def testUpdatePortfolioRiskManagementHoldToExpiration(self):
"""Tests that the position is removed from the portfolio when expiration occurs."""
# Create a new position in addition to the default self.strangleObj position.
startingCapital = decimal.Decimal(1000000)
maxCapitalToUse = 0.5
maxCapitalToUsePerTrade = 0.25
portfolioObj = portfolio.Portfolio(startingCapital, maxCapitalToUse,
maxCapitalToUsePerTrade)
# Add first position to the portfolio
event = signalEvent.SignalEvent()
event.createEvent([self.strangleObj, self.riskManagement])
portfolioObj.onSignal(event)
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2800.00),
strikePrice=decimal.Decimal(2700),
delta=-0.16,
gamma=0.01,
theta=0.02,
vega=0.03,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(8.00),
askPrice=decimal.Decimal(8.50),
tradePrice=decimal.Decimal(8.25))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2800.00),
strikePrice=decimal.Decimal(3000),
delta=0.16,
gamma=0.01,
theta=0.02,
vega=0.03,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(6.00),
askPrice=decimal.Decimal(6.50),
tradePrice=decimal.Decimal(6.25))
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
# Add second position to the portfolio.
event = signalEvent.SignalEvent()
event.createEvent([strangleObj, self.riskManagement])
portfolioObj.onSignal(event)
# Update the portfolio, which should remove the second event. We do not change the prices of the putOpt or callOpt.
testOptionChain = [callOpt, putOpt]
event = tickEvent.TickEvent()
event.createEvent(testOptionChain)
portfolioObj.updatePortfolio(event)
# Only one position should be left in the portfolio after removing the expired position.
self.assertEqual(len(portfolioObj.activePositions), 1)
def testUpdatePortfolio(self):
"""Tests the ability to update option values for a position in the portfolio."""
# Create strangle event.
event = signalEvent.SignalEvent()
event.createEvent([self.strangleObj, self.riskManagement])
# Create portfolio onSignal event, which adds the position to the portfolio.
startingCapital = decimal.Decimal(1000000)
maxCapitalToUse = 0.5
maxCapitalToUsePerTrade = 0.5
portfolioObj = portfolio.Portfolio(startingCapital, maxCapitalToUse,
maxCapitalToUsePerTrade)
portfolioObj.onSignal(event)
# Next, create a strangle with the next days prices and update the portfolio values.
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2690),
delta=-0.16,
gamma=0.01,
theta=0.02,
vega=0.03,
dateTime=datetime.datetime.strptime(
'01/02/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(6.45),
askPrice=decimal.Decimal(6.50),
tradePrice=decimal.Decimal(6.475))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2855),
delta=0.16,
gamma=0.01,
theta=0.02,
vega=0.03,
dateTime=datetime.datetime.strptime(
'01/02/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(4.20),
askPrice=decimal.Decimal(4.40),
tradePrice=decimal.Decimal(4.30))
# Create tick event and update portfolio values.
testOptionChain = [callOpt, putOpt]
event = tickEvent.TickEvent()
event.createEvent(testOptionChain)
portfolioObj.updatePortfolio(event)
# Check that the new portfolio values are correct (e.g., buying power, total delta, total gamma, etc).
self.assertAlmostEqual(portfolioObj.totalBuyingPower,
decimal.Decimal(63310.0))
self.assertAlmostEqual(portfolioObj.totalVega, 0.06)
self.assertAlmostEqual(portfolioObj.totalDelta, 0.0)
self.assertAlmostEqual(portfolioObj.totalGamma, 0.02)
self.assertAlmostEqual(portfolioObj.totalTheta, 0.04)
self.assertAlmostEqual(portfolioObj.netLiquidity,
decimal.Decimal(1000200.0))
def testOnSignalNotEnoughBuyingPower(self):
"""Tests that total buying power is not updated if there's not enough buying power."""
startingCapital = decimal.Decimal(100000)
maxCapitalToUse = 0.1
maxCapitalToUsePerTrade = 0.1
portfolioObj = portfolio.Portfolio(startingCapital, maxCapitalToUse,
maxCapitalToUsePerTrade)
event = signalEvent.SignalEvent()
event.createEvent([self.strangleObj, self.riskManagement])
portfolioObj.onSignal(event)
def testUpdatePortfolio(self):
"""Test the ability to update option values for a position in the portfolio.
