def setUp(self):
self.test_option = Option(ticker='AKS',
quantity=1,
expiry=date(2018, 8, 10),
strike=Decimal('3.5'),
option_type=OptionType.CALL,
underlying_type=UnderlyingType.EQUITY)
def parse(cls, ticker: str, response: dict):
"""
Parses a response from tasty session into a dict[str, Option]
Args:
ticker (str): Ticker symbol of the option chain
response (dict): Response from tasty session
Returns:
dict[str,Option]: dict mapping all option symbols to Option structures
"""
chain = {}
for expiry, strikes in response.items():
for strike, opts in strikes.items():
chain[opts['call']] = Option(
ticker=ticker,
expiry=datetime.date(expiry),
strike=strike,
option_type=OptionType.CALL,
underlying_type=OptionUnderlyingType.
EQUITY, #todo pass underlying
)
chain[opts['put']] = Option(
ticker=ticker,
expiry=datetime.date(expiry),
strike=strike,
option_type=OptionType.PUT,
underlying_type=OptionUnderlyingType.
EQUITY, #todo pass underlying
)
return chain
def get_option_obj(self):
exp_date = datetime.strptime(self.symbol[6:12], '%y%m%d').date()
option_type = OptionType(self.symbol[12:13])
strike = Decimal(self.symbol[13:]) / 1000
return Option(ticker=self.underlying_symbol,
quantity=self.quantity,
expiry=exp_date,
strike=strike,
option_type=option_type,
underlying_type=UnderlyingType.EQUITY)
async def EnterTrade(ticker, price: Decimal, expiry, strike: Decimal, opt_type: OptionType, quantity = 1):
sub_values = {"Quote": ["/ES"]}
if Settings.EnterWithMarketOrder:
details = OrderDetails(type=OrderType.MARKET, price=None, price_effect=OrderPriceEffect.DEBIT)
else:
details = OrderDetails(type=OrderType.LIMIT, price=price, price_effect=OrderPriceEffect.DEBIT)
new_order = Order(details)
opt = Option(ticker=ticker, quantity=quantity, expiry=expiry, strike=strike, option_type=opt_type, underlying_type=UnderlyingType.EQUITY)
new_order.add_leg(opt)
return await tasty_acct.execute_order(new_order, tasty_client, dry_run=False)
def get_equity_leg_from_dict(self, input_dict: dict):
exp_date = datetime.strptime(input_dict['symbol'][6:12],
'%y%m%d').date()
option_type = OptionType(input_dict['symbol'][12:13])
strike = Decimal(input_dict['symbol'][13:]) / 1000
return Option(ticker=self.details.ticker,
quantity=input_dict['quantity'],
expiry=exp_date,
strike=strike,
option_type=option_type,
underlying_type=UnderlyingType.EQUITY)
async def main_loop(session: TastyAPISession, streamer: DataStreamer):
# sub_values = {
# "Greeks": [
# ".VIX180718C21",
# ".YUM180518C95"
# ]
# }
sub_values = {
"Quote": ["/ES"]
}
accounts = await TradingAccount.get_remote_accounts(session)
acct = accounts[0]
LOGGER.info('Accounts available: %s', accounts)
orders = await Order.get_remote_orders(session, acct)
LOGGER.info('Number of active orders: %s', len(orders))
# Execute an order
details = OrderDetails(
type=OrderType.LIMIT,
price=400,
price_effect=OrderPriceEffect.CREDIT)
new_order = Order(details)
opt = Option(
ticker='AKS',
quantity=1,
expiry=date(2018, 10, 19),
strike=3.0,
option_type=OptionType.CALL,
underlying_type=UnderlyingType.EQUITY
)
new_order.add_leg(opt)
res = await acct.execute_order(new_order, session, dry_run=True)
LOGGER.info('Order executed successfully: %s', res)
# Get an options chain
undl = underlying.Underlying('AKS')
chain = await option_chain.get_option_chain(session, undl)
LOGGER.info('Chain strikes: %s', chain.get_all_strikes())
await streamer.add_data_sub(sub_values)
async for item in streamer.listen():
LOGGER.info('Received item: %s' % item.data)
class TestOptionModel(unittest.TestCase):
def setUp(self):
self.test_option = Option(
ticker='AKS',
quantity=1,
expiry=date(2018, 8, 10),
strike=3.5,
option_type=OptionType.CALL,
underlying_type=OptionUnderlyingType.EQUITY
)
def test_occ2010_integer_strike(self):
self.test_option.strike = 3
expected_result = 'AKS 180810C00003000'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_fraction_strike(self):
self.test_option.strike = 3.45
expected_result = 'AKS 180810C00003450'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
self.test_option.strike = 3.5
expected_result = 'AKS 180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_ticker_padding(self):
self.test_option.ticker = 'BOB123'
expected_result = 'BOB123180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
self.test_option.ticker = 'BOB'
expected_result = 'BOB 180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_ticker_trimming(self):
self.test_option.ticker = 'BOB123456'
expected_result = 'BOB123180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
async def get_option_chain(session, underlying: Underlying, expiration: date = None) -> List[Option]:
LOGGER.debug('Getting options chain for ticker: %s', underlying.ticker)
data = await _get_tasty_option_chain_data(session, underlying)
res = []
for exp in data['expirations']:
exp_date = datetime.strptime(exp['expiration-date'], '%Y-%m-%d').date()
if expiration and expiration != exp_date:
continue
for strike in exp['strikes']:
strike_val = float(strike['strike-price'])
for option_types in OptionType:
new_option = Option(
ticker=underlying.ticker,
expiry=exp_date,
strike=strike_val,
option_type=option_types,
underlying_type=UnderlyingType.EQUITY
)
res.append(new_option)
return OptionChain(res)
class TestOptionModel(unittest.TestCase):
