def makeCombo(self, current_date, expiration, position_size):
# 1x long put delta 20
lowerlongstrike = self.connector.select_strike_by_delta(
current_date, self.underlying, expiration, "p", -20)
if (lowerlongstrike is None):
print("lowerlongstrike is None")
return None
lowerlongposition = util.makePosition(self.connector, current_date,
self.underlying, lowerlongstrike,
expiration, "p", position_size)
# 2x short put delta 40
shortstrike = self.connector.select_strike_by_delta(
current_date, self.underlying, expiration, "p", -40)
if (shortstrike is None):
print("shortstrike is None")
return None
shortposition = util.makePosition(self.connector, current_date,
self.underlying, shortstrike,
expiration, "p", -2 * position_size)
# 1x long put delta 60
upperlongstrike = self.connector.select_strike_by_delta(
current_date, self.underlying, expiration, "p", -60)
if (upperlongstrike is None):
print("upperlongstrike is None")
return None
upperlongposition = util.makePosition(self.connector, current_date,
self.underlying, upperlongstrike,
expiration, "p", position_size)
combo = util.PutButterfly(upperlongposition, shortposition,
lowerlongposition)
return combo
def makeCombo(self, current_date, expiration, position_size):
current_quote = sql_connector.query_midprice_underlying(
self.underlying, current_date)
upperlongstrike = int(round(current_quote, -1))
# Obere long Puts am Geld
upperlongposition = util.makePosition(current_date, self.underlying,
upperlongstrike, expiration, "p",
position_size)
if upperlongposition is None: return None
# Short Puts 30 Punkte drunter
shortstrike = int(upperlongstrike - 30)
shortposition = util.makePosition(current_date, self.underlying,
shortstrike, expiration, "p",
-2 * position_size)
if shortposition is None: return None
# Untere long Puts 40 Punkte unter Short Puts
lowerlongstrike = int(upperlongstrike - 70)
lowerlongposition = util.makePosition(current_date, self.underlying,
lowerlongstrike, expiration, "p",
position_size)
if lowerlongposition is None: return None
combo = util.BWB(upperlongposition, None, shortposition,
lowerlongposition)
return combo
def makeCombo(self, current_date, expiration, position_size):
current_quote = self.connector.query_midprice_underlying(
self.underlying, current_date)
upperlongstrike = int(round(current_quote, -1))
# upper long puts at the money
upperlongposition = util.makePosition(self.connector, current_date,
self.underlying, upperlongstrike,
expiration, "p", position_size)
if upperlongposition is None: return None
# short puts 30 points below
shortstrike = int(upperlongstrike - 30)
shortposition = util.makePosition(self.connector, current_date,
self.underlying, shortstrike,
expiration, "p", -2 * position_size)
if shortposition is None: return None
# lower long puts 40 points below short puts
lowerlongstrike = int(upperlongstrike - 70)
lowerlongposition = util.makePosition(self.connector, current_date,
self.underlying, lowerlongstrike,
expiration, "p", position_size)
if lowerlongposition is None: return None
combo = util.BWB(upperlongposition, None, shortposition,
lowerlongposition)
return combo
def testCombo(closest_strike, current_date, underlying, expiration, position_size):
shortposition = util.makePosition(current_date, underlying, closest_strike, expiration, "p", -position_size)
longstrike = (closest_strike - 30)
longposition = util.makePosition(current_date, underlying, longstrike, expiration, "p", position_size)
if shortposition is None or longposition is None: return None
positions = [shortposition, longposition]
combo = util.Combo(positions)
return combo