execution_record = account.dict_holding[
order.id_instrument].execute_order(
order,
slippage=0,
execute_type=c.ExecuteType.EXECUTE_ALL_UNITS)
account.add_record(execution_record,
account.dict_holding[order.id_instrument])
account.daily_accounting(optionset.eval_date)
print(optionset.eval_date, ' close out ')
print(optionset.eval_date, hedging.eval_date,
account.account.loc[optionset.eval_date, c.Util.PORTFOLIO_NPV],
int(account.cash))
break
if not empty_position:
moneyness_put = optionset.get_option_moneyness(atm_put)
moneyness_call = optionset.get_option_moneyness(atm_call)
if close_signal(optionset.eval_date, maturity1, df_iv_stats):
for option in account.dict_holding.values():
order = account.create_close_order(option)
record = option.execute_order(order, slippage=slippage)
account.add_record(record, option)
hedging.synthetic_unit = 0
empty_position = True
if empty_position and open_signal(optionset.eval_date, df_iv_stats):
buy_write = c.BuyWrite.WRITE
long_short = c.LongShort.SHORT
maturity1 = optionset.select_maturity_date(nbr_maturity=0,
min_holding=15)
list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(
list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(
moneyness, maturity1)
if list_atm_put is None:
# list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(0, maturity1)
list_atm_put = optionset.get_deepest_otm_put_list(
maturity1)
atm_put = optionset.select_higher_volume(list_atm_put)
underlying_value = unit_underlying * underlying.mktprice_close(
) * underlying.multiplier()
unit = get_option_unit(atm_put, underlying_value, target_delta)
order = account.create_trade_order(atm_put, c.LongShort.LONG,
unit)
record = atm_put.execute_order(order, slippage=slippage)
account.add_record(record, atm_put)
else:
option_moneyness = optionset.get_option_moneyness(atm_put)
if abs(option_moneyness - moneyness) > 1: # shift strike
order = account.create_close_order(atm_put)
execution_record = account.dict_holding[
order.id_instrument].execute_order(
order,
slippage=slippage,
execute_type=c.ExecuteType.EXECUTE_ALL_UNITS)
account.add_record(
execution_record,
account.dict_holding[order.id_instrument])
list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(
moneyness, maturity1)
if list_atm_put is None:
# list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(0, maturity1)
list_atm_put = optionset.get_deepest_otm_put_list(