"""
startingCapital = 1000000
maxCapitalToUse = 0.5
maxCapitalToUsePerTrade = 0.5
portfolioObj = portfolio.Portfolio(self.startingCapital,
self.maxCapitalToUse,
self.maxCapitalToUsePerTrade)
# Get an option chain from the CSV.
# Create CsvData class object.
dataProvider = 'iVolatility'
directory = '/Users/msantoro/PycharmProjects/Backtester/marketData/iVolatility/SPX/SPX_2011_2017'
filename = 'RawIV_5day_sample.csv'
chunkSize = 10000
eventQueue = queue.Queue()
csvObj = csvData.CsvData(directory, filename, dataProvider, eventQueue,
chunkSize)
# Get the first option chain.
firstOptionChainValid = csvObj.getOptionChain()
queueObj = eventQueue.get(False)
firstOptionChainData = queueObj.getData()
# Choose two of the options in the first option chain to create a strangle; using first expiration.
putObj = firstOptionChainData[217] # -0.172245 delta put
callObj = firstOptionChainData[248] # 0.154042 delta call
# Create strangle an add to portfolio.
orderQuantity = 1
strangleObj = strangle.Strangle(orderQuantity, callObj, putObj, "SELL")
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# Next, get the prices for the next day (1/4/11) and update the portfolio values.
newOptionChainValid = csvObj.getOptionChain()
tickEvent = eventQueue.get(False)
# Update portfolio values.
portfolioObj.updatePortfolio(tickEvent)
# Check that the new portfolio values are correct (e.g., buying power, total delta, total gamma, etc).
self.assertAlmostEqual(portfolioObj.getTotalBuyingPower(), 28950.0)
self.assertAlmostEqual(portfolioObj.getVega(), 1.303171)
self.assertAlmostEqual(portfolioObj.getDelta(), -0.018826)
self.assertAlmostEqual(portfolioObj.getGamma(), 0.012173)
self.assertAlmostEqual(portfolioObj.getTheta(), -0.583284)
self.assertAlmostEqual(portfolioObj.getNetLiq(), 1000060.0)
def checkForSignal(self, event: tickEvent) -> None:
"""Criteria that we need to check before generating a signal event.
We go through each option in the option chain and find all of the options that meet the criteria. If there are
multiple options that meet the criteria, we choose the first one, but we could use some other type of rule.
Attributes:
event - Tick data we parse through to determine if we want to create a strangle for the strategy.
"""
# These variables will be used to keep track of the optimal options as we go through the option chain.
optimalCallOpt = None
optimalPutOpt = None
# Get the data from the tick event.
eventData = event.getData()
# Process one option at a time from the option chain (objects of option class).
for currentOption in eventData:
if currentOption.optionType == option.OptionTypes.CALL:
updateOption, callOpt = self.__updateWithOptimalOption(
currentOption, optimalCallOpt)
if updateOption:
optimalCallOpt = callOpt
else:
# PUT option
updateOption, putOpt = self.__updateWithOptimalOption(
currentOption, optimalPutOpt)
if updateOption:
optimalPutOpt = putOpt
# Must check that both a CALL and PUT were found which meet criteria and are in the same expiration.
if optimalPutOpt and optimalCallOpt and optimalPutOpt.expirationDateTime == optimalCallOpt.expirationDateTime:
strangleObj = strangle.Strangle(self.orderQuantity, optimalCallOpt,
optimalPutOpt, self.buyOrSell)
