async def get_option_chain_details(
self,
underlying: Contract,
min_expiry=None,
max_expiry=None,
min_strike=None,
max_strike=None,
kind=None,
exchange=None,
) -> List[ContractDetails]:
chains = await self._client.reqSecDefOptParamsAsync(
underlying.symbol, "", underlying.secType, underlying.conId
)
chain = one(chains)
strikes = [
strike
for strike in chain.strikes
if (min_strike or -np.inf) <= strike <= (max_strike or np.inf)
]
expirations = sorted(
exp
for exp in chain.expirations
if (pd.Timestamp(min_expiry or pd.Timestamp.min) <= pd.Timestamp(exp))
and (pd.Timestamp(exp) <= pd.Timestamp(max_expiry or pd.Timestamp.max))
)
rights = [kind] if kind is not None else ["P", "C"]
contracts = [
ib_insync.Option(
underlying.symbol,
expiration,
strike,
right,
exchange or "SMART",
)
for right in rights
for expiration in expirations
for strike in strikes
]
qualified = await self._client.qualifyContractsAsync(*contracts)
details = await asyncio.gather(
*[self._client.reqContractDetailsAsync(contract=c) for c in qualified]
)
return [x for d in details for x in d]
def get_option_chain(self):
"""
Handle interactions with API and raise related exceptions here
"""
self.connect_to_gateway()
under = ib_insync.Index(self.config['SYMBOL'], 'CBOE')
[under] = self.ib.qualifyContracts(under)
self.ib.reqMarketDataType(2)
[ticker] = self.ib.reqTickers(under)
underValue = ticker.marketPrice()
logger.info("Underlying value: {}".format(underValue))
chains = self.ib.reqSecDefOptParams(under.symbol, '', under.secType, under.conId)
chain = next(c for c in chains if
c.tradingClass == self.config['TRADING_CLASS'] and c.exchange == 'SMART')
strikes = [strike for strike in chain.strikes
if underValue*0.9 < strike < underValue*1.1]
expirations = sorted(exp for exp in chain.expirations)[:3]
logger.debug(expirations)
rights = ['P', 'C']
contracts = [ib_insync.Option(
self.config['SYMBOL'],
expiration,
strike,
right,
'SMART',
tradingClass=self.config['TRADING_CLASS'])
for right in rights
for expiration in expirations
for strike in strikes]
contracts = self.ib.qualifyContracts(*contracts)
logger.info('Found {} contracts'.format(len(contracts)))
tickers = self.ib.reqTickers(*contracts)
self.save_option_chain(tickers)
self.ib.disconnect()
def branco_strategy1(ib, db, accid):
try:
cnt = ibsync.Stock('VXX', 'SMART', 'USD')
ib.qualifyContracts(cnt)
pricevxx = ib.reqTickers(cnt)[0].marketPrice()
chains = ib.reqSecDefOptParams(cnt.symbol, '', cnt.secType, cnt.conId)
chain = next(c for c in chains if c.tradingClass == cnt.symbol
and c.exchange == cf.myprefexchange)
lexps = []
for e in chain.expirations:
lexps.append(int(e))
desiredexpiration = (date.today() +
timedelta(days=15)).strftime('%Y%m%d')
expiration = min(lexps,
key=lambda x: abs(int(x) - int(desiredexpiration)))
strikes = [
strike for strike in chain.strikes
if (pricevxx * 0.9 < strike < pricevxx * 1.1)
]
contracts = [
ibsync.Option('VXX',
expiration,
strike,
"C",
'SMART',
tradingClass='VXX') for strike in strikes
]
ib.qualifyContracts(*contracts)
greeks = [
ibutil.get_greeks(ib, contract).modelGreeks
for contract in contracts
]
deltas = [greek.delta for greek in list(filter(None, greeks))]
ishort = int(
min(range(len(deltas)), key=lambda i: abs(deltas[i] - 0.7)))
ilong = int(min(range(len(deltas)),
key=lambda i: abs(deltas[i] - 0.3)))
#combo = ibsync.Contract()
#combo.symbol = "VXX"
#combo.secType = "BAG"
#combo.exchange = "SMART"
#combo.currency = "USD"
#leg1 = ibsync.ComboLeg ()
#leg1.conId = contracts[ishort]
#leg1.ratio = 1
#leg1.action = "SELL"
#leg1.exchange = "SMART"
#leg2 = ibsync.ComboLeg()
#leg2.conId = contracts[ilong]
#leg2.ratio = 1
#leg2.action = "BUY"
#leg2.exchange = "SMART"
#combo.comboLegs = []
#combo.comboLegs.append(leg1)
#combo.comboLegs.append(leg2)
#order = ibsync.order.LimitOrder("BUY", 1, 1, tif="GTC", transmit=False)
#trade = ib.placeOrder(combo, order)
combo = ibsync.Contract(symbol='VXX',
secType='BAG',
exchange='SMART',
currency='USD',
comboLegs=[
ibsync.ComboLeg(conId=contracts[ishort],
ratio=1,
action='SELL',
exchange='SMART'),