def setUp(self):
self.test_option = Option(ticker='AKS',
quantity=1,
expiry=date(2018, 8, 10),
strike=Decimal('3.5'),
option_type=OptionType.CALL,
underlying_type=UnderlyingType.EQUITY)
def test_occ2010_integer_strike(self):
self.test_option.strike = 3
expected_result = 'AKS 180810C00003000'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_fraction_strike(self):
self.test_option.strike = 3.45
expected_result = 'AKS 180810C00003450'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
self.test_option.strike = 3.5
expected_result = 'AKS 180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_ticker_padding(self):
self.test_option.ticker = 'BOB123'
expected_result = 'BOB123180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
self.test_option.ticker = 'BOB'
expected_result = 'BOB 180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_occ2010_ticker_trimming(self):
self.test_option.ticker = 'BOB123456'
expected_result = 'BOB123180810C00003500'
res = self.test_option.get_occ2010_symbol()
self.assertEqual(expected_result, res)
def test_get_dxfeed_symbol(self):
expected_result = '.AKS180810C3.5'
result = self.test_option.get_dxfeed_symbol()
self.assertEqual(result, expected_result)
def test_no_option_chains_on_option(self):
with self.assertRaises(Exception):
self.test_option.get_option_chain()
def test_get_underlying_type_string(self):
res = self.test_option._get_underlying_type_string(
UnderlyingType.EQUITY)
self.assertEqual(res, 'Equity Option')
def test_to_tasty_json(self):
res = self.test_option.to_tasty_json()
expected_result = {
'instrument-type': 'Equity Option',
'symbol': 'AKS 180810C00003500',
'quantity': 1
}
self.assertDictEqual(res, expected_result)
async def call(underlying: str,
quantity: int,
strike: Optional[int] = None,
all_expirations: Optional[bool] = False,
delta: Optional[int] = None):
if strike is not None and delta is not None:
raise TastyworksCLIError(
'Must specify either delta or strike, but not both.')
elif not strike and not delta:
raise TastyworksCLIError(
'Please specify either delta or strike for the option.')
elif abs(delta) > 100:
raise TastyworksCLIError(
'Delta value is too high, -100 <= delta <= 100')
sesh = await RenewableTastyAPISession.create()
undl = Underlying(underlying)
expiration = await choose_expiration(sesh, undl, all_expirations)
streamer = await DataStreamer.create(sesh)
if not strike:
chain = await get_option_chain(sesh, undl, expiration)
dxfeeds = [
option.symbol_dxf for option in chain.options
if option.option_type == OptionType.CALL
]
greeks = await streamer.stream('Greeks', dxfeeds)
lowest = abs(greeks[0]['delta'] * 100.0 - delta)
index = 0
for i in range(1, len(greeks)):
diff = abs(greeks[i]['delta'] * 100.0 - delta)
if diff < lowest:
index = i
lowest = diff
for option in chain.options:
if option.symbol_dxf == greeks[index]['eventSymbol']:
strike = option.strike
break
option = Option(ticker=underlying,
quantity=abs(quantity),
expiry=expiration,
strike=strike,
option_type=OptionType.CALL,
underlying_type=UnderlyingType.EQUITY)
quote = await streamer.stream('Quote', [option.symbol_dxf])
bid = quote[0]['bidPrice']
ask = quote[0]['askPrice']
mid = (bid + ask) / 2
await streamer.close()
console = Console()
table = Table(show_header=True,
header_style='bold',
title_style='bold',
title=f'Quote for {underlying} {strike}C {expiration}')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Mid', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_row(f'{bid:.2f}', f'{mid:.2f}', f'{ask:.2f}')
console.print(table)
price = input(
'Please enter a limit price for the entire order (default mid): ')
if not price:
price = round(mid * abs(quantity), 2)
price = Decimal(price)
details = OrderDetails(type=OrderType.LIMIT,
price=price,
price_effect=OrderPriceEffect.CREDIT
if quantity < 0 else OrderPriceEffect.DEBIT)
order = Order(details)
order.add_leg(option)
acct = await get_account(sesh)
details = await acct.get_balance(sesh)
nl = Decimal(details['net-liquidating-value'])
data = await acct.execute_order(order, sesh, dry_run=True)
bp = Decimal(data['buying-power-effect']['change-in-buying-power'])
percent = bp / nl * Decimal(100)
# bp_effect = data['buying-power-effect']['change-in-buying-power-effect']
fees = Decimal(data['fee-calculation']['total-fees'])
table = Table(show_header=True,
header_style='bold',
title_style='bold',
title='Order Review')
table.add_column('Quantity', width=8, justify='center')
table.add_column('Symbol', width=8, justify='center')
table.add_column('Strike', width=8, justify='center')
table.add_column('Type', width=8, justify='center')
table.add_column('Expiration', width=10, justify='center')
table.add_column('Price', width=8, justify='center')
table.add_column('BP', width=8, justify='center')
table.add_column('% of NL', width=8, justify='center')
table.add_column('Fees', width=8, justify='center')
table.add_row(f'{quantity}', underlying, f'{strike:.2f}', 'CALL',
f'{expiration}', f'${price:.2f}', f'${bp:.2f}',
f'{percent:.2f}%', f'${fees}')
console.print(table)
if data['warnings']:
console.print('[bold orange]Warnings:[/bold orange]')
for warning in data['warnings']:
console.print(f'[i gray]{warning}[/i gray]')
if get_confirmation('Send order? Y/n '):
await acct.execute_order(order, sesh, dry_run=False)