def testStrangleUpdateValuesNoMatchingOption(self):
"""Tests that the profit loss calculation is unchanged if no option is available to update."""
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2690),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.45),
askPrice=decimal.Decimal(7.50),
tradePrice=decimal.Decimal(7.475))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2855),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.20),
askPrice=decimal.Decimal(5.40),
tradePrice=decimal.Decimal(5.30))
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.BUY)
initialProfitLoss = strangleObj.calcProfitLoss()
tickData = []
# Changed the PUT strike price from 2690 to 2790 to prevent a match.
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2790),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.25),
askPrice=decimal.Decimal(7.350))
tickData.append(putOpt)
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2855),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.60),
askPrice=decimal.Decimal(5.80))
tickData.append(callOpt)
strangleObj.updateValues(tickData)
# The profit / loss should be the same since the option wasn't updated.
self.assertAlmostEqual(strangleObj.calcProfitLoss(), initialProfitLoss)
def testStrangleCalcProfitLossWithDataUpdateBuyingStrangle(self):
"""Tests that the profit / loss is calculated correctly when buying a strangle."""
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2690),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.45),
askPrice=decimal.Decimal(7.50),
tradePrice=decimal.Decimal(7.475))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2855),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.20),
askPrice=decimal.Decimal(5.40),
tradePrice=decimal.Decimal(5.30))
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.BUY)
# The parameters below are used to update the prices of the initial strangle above.
tickData = []
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2690),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.25),
askPrice=decimal.Decimal(7.350))
tickData.append(putOpt)
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2855),
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.60),
askPrice=decimal.Decimal(5.80))
tickData.append(callOpt)
strangleObj.updateValues(tickData)
self.assertAlmostEqual(strangleObj.calcProfitLoss(),
decimal.Decimal(22.5))
def testStrangleBuyingPower15PercentRule(self):
# Tests the buying power calculation for the 15% rule.
# TODO(msantoro): Get live values from Tastyworks to use here.
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2500),
delta=0.01,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(1.45),
askPrice=decimal.Decimal(1.50),
tradePrice=decimal.Decimal(1.475))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(3200),
delta=-0.01,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(1.20),
askPrice=decimal.Decimal(1.40),
tradePrice=decimal.Decimal(1.30))
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
buyingPower = strangleObj.getBuyingPower()
self.assertAlmostEqual(buyingPower, decimal.Decimal(48130.0))
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 testStrangleUpdateValues(self):
"""Test that the option values are updated correctly by starting with a strangle and then receiving new
option prices for the puts and calls.
"""
# Create a list with two options matching the strangleObj except with different option prices.
tickData = []
putOpt = put.Put('SPX',
2690,
0.15,
34,
underlyingPrice=2786.24,
bidPrice=7.25,
askPrice=7.25,
optionSymbol="01")
tickData.append(putOpt)
callOpt = call.Call('SPX',
2855,
-0.15,
34,
underlyingPrice=2786.24,
bidPrice=5.00,
askPrice=5.00,
optionSymbol="02")
tickData.append(callOpt)
self.strangleObj.updateValues(tickData)
# Check that the bidPrice of the put and call options inside strangleObj have been updated.
__putOpt = self.strangleObj.getPutOption()
__callOpt = self.strangleObj.getCallOption()
self.assertAlmostEqual(__putOpt.getBidPrice(), 7.25)
self.assertAlmostEqual(__callOpt.getBidPrice(), 5.00)
def testStrangleManagePositionProfitTargetPercent(self):
"""Test that strangle is set to be deleted from the portfolio if the option prices are such that the
desired profit target threshold has been reached.
"""
# Create put and call options.
tickData = []
putOpt = put.Put('SPX',
2690,
0.15,
34,
underlyingPrice=2786.24,
bidPrice=3.00,
askPrice=3.00,
optionSymbol="01")
tickData.append(putOpt)
callOpt = call.Call('SPX',
2855,
-0.15,
34,
underlyingPrice=2786.24,
bidPrice=2.00,
askPrice=2.00,
optionSymbol="02")
tickData.append(callOpt)
# Update strangle with new values.
self.strangleObj.updateValues(tickData)
# Check if managePosition() returns true since the combined put and call prices reflect more than a 50% profit.
self.assertTrue(self.strangleObj.managePosition())
def __init__(self,
underlyingTicker,
strikePrice,
longOrShort,
delta,
DTE,
numContracts,
underlyingPrice=None,
bidPrice=None,
askPrice=None):
self.__numContracts = numContracts
self.__primitiveElems = []
# Create multiple objects of class Put.
for i in range(self.__numContracts):
self.__primitiveElems.append(
put.Put(underlyingTicker,
strikePrice,
longOrShort,
delta,
DTE,
underlyingPrice=underlyingPrice,
bidPrice=bidPrice,
askPrice=askPrice))
def testGetDeltaNoneValue(self):
"""Tests that a value of None is returned if one of the delta is None."""
