class trade_ES(): def __init__(self): self.ib = IB() self.ib.connect('127.0.0.1', 7497, clientId=np.random.randint(10, 1000)) self.tickers_ret = {} self.endDateTime = '' self.No_days = '43200 S' self.interval = '30 secs' self.tickers_signal = "Hold" self.ES = Future(symbol='ES', lastTradeDateOrContractMonth='20200619', exchange='GLOBEX', currency='USD') self.ib.qualifyContracts(self.ES) self.ES_df = self.ib.reqHistoricalData(contract=self.ES, endDateTime=self.endDateTime, durationStr=self.No_days, barSizeSetting=self.interval, whatToShow='TRADES', useRTH=False, keepUpToDate=True) self.tickers_ret = [] self.options_ret = [] self.option = {'call': FuturesOption, 'put': FuturesOption} self.options_history = {} self.trade_options = {'call': [], 'put': []} self.price = 0 self.i = -1 self.ES_df.updateEvent += self.make_clean_df self.Buy = True self.Sell = False self.ib.positionEvent += self.order_verify self.waitTimeInSeconds = 220 self.tradeTime = 0 self.mySemaphore = asyncio.Semaphore(1) def run(self): self.make_clean_df(self.ES_df) def next_exp_weekday(self): weekdays = {2: [6, 0], 4: [0, 1, 2], 0: [3, 4]} today = datetime.date.today().weekday() for exp, day in weekdays.items(): if today in day: return exp def next_weekday(self, d, weekday): days_ahead = weekday - d.weekday() if days_ahead <= 0: # Target day already happened this week days_ahead += 7 date_to_return = d + datetime.timedelta( days_ahead) # 0 = Monday, 1=Tuself.ESday, 2=Wednself.ESday... return date_to_return.strftime('%Y%m%d') def get_strikes_and_expiration(self): expiration = self.next_weekday(datetime.date.today(), self.next_exp_weekday()) chains = self.ib.reqSecDefOptParams(underlyingSymbol='ES', futFopExchange='GLOBEX', underlyingSecType='FUT', underlyingConId=self.ES.conId) chain = util.df(chains) strikes = chain[chain['expirations'].astype(str).str.contains( expiration)].loc[:, 'strikes'].values[0] [ESValue] = self.ib.reqTickers(self.ES) ES_price = ESValue.marketPrice() strikes = [ strike for strike in strikes if strike % 5 == 0 and ES_price - 10 < strike < ES_price + 10 ] return strikes, expiration def get_contract(self, right, net_liquidation): strikes, expiration = self.get_strikes_and_expiration() for strike in strikes: contract = FuturesOption(symbol='ES', lastTradeDateOrContractMonth=expiration, strike=strike, right=right, exchange='GLOBEX') self.ib.qualifyContracts(contract) self.price = self.ib.reqMktData(contract, "", False, False) if float(self.price.last) * 50 >= net_liquidation: continue else: return contract def make_clean_df(self, ES_df, hashbar=None): ES_df = util.df(ES_df) ES_df['RSI'] = ta.RSI(ES_df['close']) ES_df['macd'], ES_df['macdsignal'], ES_df['macdhist'] = ta.MACD( ES_df['close'], fastperiod=12, slowperiod=26, signalperiod=9) ES_df['MA_9'] = ta.MA(ES_df['close'], timeperiod=9) ES_df['MA_21'] = ta.MA(ES_df['close'], timeperiod=21) ES_df['MA_200'] = ta.MA(ES_df['close'], timeperiod=200) ES_df['EMA_9'] = ta.EMA(ES_df['close'], timeperiod=9) ES_df['EMA_21'] = ta.EMA(ES_df['close'], timeperiod=21) ES_df['EMA_200'] = ta.EMA(ES_df['close'], timeperiod=200) ES_df['ATR'] = ta.ATR(ES_df['high'], ES_df['low'], ES_df['close']) ES_df['roll_max_cp'] = ES_df['high'].rolling(20).max() ES_df['roll_min_cp'] = ES_df['low'].rolling(20).min() ES_df['roll_max_vol'] = ES_df['volume'].rolling(20).max() ES_df.dropna(inplace=True) self.loop_function(ES_df) def placeOrder(self, contract, order): trade = self.ib.placeOrder(contract, order) tradeTime = datetime.datetime.now() return ([trade, contract, tradeTime]) def sell(self, contract, position): self.ib.qualifyContracts(contract) if