options-backtesting/backtesting/credit_targeting.py

from dataclasses import dataclass

from .option_spread_strategy import OptionSpreadStrategy
from .option_type import OptionType

@dataclass
class CreditTargetStrategy(OptionSpreadStrategy):
    credit_target: float

def iron_condor_strategy(credit_target: float) -> str:
    return f'${credit_target:.2f} Iron Condor'

def create_strategies(credit_target: float, entry_time: str, number_of_contracts: int = 1):
    call_spread_strategy = CreditTargetStrategy(
        credit_target = credit_target,
        option_type = OptionType.CALL,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time,
        entry_slippage = 0.10,
        exit_slippage = 0.20
    )
    put_spread_strategy = CreditTargetStrategy(
        credit_target = credit_target,
        option_type = OptionType.PUT,
        number_of_contracts = number_of_contracts, 
        spread_width = 50, 
        stop_loss_multiple = 1.00,
        trade_entry_time = entry_time,
        entry_slippage = 0.10,
        exit_slippage = 0.20
    )
    return call_spread_strategy, put_spread_strategy