def filter_liquidity(spread, quote_date, spy_value):
current_options = live_yahoo.main()
print "filtering options based on what prices are available"
print "number of spreads found that pass model", len(spread)
try:
maturity = next(opt for opt in current_options if opt.expiration_date() == spread[0][1].expiration_date)
except:
print "cannot find optiosn for {0} among list of {1}".format(spread[0][1].expiration_date, str([x.expiration_date() for x in current_options]))
return []
print maturity
results = []
for s in spread:
try:
print s[1].body_spread, s[1].wingspan
ic = IronCondor.make_short_iron_condor(maturity, spy_value, float(s[1].body_spread) / 100.0, s[1].wingspan)
except Exception as e:
print e
print type(e)
print "Unable to make short iron condor with {0} body spread and {1} wingspan at maturity {2} and value {3}".format(s[1].body_spread, s[1].wingspan, maturity.expiration_date(), spy_value)
continue
print "model expects {0} but option worth {1}".format(s[0], 1.0 + ic.max_return())
if 1.0 + ic.max_return() > s[0]:
results.append(s)
print "number of spreads found that pass premium requirement", len(results)
return results
def gen_spreads2(expiries=None):
gen = SpreadGen()
# expiration_date = datetime.datetime(2013,10,11)
spy = live_yahoo.get_symbol_price("SPY")
available_dates = [x.expiration_date() for x in live_yahoo.main()]
available_spreads = reduce(operator.add, [spread_for_today(gen, expiry, datetime.datetime.today(), spy) for expiry in available_dates])
gen.print_spread(available_spreads)
def gen_spreads2(expiries=None):
gen = SpreadGen()
# expiration_date = datetime.datetime(2013,10,11)
spy = live_yahoo.get_symbol_price("SPY")
available_dates = [x.expiration_date() for x in live_yahoo.main()]
available_spreads = reduce(operator.add, [
spread_for_today(gen, expiry, datetime.datetime.today(), spy)
for expiry in available_dates
])
gen.print_spread(available_spreads)
def filter_liquidity(spread, quote_date, spy_value):
current_options = live_yahoo.main()
print "filtering options based on what prices are available"
print "number of spreads found that pass model", len(spread)
try:
maturity = next(
opt for opt in current_options
if opt.expiration_date() == spread[0][1].expiration_date)
except:
print "cannot find optiosn for {0} among list of {1}".format(
spread[0][1].expiration_date,
str([x.expiration_date() for x in current_options]))
return []
print maturity
results = []
for s in spread:
try:
print s[1].body_spread, s[1].wingspan
ic = IronCondor.make_short_iron_condor(
maturity, spy_value,
float(s[1].body_spread) / 100.0, s[1].wingspan)
except Exception as e:
print e
print type(e)
print "Unable to make short iron condor with {0} body spread and {1} wingspan at maturity {2} and value {3}".format(
s[1].body_spread, s[1].wingspan, maturity.expiration_date(),
spy_value)
continue
print "model expects {0} but option worth {1}".format(
s[0], 1.0 + ic.max_return())
if 1.0 + ic.max_return() > s[0]:
results.append(s)
print "number of spreads found that pass premium requirement", len(results)
return results