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=2786.24,
strikePrice=2690,
delta=None,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=7.45,
askPrice=7.50,
tradePrice=7.475)
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=2786.24,
strikePrice=2855,
delta=-0.16,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=5.20,
askPrice=5.40,
tradePrice=5.30)
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
self.assertIsNone(strangleObj.getDelta())
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 setUp(self):
self._putOptionToTest = put.Put(
underlyingTicker='SPY',
strikePrice=decimal.Decimal(250),
delta=0.3,
dateTime=datetime.datetime.strptime('01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/01/2050', "%m/%d/%Y"),
bidPrice=decimal.Decimal(1.50),
askPrice=decimal.Decimal(1.00),
tradePrice=decimal.Decimal(3.00))
def testStrangleManageDaysBeforeClosing(self):
"""Test that the strangle is set to be deleted from the portfolio if the number of days until expiration is
less than the daysBeforeClosing threshold.
"""
# Create put and call options.
tickData = []
# Set up date / time formats.
local = pytz.timezone('US/Eastern')
# Convert time zone of data 'US/Eastern' to UTC time.
expDate = datetime.datetime.strptime("02/05/18", "%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)
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=3.00,
askPrice=3.00,
tradePrice=3.00,
optionSymbol="01",
dateTime=curDate)
tickData.append(putOpt)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=2.00,
askPrice=2.00,
tradePrice=2.00,
optionSymbol="02",
dateTime=curDate)
tickData.append(callOpt)
daysBeforeClosing = 5
orderQuantity = 1
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "SELL",
daysBeforeClosing)
# Check if managePosition() returns true since the current dateTime and DTE are less than daysBeforeClosing = 5.
self.assertTrue(strangleObj.managePosition())
def testUpdateOptionSuccess(self):
"""Tests that option values are successfully updated with latest data."""
updatedPut = put.Put(underlyingTicker='SPY',
strikePrice=250,
delta=0.3,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/01/2050', "%m/%d/%Y"),
bidPrice=0.50,
askPrice=0.75,
tradePrice=3.00)
self._putOptionToTest.updateOption(updatedPut)
self.assertEqual(self._putOptionToTest.bidPrice, 0.50)
self.assertEqual(self._putOptionToTest.askPrice, 0.75)
def testUpdateOptionInvalidOptionStrikePrice(self):
"""Tests that error is raised if we update an option with different parameters (wrong strike price)."""
updatedPut = put.Put(underlyingTicker='SPY',
strikePrice=255,
delta=0.3,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/01/2050', "%m/%d/%Y"),
bidPrice=0.50,
askPrice=0.75,
tradePrice=3.00)
with self.assertRaisesRegex(
ValueError,
('Cannot update option; this option appears to be from a different option '
'chain.')):
self._putOptionToTest.updateOption(updatedPut)
def setUp(self):
"""Create portfolio object to be shared among tests."""
startingCapital = decimal.Decimal(1000000)
maxCapitalToUse = 0.5
maxCapitalToUsePerTrade = 0.5
self.portfolioObj = portfolio.Portfolio(startingCapital,
maxCapitalToUse,
maxCapitalToUsePerTrade)
# Strangle object to be shared among tests.
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(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.45),
askPrice=decimal.Decimal(7.50),
tradePrice=decimal.Decimal(7.475))
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(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.20),
askPrice=decimal.Decimal(5.40),
tradePrice=decimal.Decimal(5.30))
self.strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
self.riskManagement = strangleRiskManagement.StrangleRiskManagement(
strangleRiskManagement.StrangleManagementStrategyTypes.
HOLD_TO_EXPIRATION)
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 setUp(self):
"""Create strangle with necessary params and test buying power calculation.