position.position > 0: order = 'Sell' else: order = 'Buy' marketorder = MarketOrder(order, abs(position.position)) marketTrade, contract, tradeTime = self.placeOrder( contract, marketorder) while self.ib.position.position != 0: self.ib.sleep(1) self.mySemaphore.release() async def buy(self, contract): await self.semaphore.acquire() self.ib.qualifyContracts(contract) marketorder = MarketOrder('Buy', 1) marketTrade = self.ib.placeOrder(contract, marketorder) def order_verify(self, order): if order.position == 0.0 or order.position < 0: self.Buy = True self.Sell = False elif order.position > 0: self.Buy = False self.Sell = True else: self.Buy = False self.Sell = False print(f'Buy= {self.Buy}, sell = {self.Sell}') def loop_function(self, ES_df): df = ES_df[[ 'high', 'low', 'volume', 'close', 'RSI', 'ATR', 'roll_max_cp', 'roll_min_cp', 'roll_max_vol', 'EMA_9', 'EMA_21', 'macd', 'macdsignal' ]] if self.tickers_signal == "Hold": print('Hold') if df["high"].iloc[self.i] >= df["roll_max_cp"].iloc[self.i] and \ df["volume"].iloc[self.i] > df["roll_max_vol"].iloc[self.i - 1] and df['RSI'].iloc[self.i] > 30 \ and df['macd'].iloc[self.i] > df['macdsignal'].iloc[self.i] : self.tickers_signal = "Buy" return elif df["low"].iloc[self.i] <= df["roll_min_cp"].iloc[self.i] and \ df["volume"].iloc[self.i] > df["roll_max_vol"].iloc[self.i - 1] and df['RSI'].iloc[self.i] < 70 \ and df['macd'].iloc[self.i] < df['macdsignal'].iloc[self.i]: self.tickers_signal = "Sell" return else: self.tickers_signal = "Hold" return elif self.tickers_signal == "Buy": print('BUY SIGNAL') if df["close"].iloc[self.i] > df["close"].iloc[self.i - 1] - ( 0.75 * df["ATR"].iloc[self.i - 1]) and len( self.ib.positions()) != 0: print( f'{df["close"].iloc[self.i]} > {df["close"].iloc[self.i - 1] - (0.75 * df["ATR"].iloc[self.i - 1])}' ) print('first buy condition') positions = self.ib.positions() for position in positions: if position.contract.right == 'C': self.sell(position.contract, position) self.tickers_signal = "Hold" return elif df["low"].iloc[self.i] <= df["roll_min_cp"].iloc[self.i] and \ df["volume"].iloc[self.i] > df["roll_max_vol"].iloc[self.i - 1] and df['RSI'].iloc[self.i] < 70 \ and df['macd'].iloc[self.i] < df['macdsignal'].iloc[self.i] and len(self.ib.positions())!=0: self.tickers_signal = "Sell" print('sell') positions = self.ib.positions() for position in positions: if position.contract.right == 'C': self.sell(position.contract, position) self.tickers_signal == "Sell" return else: if len(self.ib.positions()) == 0: self.option['call'] = self.get_contract( right="C", net_liquidation=2000) self.buy(self.option['call']) self.tickers_signal = "Hold" else: self.tickers_signal = "Hold" elif self.tickers_signal == "Sell": print('SELL SIGNAL') if df["close"].iloc[self.i] < df["close"].iloc[self.i - 1] + ( 0.75 * df["ATR"].iloc[self.i - 1]) and len( self.ib.positions()) != 0: print('first sell condition') print( f'{df["close"].iloc[self.i]} < {df["close"].iloc[self.i - 1] - (0.75 * df["ATR"].iloc[self.i - 1])}' ) print('sell') positions = self.ib.positions() for position in positions: if position.contract.right == 'P': self.sell(position.contract, position) self.tickers_signal = "Hold" return elif df["high"].iloc[self.i] >= df["roll_max_cp"].iloc[self.i] and \ df["volume"].iloc[self.i] > df["roll_max_vol"].iloc[self.i - 1] and df['RSI'].iloc[self.i] > 30 \ and df['macd'].iloc[self.i] > df['macdsignal'].iloc[self.i] and len(self.ib.positions())!=0: self.tickers_signal = "Buy" print('sell') positions = self.ib.positions() for position in positions: if position.contract.right == 'P': self.sell(position.contract, position) self.tickers_signal == "Buy" return else: if len(self.ib.positions()) == 0: self.option['put'] = self.get_contract( right="P", net_liquidation=2000) self.buy(self.option['put']) self.tickers_signal = "Hold" else: self.tickers_signal = "Hold" def checkError(self, errCode, errString): print('Error Callback', errCode, errString) if errCode == 2104: print('re-connect after 5 secs') self.ib.sleep(5) self.ib.disconnect() self.ib.connect('127.0.0.1', 7497, clientId=np.random.randint(10, 1000)) self.make_clean_df(self.ES)