ibsync.ComboLeg(conId=contracts[ilong],
ratio=1,
action='BUY',
exchange='SMART')
])
trade = tradelimitorder(ib, db, combo, 1, 1, "BRANCO_1")
order = ibsync.LimitOrder(action='SELL',
totalQuantity=1,
lmtPrice=1,
transmit=False,
account=accid)
trade = ib.placeOrder(combo, order)
print(trade)
except Exception as err:
# error_handling(err)
raise
# get the connection IDs
with open(root_path + 'var.yml') as f:
data = yaml.safe_load(f)
HOST = data["COMMON"]["HOST"]
PORT = data[MARKET.upper()]["PORT"]
CID = data["COMMON"]["CID"]
# make the contract chains
df_chains = pd.read_pickle(data_path + 'df_chains.pkl')
puts = [
ib.Option(symbol=s,
lastTradeDateOrContractMonth=e,
strike=k,
right='P',
exchange=x)
for s, e, k, x in zip(df_chains.symbol, df_chains.expiry, df_chains.strike,
['NSE' if MARKET.upper() == 'NSE' else 'SMART'] *
len(df_chains))
]
calls = [
ib.Option(symbol=s,
lastTradeDateOrContractMonth=e,
strike=k,
right='C',
exchange=x)
for s, e, k, x in zip(df_chains.symbol, df_chains.expiry, df_chains.strike,
['NSE' if MARKET.upper() == 'NSE' else 'SMART'] *
def placeOrders():
wb = xw.Book.caller()
callingWorksheet = wb.sheets.active.name
# Get the Excel cell address where "Positions to Close" table begins
cellAddress = wb.sheets(callingWorksheet).tables[
callingWorksheet + 'OrderListTable'].data_body_range(1, 1).address
# Pick up the "Positions to Close"
ordersFromXL = wb.sheets(callingWorksheet).tables[
callingWorksheet +
'OrderListTable'].data_body_range.options(ndim=2).value
# If the first cell of the "Positions to Close" is empty, raise error
if ordersFromXL[0][0] == None or ordersFromXL[0][0].strip() == "":
raise ValueError("No Orders to Submit")
# Start a new IB connection
ib = ibi.IB()
ib.connect('127.0.0.1', getIbConnectionPort(callingWorksheet), clientId=4)
# Place orders one at a time
for order in ordersFromXL:
# Create the entryOrder object
if order[2].upper() == "LMT":
entryOrder = ibi.LimitOrder(
order[1],
abs(int(order[6])),
order[5],
account=getSheetNameDict().get(callingWorksheet))
elif order[2].upper() == "MKT":
entryOrder = ibi.MarketOrder(
order[1],
abs(int(order[6])),
account=getSheetNameDict().get(callingWorksheet))
else:
raise ValueError("Incorrect Order Type in " + order[0])
# Create the contract object
if order[7].upper() == "STK":
contract = ibi.Stock(order[8],
'SMART',
'USD',
primaryExchange='NYSE')
elif order[7].upper() == "OPT":
contract = ibi.Option(order[8],
"20" + order[9].strftime("%y%m%d"),
order[10],
order[11],
'SMART',
multiplier=100,
currency='USD')
ib.qualifyContracts(contract)
else:
raise ValueError("Incorrect instrument type")
ib.qualifyContracts(contract)
trade = ib.placeOrder(contract, entryOrder)
assert trade in ib.trades()
# Disconnect from IB after placing the orders
ib.disconnect()
if __name__ == '__main__':
try:
import besuga_ib_utilities as ibutil
myib = ibsync.IB()
mydb = ibutil.dbconnect("localhost", "besuga", "xarnaus", "Besuga8888")
acc = input("triar entre 'besugapaper', 'xavpaper', 'mavpaper1', 'mavpaper2'")
if acc == "besugapaper":
rslt = execute_query(mydb,"SELECT connHost, connPort, connAccId FROM connections WHERE connName = 'besugapaper7498'")
elif acc == "xavpaper":
rslt = execute_query(mydb, "SELECT connHost, connPort, connAccId FROM connections WHERE connName = 'xavpaper7497'")
elif acc == "mavpaper1":
rslt = execute_query(mydb, "SELECT connHost, connPort, connAccId FROM connections WHERE connName = 'mavpaper1'")
elif acc == "mavpaper2":
rslt = execute_query(mydb, "SELECT connHost, connPort, connAccId FROM connections WHERE connName = 'mavpaper2'")
else:
sys.exit("Unknown account!!")
myib.connect(rslt[0][0], rslt[0][1], 3)
myaccId = rslt[0][2]
#opt = ibsync.Stock(symbol="SHOP", exchange="SMART", currency="USD")
opt = ibsync.Option(symbol="SHOP", exchange="SMART", currency="USD", lastTradeDateOrContractMonth = "20190726", strike = "310", right = "P")
#myib.qualifyContracts(opt)
print(get_greeks(myib, opt, "lastGreeks"))
ibutil.dbcommit(mydb)
ibutil.dbdisconnect(mydb)
myib.disconnect()
except Exception as err:
error_handling(err)
raise