Params for creating object:
daysBeforeClosing: Strangle must be closed if there are <= daysBeforeClosing to expiration.
profitTargetPercent: Minimum percent profit we want in order to close strangle.
orderQuantity: Number of strangles.
callOpt: Call option
putOpt: Put option
"""
daysBeforeClosing = 5
orderQuantity = 1
profitTargetPercent = 0.5
# Create put and call options.
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.
self.strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt,
"SELL", daysBeforeClosing,
profitTargetPercent)
def testStrangeGetNumberOfDaysLeft(self):
"""Tests that we calculate the number of days between two date / times correctly."""
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=2786.24,
strikePrice=2690,
delta=0.15,
vega=None,
theta=None,
gamma=None,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=7.45,
askPrice=7.50,
tradePrice=7.475)
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=2786.24,
strikePrice=2855,
delta=-0.16,
vega=0.05,
theta=-0.06,
gamma=0.12,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=5.20,
askPrice=5.40,
tradePrice=5.30)
strangleObj = strangle.Strangle(
orderQuantity=1,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
self.assertEqual(strangleObj.getNumberOfDaysLeft(), 19)
def createBaseType(self, inputData):
"""
Used to take a tick (e.g., row from CSV) and create a base type
such as a stock or option (call or put).
"""
if self.__dataProvider == "iVolatility":
# CSV header
# symbol, exchange, company_name, date, stock_price_close, option_symbol, expiration_date, strike,
# call_put, style, ask, bid, mean_price, settlement, iv, volume, open_interest, stock_price_for_iv,
# isinterpolated, delta, vega, gamma, theta, rho
# Do type checking on fields.
underlyingTicker = inputData['symbol']
exchange = inputData['exchange']
optionSymbol = inputData['option_symbol']
# Check if style is American or European.
style = inputData['style']
if style != 'A' and style != 'E':
return None
# Check that underlyingTicker is a character string.
if not underlyingTicker.isalpha():
return None
# Check that fields below are floating point numbers.
try:
strikePrice = float(inputData['strike'])
underlyingPrice = float(inputData['stock_price_close'])
underlyingTradePrice = underlyingPrice
askPrice = float(inputData['ask'])
bidPrice = float(inputData['bid'])
tradePrice = (askPrice + bidPrice) / 2
impliedVol = float(inputData['iv'])
volume = float(inputData['volume'])
openInterest = int(inputData['open_interest'])
delta = float(inputData['delta'])
theta = float(inputData['theta'])
vega = float(inputData['vega'])
gamma = float(inputData['gamma'])
rho = float(inputData['rho'])
except:
return None
# Convert current date and expiration date to a datetime object.
try:
local = pytz.timezone('US/Eastern')
# Convert time zone of data 'US/Eastern' to UTC time.
# Try and except here to handle two or four digit year format.
try:
DTE = datetime.datetime.strptime(
inputData['option_expiration'], "%m/%d/%y")
except:
DTE = datetime.datetime.strptime(
inputData['option_expiration'], "%m/%d/%Y")
DTE = local.localize(DTE, is_dst=None)
DTE = DTE.astimezone(pytz.utc)
try:
curDateTime = datetime.datetime.strptime(
inputData['date'], "%m/%d/%y")
except:
curDateTime = datetime.datetime.strptime(
inputData['date'], "%m/%d/%Y")
curDateTime = local.localize(curDateTime, is_dst=None)
curDateTime = curDateTime.astimezone(pytz.utc)
except:
logging.warning(
'Something went wrong when trying to read the option data from the CSV.'
)
return None
call_put = inputData['call/put']
if call_put == 'C':
return call.Call(underlyingTicker, strikePrice, delta, DTE,
None, underlyingPrice, underlyingTradePrice,
optionSymbol, None, bidPrice, askPrice,
tradePrice, openInterest, volume, curDateTime,
theta, gamma, rho, vega, impliedVol, exchange)
elif call_put == 'P':
return put.Put(underlyingTicker, strikePrice, delta, DTE, None,
underlyingPrice, underlyingTradePrice,
optionSymbol, None, bidPrice, askPrice,
tradePrice, openInterest, volume, curDateTime,
theta, gamma, rho, vega, impliedVol, exchange)
else:
return None
else:
print("Unrecognized CSV data source provider")
sys.exit(1)
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 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 testStrangleCalcProfitLossPercentage(self):
# Set up date / time formats.
local = pytz.timezone('US/Eastern')
# Convert time zone of data 'US/Eastern' to UTC time.
expDate = datetime.datetime.strptime("02/05/18", "%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)