def get_option_chain( ib: IB, qualified_contract: Contract, expirations: str, use_delayed_data=False, strike_min=None, strike_max=None, strike_modulus=None, rights=["P", "C"], ) -> pd.DataFrame: """ TODO: Write documentation """ if use_delayed_data: ib.reqMarketDataType(3) [ticker] = ib.reqTickers(qualified_contract) current_price = ticker.marketPrice() strike_min = strike_min or current_price * 0.90 strike_max = strike_max or current_price * 1.10 chains = ib.reqSecDefOptParams(qualified_contract.symbol, '', qualified_contract.secType, qualified_contract.conId) chain = next(c for c in chains if c.tradingClass == qualified_contract.symbol and c.exchange == qualified_contract.exchange) if strike_modulus: strikes = [ strike for strike in chain.strikes if strike_min < strike < strike_max and strike % strike_modulus == 0 ] else: strikes = [ strike for strike in chain.strikes if strike_min < strike < strike_max ] contracts = [ Option(qualified_contract.symbol, expiration, strike, right, qualified_contract.exchange, tradingClass=qualified_contract.symbol) for right in rights for expiration in expirations for strike in strikes ] if use_delayed_data: ib.reqMarketDataType(3) ib.qualifyContracts(*contracts) contracts = [contract for contract in contracts if contract.multiplier] if use_delayed_data: ib.reqMarketDataType(3) tickers = ib.reqTickers(*contracts) d = { "Expiration": [ str(ticker.contract.lastTradeDateOrContractMonth) for ticker in tickers ], "Strike": [ticker.contract.strike for ticker in tickers], "Right": [str(ticker.contract.right) for ticker in tickers], "Ask": [ticker.ask for ticker in tickers], "Multiplier": [int(ticker.contract.multiplier) for ticker in tickers], } return pd.DataFrame(data=d)
parser.add_argument('symbol', type=str, help="The stock symbol (eg: GOOG) to use.") parser.add_argument('-e', '--expirations', metavar="YYYYMMDD", type=str, nargs="+", help="Option expiration date(s).", required=True) parser.add_argument('-f', '--future_prices', type=float, nargs="+", help="Future price(s) for computing profit.", required=True) parser.add_argument('-m', '--strike_modulus', type=int, help="Modulus value for strike prices", required=False) parser.add_argument('--contract_per_price', dest="contract_per_price", type=int, default=3) args = parser.parse_args() pd.set_option("display.max_rows", None) ib = IB() ib.connect() contract = Stock(args.symbol, "SMART", "USD") ib.reqMarketDataType(1) ib.qualifyContracts(contract) [ticker] = ib.reqTickers(contract) current_price = ticker.marketPrice() strike_min=min(current_price * 0.9, min(args.future_prices)) strike_max=max(current_price * 1.1, max(args.future_prices)) strike_modulus = args.strike_modulus or None option_chain = get_option_chain(ib, contract, args.expirations, strike_min=strike_min, strike_max=strike_max, strike_modulus=strike_modulus) for future_price in args.future_prices: df = option_chain.copy() print("\n\n") print(f"For: {contract.symbol} with future price of {future_price}") df["Price"] = df["Ask"] * df["Multiplier"] df["ProfitPerContract"] = calc_option_contract_profit(df["Ask"], df["Strike"], df["Multiplier"], df["Right"], future_price) df["ProfitPerDollar"] = df["ProfitPerContract"] / (df["Ask"] * df["Multiplier"]) df.drop(columns=["Multiplier"])
