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Utilize configurable entry and exit slippages provided by the client via the option spread strategies

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moshferatu 2024-03-10 05:26:11 -07:00
parent 50269972ae
commit 4532e2499f
1 changed files with 4 additions and 5 deletions
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9
backtesting/backtest_iron_condor.py
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@ -111,12 +111,12 @@ def _backtest_iron_condor(
# Calculate entry slippage. # Calculate entry slippage.
if original_call_spread_price > 0.05: if original_call_spread_price > 0.05:
original_call_spread_price = original_call_spread_price - 0.10 original_call_spread_price = original_call_spread_price - call_spread_strategy.entry_slippage
original_call_spread_price -= (original_call_spread_price % 0.05) original_call_spread_price -= (original_call_spread_price % 0.05)
logging.info('Original Call Spread Price: %s', original_call_spread_price) logging.info('Original Call Spread Price: %s', original_call_spread_price)
if original_put_spread_price > 0.05: if original_put_spread_price > 0.05:
original_put_spread_price = original_put_spread_price - 0.10 original_put_spread_price = original_put_spread_price - put_spread_strategy.entry_slippage
original_put_spread_price -= (original_put_spread_price % 0.05) original_put_spread_price -= (original_put_spread_price % 0.05)
logging.info('Original Put Spread Price: %s', original_put_spread_price) logging.info('Original Put Spread Price: %s', original_put_spread_price)
@ -184,8 +184,7 @@ def _backtest_iron_condor(
if current_call_spread_price >= ((call_spread_strategy.stop_loss_multiple + 1) * original_call_spread_price): if current_call_spread_price >= ((call_spread_strategy.stop_loss_multiple + 1) * original_call_spread_price):
premium_received -= original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1) premium_received -= original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1)
call_spread_details['Close'] = original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1) + 0.10 call_spread_details['Close'] = original_call_spread_price * (call_spread_strategy.stop_loss_multiple + 1) + 0.10
# Calculate exit slippage. premium_received -= call_spread_strategy.exit_slippage
premium_received -= 0.20 # TODO: Make this configurable.
call_spread_stopped_out = True call_spread_stopped_out = True
exit_time = call_spread.name[-8:] exit_time = call_spread.name[-8:]
logging.info('Call Spread Stopped Out') logging.info('Call Spread Stopped Out')
@ -193,7 +192,7 @@ def _backtest_iron_condor(
if not put_spread_stopped_out: if not put_spread_stopped_out:
if current_put_spread_price >= ((put_spread_strategy.stop_loss_multiple + 1) * original_put_spread_price): if current_put_spread_price >= ((put_spread_strategy.stop_loss_multiple + 1) * original_put_spread_price):
premium_received -= original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1) premium_received -= original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1)
premium_received -= 0.20 # TODO: Make this configurable. premium_received -= put_spread_strategy.exit_slippage
put_spread_details['Close'] = original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1) + 0.10 put_spread_details['Close'] = original_put_spread_price * (put_spread_strategy.stop_loss_multiple + 1) + 0.10
put_spread_stopped_out = True put_spread_stopped_out = True
exit_time = call_spread.name[-8:] exit_time = call_spread.name[-8:]