# If we are requiring that we always have the same amount of money invested regardless of time frame,
# then we may need to increase the number of strangles to meet this minBuyingPower requirement.
minBuyingPower = self.minBuyingPower
if minBuyingPower:
buyingPowerUsed = strangleObj.getBuyingPower()
# Require at least one contract; too much buying power will be rejected in the portfolio class.
numContractsToAdd = max(1,
int(minBuyingPower / buyingPowerUsed))
strangleObj.setNumContracts(numContractsToAdd)
# Create signal event to put on strangle strategy and add to queue
# TODO: We need to pass the management strategy to createEvent below.
signalObj = [strangleObj, self.riskManagement]
event = signalEvent.SignalEvent()
event.createEvent(signalObj)
#event.createEvent(strangleObj)
self.__eventQueue.put(event)
def testOnSignalSucess(self):
"""Tests that onSignal event successfully updates portfolio."""
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent([self.strangleObj, self.riskManagement])
# Test portfolio onSignal event.
self.portfolioObj.onSignal(event)
# Check that positions array in portfolio is not empty.
self.assertNotEqual(len(self.portfolioObj.activePositions), 0)
# Check that the buying power used by the strangle is correct.
self.assertAlmostEqual(self.portfolioObj.totalBuyingPower,
decimal.Decimal(63310.0))
# Get the total delta value of the portfolio and check that it is 0.01.
self.assertAlmostEqual(self.portfolioObj.totalDelta, 0.0)
def testOnSignal(self):
# Create a strangle.
putOpt = put.Put('SPX',
2690,
0.16,
34,
underlyingPrice=2786.24,
bidPrice=7.45,
askPrice=7.45)
# Create CALL option.
callOpt = call.Call('SPX',
2855,
-0.15,
34,
underlyingPrice=2786.24,
bidPrice=5.20,
askPrice=5.20)
# Create Strangle.
orderQuantity = 1
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "SELL")
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Test portfolio onSignal event.
self.portfolioObj.onSignal(event)
# Check that positions array in portfolio is not empty.
positions = self.portfolioObj.getPositions()
self.assertNotEqual(len(positions), 0)
# Check that the buying power used by the strangle is correct.
self.assertAlmostEqual(self.portfolioObj.getTotalBuyingPower(),
64045.0)
# Get the total delta value of the portfolio and check that it is 0.01.
self.assertAlmostEqual(self.portfolioObj.getDelta(), 0.01)
def testPortfolioWithExpirationManagement(self):
"""Put on a strangle; update portfolio values, and then manage the strangle when the daysBeforeClosing
threshold has been met.
"""
# Create portfolio object.
portfolioObj = portfolio.Portfolio(self.startingCapital,
self.maxCapitalToUse,
self.maxCapitalToUsePerTrade)
# Set up date / time formats.
local = pytz.timezone('US/Eastern')
# Convert time zone of data 'US/Eastern' to UTC time.
expDate = datetime.datetime.strptime("02/20/18", "%m/%d/%y")
expDate = local.localize(expDate, is_dst=None)
expDate = expDate.astimezone(pytz.utc)
# Convert time zone of data 'US/Eastern' to UTC time.
curDate = datetime.datetime.strptime("02/02/18", "%m/%d/%y")
curDate = local.localize(curDate, is_dst=None)
curDate = curDate.astimezone(pytz.utc)
# Add first position to the portfolio.
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=7.45,
askPrice=7.45,
optionSymbol="01",
tradePrice=7.45,
dateTime=curDate)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=5.20,
askPrice=5.20,
optionSymbol="02",
tradePrice=5.20,
dateTime=curDate)
# Create Strangle.
orderQuantity = 1
daysBeforeClosing = 5
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "SELL",
daysBeforeClosing)
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# Check that the position was added to the portfolio.