# Test the case where we sell a strangle and have a loss.
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=6.00,
askPrice=6.00,
tradePrice=3.00,
optionSymbol="01",
dateTime=curDate)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=4.00,
askPrice=4.00,
tradePrice=2.00,
optionSymbol="02",
dateTime=curDate)
orderQuantity = 1
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "SELL")
# Total credit = 5.00 or 500, and total loss is -300 + -200 = -500; (-500/500) * 100 = -100%
profitLossPercentage = strangleObj.calcProfitLossPercentage()
self.assertAlmostEqual(profitLossPercentage, -100)
# Test the case where we sell a strangle and have a profit.
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=1.50,
askPrice=1.50,
tradePrice=3.00,
optionSymbol="01",
dateTime=curDate)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=1.00,
askPrice=1.00,
tradePrice=2.00,
optionSymbol="02",
dateTime=curDate)
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "SELL")
# Total credit = 5.00 or 500, and total profit is 150 + 100 = 250; 250/500 = 0.5 * 100 = 50%
profitLossPercentage = strangleObj.calcProfitLossPercentage()
self.assertAlmostEqual(profitLossPercentage, 50)
# Test the case where we buy a strangle and have a loss.
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=1.50,
askPrice=1.50,
tradePrice=3.00,
optionSymbol="01",
dateTime=curDate)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=1.00,
askPrice=1.00,
tradePrice=2.00,
optionSymbol="02",
dateTime=curDate)
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "BUY")
# Total debit = 5.00 or 500, and total loss is -150 + -100 = -250 / 500 = -0.5* 100 = -50%
profitLossPercentage = strangleObj.calcProfitLossPercentage()
self.assertAlmostEqual(profitLossPercentage, -50)
# Test the case where we buy a strangle and have a profit.
putOpt = put.Put('SPX',
2690,
0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=6.00,
askPrice=6.00,
tradePrice=3.00,
optionSymbol="01",
dateTime=curDate)
callOpt = call.Call('SPX',
2855,
-0.15,
expDate,
underlyingPrice=2786.24,
bidPrice=4.00,
askPrice=4.00,
tradePrice=2.00,
optionSymbol="02",
dateTime=curDate)
strangleObj = strangle.Strangle(orderQuantity, callOpt, putOpt, "BUY")
# Total debit = 5.00 or 500, and total profit is 300 + 200 = 500 / 500 = 1 * 100 = 100%
profitLossPercentage = strangleObj.calcProfitLossPercentage()
self.assertAlmostEqual(profitLossPercentage, 100)
def setUp(self):
orderQuantity = 1
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2690),
delta=0.15,
vega=0.04,
theta=-0.07,
gamma=0.11,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.45),
askPrice=decimal.Decimal(7.50),
tradePrice=decimal.Decimal(7.475))
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2786.24),
strikePrice=decimal.Decimal(2855),
delta=-0.16,
vega=0.05,
theta=-0.06,
gamma=0.12,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.20),
askPrice=decimal.Decimal(5.40),
tradePrice=decimal.Decimal(5.30))
self.__strangleObj = strangle.Strangle(
orderQuantity=orderQuantity,
callOpt=callOpt,
putOpt=putOpt,
buyOrSell=optionPrimitive.TransactionType.SELL)
# The parameters below are used to update the prices of the initial strangle above.
self.__tickData = []
putOpt = put.Put(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2690),
delta=0.13,
vega=0.03,
theta=-0.06,
gamma=0.12,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(7.25),
askPrice=decimal.Decimal(7.350))
self.__tickData.append(putOpt)
callOpt = call.Call(underlyingTicker='SPX',
underlyingPrice=decimal.Decimal(2790.0),
strikePrice=decimal.Decimal(2855),
delta=-0.20,
vega=0.06,
theta=-0.07,
gamma=0.14,
dateTime=datetime.datetime.strptime(
'01/01/2021', "%m/%d/%Y"),
expirationDateTime=datetime.datetime.strptime(
'01/20/2021', "%m/%d/%Y"),
bidPrice=decimal.Decimal(5.60),
askPrice=decimal.Decimal(5.80))
self.__tickData.append(callOpt)
def __createBaseType(self,
optionChain: pd.DataFrame) -> Iterable[option.Option]:
"""
Convert an option chain held in a dataframe to base option types (calls or puts).
