def get_option_chain_1():
# calls
c1 = option_factory.call(80, 21)
c2 = option_factory.call(85, 17)
c3 = option_factory.call(90, 13)
c4 = option_factory.call(95, 9)
c5 = option_factory.call(100, 5)
c6 = option_factory.call(105, 3)
c7 = option_factory.call(110, 1.5)
c8 = option_factory.call(115, 1)
c9 = option_factory.call(120, 0.5)
# puts
p1 = option_factory.put(80, 0.5)
p2 = option_factory.put(85, 1)
p3 = option_factory.put(90, 1.5)
p4 = option_factory.put(95, 3)
p5 = option_factory.put(100, 5)
p6 = option_factory.put(105, 9)
p7 = option_factory.put(110, 13)
p8 = option_factory.put(115, 17)
p9 = option_factory.put(120, 21)
options = [c1, c2, c3, c4, c5, c6, c7, c8, c9, p1, p2, p3, p4, p5, p6, p7, p8, p9]
return options
def test_compute_best_one_leg_positions(self):
# calls
c1 = option_factory.call(80, 25)
c2 = option_factory.call(85, 20)
c3 = option_factory.call(90, 15)
c4 = option_factory.call(95, 10)
c5 = option_factory.call(100, 5)
c6 = option_factory.call(105, 3)
c7 = option_factory.call(110, 1.5)
c8 = option_factory.call(115, 1)
c9 = option_factory.call(120, 0.5)
# puts
p1 = option_factory.put(80, 0.5)
p2 = option_factory.put(85, 1)
p3 = option_factory.put(90, 1.5)
p4 = option_factory.put(95, 3)
p5 = option_factory.put(100, 5)
p6 = option_factory.put(105, 10)
p7 = option_factory.put(110, 15)
p8 = option_factory.put(115, 20)
p9 = option_factory.put(120, 25)
options = [c1, c2, c3, c4, c5, c6, c7, c8, c9, p1, p2, p3, p4, p5, p6, p7, p8, p9]
my_distribution = distribution.Distribution(70, 130, lambda x: (x - 70) / (130 - 70), lambda x: 1 / (130 - 70))
allow_uncapped_risk = True
num_to_return = 5
best_positions = option_position_analysis.compute_best_positions_for_num_legs(1, options, my_distribution, allow_uncapped_risk, num_to_return)
self.assertEqual(num_to_return, len(best_positions))
leg1 = best_positions[0].option_position[0]
self.assertEqual('Short', leg1['direction'])
self.assertAlmostEqual(25, leg1['option']['price'])
self.assertAlmostEqual(80, leg1['option']['strike'])
self.assertEqual('Call', leg1['option']['type'])
leg2 = best_positions[1].option_position[0]
self.assertEqual('Short', leg2['direction'])
self.assertAlmostEqual(25, leg2['option']['price'])
self.assertAlmostEqual(120, leg2['option']['strike'])
self.assertEqual('Put', leg2['option']['type'])
leg3 = best_positions[2].option_position[0]
self.assertEqual('Short', leg3['direction'])
self.assertAlmostEqual(20, leg3['option']['price'])
self.assertAlmostEqual(85, leg3['option']['strike'])
self.assertEqual('Call', leg3['option']['type'])
leg4 = best_positions[3].option_position[0]
self.assertEqual('Short', leg4['direction'])
self.assertAlmostEqual(20, leg4['option']['price'])
self.assertAlmostEqual(115, leg4['option']['strike'])
self.assertEqual('Put', leg4['option']['type'])
leg5 = best_positions[4].option_position[0]
self.assertEqual('Short', leg5['direction'])
self.assertAlmostEqual(15, leg5['option']['price'])
self.assertAlmostEqual(90, leg5['option']['strike'])
self.assertEqual('Call', leg5['option']['type'])
for p in best_positions:
print(p)
print('\n\n')
