cikeys = [Option('BAC', expiry, 'C', 10),
Option('BAC', expiry, 'C', 10.5),
Option('BAC', expiry, 'P', 11.5),
Option('BAC', expiry, 'P', 12)]
pikeys = [Option('BAC', expiry, 'C', 12),
Option('BAC', expiry, 'C', 11.5),
Option('BAC', expiry, 'P', 10.5),
Option('BAC', expiry, 'P', 10)]
box = [Option('BAC', expiry, 'C', 12),
Option('BAC', expiry, 'C', 11.5),
Option('BAC', expiry, 'P', 10.5),
Option('BAC', expiry, 'P', 10)]
cbids = [c.request_contract_details(x)[0].m_summary.m_conId for x in cbkeys]
pbids = [c.request_contract_details(x)[0].m_summary.m_conId for x in cbkeys]
cbinds = [c.request_contract_details(x)[0].m_summary.m_conId for x in cbinkeys]
pbinds = [c.request_contract_details(x)[0].m_summary.m_conId for x in cbinkeys]
ciids = [c.request_contract_details(x)[0].m_summary.m_conId for x in cikeys]
piids = [c.request_contract_details(x)[0].m_summary.m_conId for x in pikeys]
cb = co.Butterfly(*cbids)
pb = co.Butterfly(*pbids)
cbin = co.Butterfly(*cbinds)
pbin = co.Butterfly(*pbinds)
ci = co.IronCondor(*ciids)
pi = co.IronCondor(*piids)
c.request_mkt_data(cb.contract, snapshot=False, fname=('%s.txt' % cb.conId))
c.request_mkt_data(pb.contract, snapshot=False, fname=('%s.txt' % pb.conId))
#!/usr/local/bin/jython import logging import signal import sys from ib.client import Client from ib.contractkeys import Currency, CurrencyLocal, Stock, Option, OptionLocal from com.ib.client import Contract, ExecutionFilter import ib.client import ib.combo_orders as co ib.client.LOGLEVEL = logging.DEBUG def cleanup(signal, frame): c.disconnect() sys.exit(0) c = Client() c.connect() symbol = 'EMC' expiry = '20130125' right = 'C' details = c.request_contract_details(Option(symbol, expiry, right, None)) a = [(x.m_summary.m_conId, x.m_summary.m_strike) for x in details] [c.request_historical_data(x.m_summary, end_time='20130123 15:50:00', duration='1 D', bar_size='1 min', show='ASK') for x in details] signal.signal(signal.SIGINT, cleanup)
def cleanup(signal, frame):
c.disconnect()
sys.exit(0)
c = Client()
c.connect()
spot_prices = [x*.01 for x in range(800, 1301)]
symbol = 'BAC'
expirys = ('20130201', '20130215')
strikes = range(9, 13)
keys = [Stock(symbol)]
keys += [Option(symbol, x, y, z) for x in expirys for y in ['C', 'P'] for z in strikes]
contracts = [c.request_contract_details(x)[0].m_summary.m_conId for x in keys]
id_to_key = dict(zip(contracts, keys))
pairs = [(x, y) for x in contracts for y in contracts if x != y]
triples = [(x, y, z) for x in contracts for y in contracts for z in contracts
if not (x == y == z)]
quartets = [(w, x, y, z) for w in contracts for x in contracts
for y in contracts for z in contracts
if not (w == x == y == z)]
#buttertest = [ x + ('P',) for x in triples]
#buttertest += [ x + ('C',) for x in triples]
#buttertest += [triples[0] + ('Nope',)]
#irontest = [ x + ('PPCC',) for x in quartets]
#irontest += [ x + ('CCPP',) for x in quartets]
#irontest += [quartets[0] + ('Nope',)]
import signal
import sys
from ib.client import Client
from ib.contractkeys import ContractId
pattern = './Butterfly*.mkt'
newdirname = '%(symbol)s_%(expiry)s_%(right)s'
newfilename = '%(strike1)06.2f_%(strike2)06.2f_%(strike3)06.2f.mkt'
if __name__ == "__main__":
c = Client(client_id=8)
c.connect()
filenames = glob.glob(pattern)
for filename in filenames:
conIds = filename.split('.mkt')[0].split('_')[1:]
conIds = [int(x) for x in conIds]
strikes = []
for conId in conIds:
contract = c.request_contract_details(ContractId(conId))[0].m_summary
strikes.append(contract.m_strike)
ndname = newdirname % {'symbol': contract.m_symbol,
'expiry': contract.m_expiry,
'right': contract.m_right}
if not os.path.exists(ndname): os.makedirs(ndname)
nfname = newfilename % {'strike1': strikes[0],
'strike2': strikes[1],
'strike3': strikes[2]}
shutil.copyfile(filename, '/'.join([ndname, nfname]))
c.disconnect()