Attributes:
optionChain: Pandas dataframe with optionChain data as rows.
:raises ValueError: Symbol for put/call in JSON not found in dataframe column.
:return: List of Option base type objects (puts or calls).
"""
optionObjects = []
# Create a dictionary for the fields that we will read from each row of the dataframe. The fields should also be
# specified in the dataProviders.json file.
# Instead of manually specifying the fields below, we could read them from the Option class.
optionFieldDict = {
'underlyingTicker': None,
'strikePrice': None,
'delta': None,
'expirationDateTime': None,
'underlyingPrice': None,
'optionSymbol': None,
'bidPrice': None,
'askPrice': None,
'tradePrice': None,
'openInterest': None,
'volume': None,
'dateTime': None,
'theta': None,
'gamma': None,
'rho': None,
'vega': None,
'impliedVol': None,
'exchangeCode': None,
'exercisePrice': None,
'assignPrice': None,
'openCost': None,
'closeCost': None,
}
dataProviderConfig = self.__dataConfig[self.__dataProvider]
for _, row in optionChain.iterrows():
# Defaults to PUT (True).
putOrCall = True
for option_column_name, dataframe_column_name in dataProviderConfig[
'column_names'].items():
# Check that we need to look up the field.
if not dataframe_column_name:
continue
if option_column_name == 'optionType':
optionType = row[dataframe_column_name]
# Convert any lowercase symbols to uppercase.
optionType = str(optionType).upper()
if optionType == dataProviderConfig[
'call_symbol_abbreviation']:
putOrCall = False
elif optionType == dataProviderConfig[
'put_symbol_abbreviation']:
putOrCall = True
else:
raise ValueError(
'Symbol for put / call in dataProviders.json not found in optionType dataframe column.'
)
else:
optionFieldDict[option_column_name] = row[
dataframe_column_name]
if optionFieldDict['bidPrice'] is not None and optionFieldDict[
'askPrice'] is not None:
optionFieldDict['tradePrice'] = (decimal.Decimal(
optionFieldDict['bidPrice']) + decimal.Decimal(
optionFieldDict['askPrice'])) / decimal.Decimal(2.0)
argsDict = {
'underlyingTicker':
optionFieldDict['underlyingTicker'],
'strikePrice':
decimal.Decimal(optionFieldDict['strikePrice']),
'delta':
float(optionFieldDict['delta']),
'expirationDateTime':
datetime.datetime.strptime(
optionFieldDict['expirationDateTime'],
dataProviderConfig['date_time_format']),
'underlyingPrice':
decimal.Decimal(optionFieldDict['underlyingPrice']),
'optionSymbol':
optionFieldDict['optionSymbol'],
'bidPrice':
decimal.Decimal(optionFieldDict['bidPrice']),
'askPrice':
decimal.Decimal(optionFieldDict['askPrice']),
'tradePrice':
decimal.Decimal(optionFieldDict['tradePrice']),
'openInterest':
int(optionFieldDict['openInterest']),
'volume':
int(optionFieldDict['volume']),
'dateTime':
datetime.datetime.strptime(
optionFieldDict['dateTime'],
dataProviderConfig['date_time_format']),
'theta':
float(optionFieldDict['theta']),
'gamma':
float(optionFieldDict['gamma']),
'rho':
float(optionFieldDict['rho']),
'vega':
float(optionFieldDict['vega']),
'impliedVol':
float(optionFieldDict['impliedVol']),
'exchangeCode':
optionFieldDict['exchangeCode'],
'exercisePrice':
decimal.Decimal(optionFieldDict['exercisePrice'])
if optionFieldDict['exercisePrice'] else None,
'assignPrice':
decimal.Decimal(optionFieldDict['assignPrice'])
if optionFieldDict['assignPrice'] else None,
'openCost':
decimal.Decimal(optionFieldDict['openCost'])
if optionFieldDict['openCost'] else None,
'closeCost':
decimal.Decimal(optionFieldDict['closeCost'])
if optionFieldDict['closeCost'] else None,
}
if not putOrCall:
optionObjects.append(call.Call(**argsDict))
else:
optionObjects.append(put.Put(**argsDict))
# Reset all the dictionary values back to None. This is probably overkill since we can just rewrite them.
optionFieldDict = optionFieldDict.fromkeys(optionFieldDict, None)
return optionObjects
