 50 point spread.
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# TODO: Select long strike based on preferred price.
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target_long_put_strike = short_put_contract['Strike'] - 50
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target_long_call_strike = short_call_contract['Strike'] + 50
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long_put_contract = options_chain.closest_contract_by_strike(target_long_put_strike, OptionType.PUT)
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long_call_contract = options_chain.closest_contract_by_strike(target_long_call_strike, OptionType.CALL)
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# Build the iron condor.
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short_put_strike = float(short_put_contract['Strike'])
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long_put_strike = float(long_put_contract['Strike'])
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short_call_strike = float(short_call_contract['Strike'])
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long_call_strike = float(long_call_contract['Strike'])
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logging.info(f'Short Put Strike: {short_put_strike}')
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logging.info(f'Long Put Strike: {long_put_strike}')
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logging.info(f'Short Call Strike: {short_call_strike}')
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logging.info(f'Long Call Strike: {long_call_strike}')
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ibkr_client = Client()
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trade = IronCondorTrade(symbol, credit_target, entry_time, float(getenv('STOP_MULTIPLE')))
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short_call_leg = OptionLeg(symbol, expiration, short_call_strike, CALL, SELL, sub_symbol)
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long_call_leg = OptionLeg(symbol, expiration, long_call_strike, CALL, BUY, sub_symbol)
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call_spread_order = ibkr_client.submit_spread_order(short_call_leg, long_call_leg)
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logging.info(f'Call Spread Mid Price: {call_spread_order.mid_price}')
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logging.info(f'Call Spread Fill Price: {call_spread_order.fill_price}')
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logging.info(f'Call Spread Slippage: {call_spread_order.mid_price - call_spread_order.fill_price}')
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monitor_spread(trade, call_spread_order, ibkr_client)
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short_put_leg = OptionLeg(symbol, expiration, short_put_strike, PUT, SELL, sub_symbol)
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long_put_leg = OptionLeg(symbol, expiration, long_put_strike, PUT, BUY, sub_symbol)
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put_spread_order = ibkr_client.submit_spread_order(short_put_leg, long_put_leg)
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logging.info(f'Put Spread Mid Price: {put_spread_order.mid_price}')
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logging.info(f'Put Spread Fill Price: {put_spread_order.fill_price}')
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logging.info(f'Put Spread Slippage: {put_spread_order.mid_price - put_spread_order.fill_price}')
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monitor_spread(trade, put_spread_order, ibkr_client)
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insert_trade(trade, call_spread_order, put_spread_order)
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# TODO: Add a shutdown hook.
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ibkr_client.run_event_loop() |