self.assertEqual(len(portfolioObj.getPositions()), 1)
# Change the time to be within five days from the DTE, which should cause the position to be closed / deleted
# from the portfolio.
curDate = datetime.datetime.strptime("02/19/18", "%m/%d/%y")
curDate = local.localize(curDate, is_dst=None)
curDate = curDate.astimezone(pytz.utc)
newOptionObjs = []
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=7.45,
askPrice=7.45,
optionSymbol="01",
tradePrice=7.45,
dateTime=curDate)
newOptionObjs.append(putOpt)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=5.20,
askPrice=5.20,
optionSymbol="02",
tradePrice=5.20,
dateTime=curDate)
newOptionObjs.append(callOpt)
newEvent = tickEvent.TickEvent()
newEvent.createEvent(newOptionObjs)
portfolioObj.updatePortfolio(newEvent)
# Check that the position was managed / deleted from the portfolio.
self.assertEqual(len(portfolioObj.getPositions()), 0)
def testPortfolioPositionRemoveManagement(self):
"""Test that we can remove a managed position from the portfolio without affecting any of the other positions
in the portfolio.
"""
# Create portfolio object.
portfolioObj = portfolio.Portfolio(self.startingCapital,
self.maxCapitalToUse,
self.maxCapitalToUsePerTrade)
# Add first position to the portfolio.
putOpt = put.Put('SPX',
2690,
0.15,
34,
underlyingPrice=2786.24,
bidPrice=7.45,
askPrice=7.45,
optionSymbol="01",
tradePrice=7.45)
callOpt = call.Call('SPX',
2855,
-0.15,
34,
underlyingPrice=2786.24,
bidPrice=5.20,
askPrice=5.20,
optionSymbol="02",
tradePrice=5.20)
# Create Strangle.
orderQuantity = 1
profitTargetPercent = 0.5
strangleObj = strangle.Strangle(
orderQuantity,
callOpt,
putOpt,
"SELL",
profitTargetPercent=profitTargetPercent)
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# Add second position to the portfolio.
putOpt = put.Put('AAPL',
140,
0.15,
34,
underlyingPrice=150,
bidPrice=5.15,
askPrice=5.15,
optionSymbol="03",
tradePrice=5.15)
callOpt = call.Call('APPL',
160,
-0.15,
34,
underlyingPrice=150,
bidPrice=3.20,
askPrice=3.20,
optionSymbol="04",
tradePrice=3.20)
strangleObj = strangle.Strangle(
orderQuantity,
callOpt,
putOpt,
"SELL",
profitTargetPercent=profitTargetPercent)
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# Add a third position to the portfolio.
putOpt = put.Put('SPY',
240,
0.15,
34,
underlyingPrice=280,
bidPrice=4.15,
askPrice=4.15,
optionSymbol="05",
tradePrice=4.15)
callOpt = call.Call('SPY',
300,
-0.15,
34,
underlyingPrice=280,
bidPrice=2.20,
askPrice=2.20,
optionSymbol="06",
tradePrice=2.20)
strangleObj = strangle.Strangle(
orderQuantity,
callOpt,
putOpt,
"SELL",
profitTargetPercent=profitTargetPercent)
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# For the second position in the portfolio, make the option prices less than 50% of the trade price, which