from ib_insync import IB, Option, Stock # For this example, must have TWS running ib = IB() ib.connect("127.0.0.1", 7497, clientId=1) ib.reqMarketDataType(4) # get SPY option chain symbol = "SPY" stock = Stock(symbol, "SMART", currency="USD") contracts = ib.qualifyContracts(stock) [ticker] = ib.reqTickers(stock) tickerValue = ticker.marketPrice() print(tickerValue) chains = ib.reqSecDefOptParams(stock.symbol, "", stock.secType, stock.conId) chain = next(c for c in chains if c.exchange == "SMART") print(chain) # get call options for all expirations and strikes within range strikes = [ strike for strike in chain.strikes if strike % 5 == 0 and tickerValue - 20 < strike < tickerValue + 20 ] contracts = [ Option(symbol, expiration, strike, "C", "SMART", tradingClass=chain.tradingClass) for expiration in chain.expirations
def main(symbol): # util.logToConsole(logging.DEBUG) util.logToFile('log.txt') s = symbol.upper() click.echo("Options for {} Loading: ".format(s), nl=False) ib = IB() ib.connect('127.0.0.1', 7497, clientId=3, readonly=True) contract = Stock(s, 'SMART', 'USD') ib.qualifyContracts(contract) click.echo('Chains ', nl=False) chains = ib.reqSecDefOptParams(contract.symbol, '', contract.secType, contract.conId) chain = next(c for c in chains if c.exchange == 'SMART') click.echo('Price '.format(s), nl=False) ib.reqMarketDataType(1) [ticker] = ib.reqTickers(contract) value = ticker.marketPrice() strikes = [ strike for strike in chain.strikes if value * 0.90 < strike < value * 1.0 ] expirations = sorted(exp for exp in chain.expirations)[:2] rights = ['P', 'C'] click.echo("Option Contracts {}@{} ".format(s, value), nl=False) contracts = [ Option(s, expiration, strike, right, 'SMART', tradingClass=s) for right in rights for expiration in expirations for strike in strikes ] click.echo('Validate ', nl=False) contracts = ib.qualifyContracts(*contracts) click.echo(len(contracts), nl=False) ib.reqMarketDataType(4) click.echo(' Ticker') tickers = ib.reqTickers(*contracts) options = [] for t in tickers: # click.echo(t) # calc = ib.calculateOptionPrice( # t.contract, volatility=0.14, underPrice=value) # print(calc) options.append(OptionData(t)) df = util.df(options, [ 'symbol', 'lastTradeDateOrContractMonth', 'strike', 'right', 'marketPrice', 'optionYield', 'timeToExpiration', 'spread', 'bid', 'ask', 'impliedVol', 'delta', 'gamma', 'vega' ]) click.echo(df) currentWeekPut = df[(df['right'] == 'P') & (df['lastTradeDateOrContractMonth'] == expirations[0])] click.echo(currentWeekPut.loc[(abs(abs(currentWeekPut.delta) - 0.2)).sort_values().index].head(2)) ib.disconnect()
ib.connect("127.0.0.1", 4002, clientId=2) # TWS=7496, GTW=4001, # PAPER=7497 cs = ib.reqContractDetails(Stock(symbol="SPY", exchange="ARCA")) x = cs[0].contract # 1) prendi tutti gli strikes e tutte le exp chains = ib.reqSecDefOptParams( underlyingSymbol=x.symbol, futFopExchange="", underlyingSecType=x.secType, underlyingConId=x.conId, ) chain = next(c for c in chains if c.tradingClass == "SPY" and c.exchange == "SMART") [ticker] = ib.reqTickers(x) xValue = ticker.marketPrice() strikes = [ strike for strike in chain.strikes if strike % 5 == 0 and xValue - 2 < strike < xValue + 2 ] expirations = sorted(exp for exp in chain.expirations)[:3] rights = ["P", "C"] contracts = [ Option("SPY", expiration, strike, right, "SMART", tradingClass="SPY") for right in rights for expiration in expirations for strike in strikes