# should cause the position to be closed / deleted from the portfolio.
newOptionObjs = []
putOpt = put.Put('SPX',
2690,
0.15,
34,
underlyingPrice=2786.24,
bidPrice=7.45,
askPrice=7.45,
optionSymbol="01",
tradePrice=7.45)
newOptionObjs.append(putOpt)
callOpt = call.Call('SPX',
2855,
-0.15,
34,
underlyingPrice=2786.24,
bidPrice=5.20,
askPrice=5.20,
optionSymbol="02",
tradePrice=5.20)
newOptionObjs.append(callOpt)
putOpt = put.Put('AAPL',
140,
0.15,
34,
underlyingPrice=150,
bidPrice=2.15,
askPrice=2.15,
optionSymbol="03")
newOptionObjs.append(putOpt)
callOpt = call.Call('APPL',
160,
-0.15,
34,
underlyingPrice=150,
bidPrice=1.20,
askPrice=1.20,
optionSymbol="04")
newOptionObjs.append(callOpt)
putOpt = put.Put('SPY',
240,
0.15,
34,
underlyingPrice=280,
bidPrice=4.15,
askPrice=4.15,
optionSymbol="05",
tradePrice=4.15)
newOptionObjs.append(putOpt)
callOpt = call.Call('SPY',
300,
-0.15,
34,
underlyingPrice=280,
bidPrice=2.20,
askPrice=2.20,
optionSymbol="06",
tradePrice=2.20)
newOptionObjs.append(callOpt)
newEvent = tickEvent.TickEvent()
newEvent.createEvent(newOptionObjs)
portfolioObj.updatePortfolio(newEvent)
# Check that the first position is the SPX position, and the second position is the SPY position, i.e., the
# AAPL position should have been managed / removed.
positions = portfolioObj.getPositions()
callPos0 = positions[0].getCallOption()
callPos1 = positions[1].getCallOption()
self.assertEqual(callPos0.getUnderlyingTicker(), 'SPX')
self.assertEqual(callPos1.getUnderlyingTicker(), 'SPY')
self.assertEqual(len(positions), 2)
def testCreateSignalEvent(self):
"""Tests that a signal event is successfully created."""
signalObj = signalEvent.SignalEvent()
# Check that the data reference attribute is set to None since there has been no data passed.
self.assertEqual(signalObj.getData(), None)
self.assertEqual(signalObj.type, event.EventTypes.SIGNAL)
def checkForSignal(self, event):
"""Criteria that we need to check before generating a signal event:
Params:
event - Tick data we parse through to determine if we want to create a strangle for the strategy.
Required:
optCallDelta: Optimal delta for call, usually around 16 delta.
maxCallDelta: Max delta for call, usually around 30 delta.
optPutDelta: Optimal delta for put, usually around 16 delta.
maxPutDelta: Max delta for put, usually around 30 delta.
Optional:
expCycle: Specifies if we want to do monthly ('m'); unspecified means we can do weekly, quarterly, etc.
optimalDTE: Optimal number of days before expiration to put on strategy.
minimumDTE: Minimum number of days before expiration to put on strategy.
roc: Minimal return on capital for overall trade as a decimal (not handled).
minDaysToEarnings: Minimum number of days to put on trade before earnings (not handled).
minCredit: Minimum credit to collect on overall trade (not handled).
maxBidAsk: Maximum price to allow between bid and ask prices of option (for any strike or put/call).
minDaysSinceEarnings: Minimum number of days to wait after last earnings before putting on strategy (not handled).
minIVR: Minimum implied volatility rank needed to put on strategy (not handled).
We go through each option in the option chain and find all of the options that meet the criteria. If there
are multiple options that meet the criteria, we choose the first one, but we could use some other type of
rule for choosing.
"""
# These variables will be used to keep track of the optimal options as we go through the options
# chain.
optimalCallOpt = []
optimalCallDTE = None
optimalPutOpt = []
optimalPutDTE = None
studyDTE = self.getOptimalDTE()
studyCallDelta = self.getOptimalCallDelta()
studyPutDelta = self.getOptimalPutDelta()
# Get the data from the tick event.
eventData = event.getData()
# Process one option at a time from the option chain (objects of option class).
for option in eventData:
# First check if the option is a call or a put.
if option.getOptionType() == 'CALL':
if self.getExpCycle() == 'm': # monthly options specified
if not self.isMonthlyExp(option.getDTE()):
continue
# Check min DTE
if not self.getMinimumDTE() == None:
if not self.hasMinimumDTE(option.getDateTime(),
option.getDTE()):
continue
# Check that call delta is less or equal to than max call delta specified.
if not option.getDelta() <= self.getMaxCallDelta():
continue
# Check if bid / ask of option < maxBidAsk specific in strangle strategy.
if not self.getMaxBidAsk() == None:
if self.calcBidAskDiff(
option.getBidPrice(),
option.getAskPrice()) > self.getMaxBidAsk():
continue
# Get current DTE in days.
currentDTE = self.getNumDays(option.getDateTime(),
option.getDTE())
# Check if DTE of current option is closer to optimal DTE we want.
if optimalCallDTE == None:
optimalCallDTE = currentDTE
optimalCallOpt = option
# Check if there is a expiration closer to the study requested expiration.
elif abs(currentDTE - studyDTE) < abs(optimalCallDTE -
studyDTE):
optimalCallDTE = currentDTE
optimalCallOpt = option
# Option has same DTE as optimalCallOpt; check deltas to choose best option.
elif (currentDTE - studyDTE) == (optimalCallDTE - studyDTE):
curDelta = option.getDelta()
optimalDelta = optimalCallOpt.getDelta()
if abs(curDelta - optimalDelta) < abs(studyCallDelta -
optimalDelta):
optimalCallOpt = option
elif option.getOptionType() == 'PUT':
if self.getExpCycle() == 'm': # monthly options specified
if not self.isMonthlyExp(option.getDTE()):
continue
# Check min DTE.
if not self.getMinimumDTE() == None:
if not self.hasMinimumDTE(option.getDateTime(),
option.getDTE()):
continue
# Check that put delta is greater than or equal to max put delta specified.
if not option.getDelta() >= self.getMaxPutDelta():
continue
# Check if bid / ask of option < maxBidAsk specific in strangle strategy.
if not self.getMaxBidAsk() == None:
if self.calcBidAskDiff(
option.getBidPrice(),
option.getAskPrice()) > self.getMaxBidAsk():
continue
# Get current DTE in days.
currentDTE = self.getNumDays(option.getDateTime(),
option.getDTE())
# Check if DTE of current option is closer to optimal DTE we want.
if optimalPutDTE == None:
optimalPutDTE = currentDTE
optimalPutOpt = option
# Check if there is a expiration closer to the study requested expiration.
elif abs(currentDTE - studyDTE) < abs(optimalPutDTE -
studyDTE):
optimalPutDTE = currentDTE
optimalPutOpt = option
# Option has same DTE as optimalPutOpt; check deltas to find closest to studyPutDelta.
elif currentDTE == optimalPutDTE:
curDelta = option.getDelta()
optimalDelta = optimalPutOpt.getDelta()
if abs(curDelta - optimalDelta) < abs(studyPutDelta -
optimalDelta):
optimalPutOpt = option
# Must check that both a CALL and PUT were found which meet criteria and are in the same expiration.
if optimalPutOpt and optimalCallOpt and optimalPutOpt.getDTE(
) == optimalCallOpt.getDTE():
# We create a strangle option primitive; the strangle primitive will have several of the
# arguments from the init of StrangleStrat class.
strangleObj = strangle.Strangle(self.getOrderQuantity(),
optimalCallOpt, optimalPutOpt,
'SELL', self.getDaysBeforeClose(),
self.getProfitTargetPercent(),
self.getCustomManagementFlag(),
self.getMaxBidAsk(),
self.getMaxMidDev())
# If we are requiring that we always have the same amount of money invested regardless of time frame,
# then we may need to increase the number of strangles to meet this minBuyingPower requirement.
minBuyingPower = self.getMinBuyingPower()
if minBuyingPower:
buyingPowerUsed = strangleObj.getBuyingPower()
# Require at least one contract; too much buying power will be rejected in the portfolio class.
numContractsToAdd = max(1,
int(minBuyingPower / buyingPowerUsed))
strangleObj.setNumContracts(numContractsToAdd)
# Create signal event to put on strangle strategy and add to queue
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
self.__eventQueue.put(event)