def find_eligible_contracts(self,
symbol,
right,
min_strike=0,
excluded_expirations=[]):
click.echo()
click.secho(
f"Searching option chain for symbol={symbol} right={right}, this can take a while...",
fg="green",
)
click.echo()
stock = Stock(symbol, "SMART", currency="USD")
contracts = self.ib.qualifyContracts(stock)
[ticker] = self.ib.reqTickers(stock)
tickerValue = ticker.marketPrice()
chains = self.ib.reqSecDefOptParams(stock.symbol, "", stock.secType,
stock.conId)
chain = next(c for c in chains if c.exchange == "SMART")
def valid_strike(strike):
if right.startswith("P"):
return strike <= tickerValue
if right.startswith("C"):
return strike >= tickerValue and strike >= min_strike
return False
chain_expirations = self.config["option_chains"]["expirations"]
strikes = sorted(strike for strike in chain.strikes
if valid_strike(strike))
expirations = sorted(
exp for exp in chain.expirations
if option_dte(exp) >= self.config["target"]["dte"]
and exp not in excluded_expirations)[:chain_expirations]
rights = [right]
def nearest_strikes(strikes):
chain_strikes = self.config["option_chains"]["strikes"]
if right.startswith("P"):
return strikes[-chain_strikes:]
if right.startswith("C"):
return strikes[:chain_strikes]
contracts = [
Option(
symbol,
expiration,
strike,
right,
"SMART",
tradingClass=chain.tradingClass,
) for right in rights for expiration in expirations
for strike in nearest_strikes(strikes)
]
contracts = self.ib.qualifyContracts(*contracts)
tickers = self.ib.reqTickers(*contracts)
# Filter out tickers which don't have a midpoint price
tickers = [t for t in tickers if not util.isNan(t.midpoint())]
def open_interest_is_valid(ticker):
ticker = self.ib.reqMktData(ticker.contract, genericTickList="101")
def open_interest_is_not_ready():
if right.startswith("P"):
return util.isNan(ticker.putOpenInterest)
if right.startswith("C"):
return util.isNan(ticker.callOpenInterest)
try:
while_n_times(
open_interest_is_not_ready,
lambda: self.ib.waitOnUpdate(timeout=5),
25,
)
except:
return False
self.ib.cancelMktData(ticker.contract)
# The open interest value is never present when using historical
# data, so just ignore it when the value is None
if right.startswith("P"):
return (ticker.putOpenInterest >=
self.config["target"]["minimum_open_interest"])
if right.startswith("C"):
return (ticker.callOpenInterest >=
self.config["target"]["minimum_open_interest"])
def delta_is_valid(ticker):
return (ticker.modelGreeks
and not util.isNan(ticker.modelGreeks.delta)
and abs(ticker.modelGreeks.delta) <= get_target_delta(
self.config, symbol, right))
# Filter by delta and open interest
tickers = [ticker for ticker in tickers if delta_is_valid(ticker)]
tickers = [
ticker for ticker in tickers if open_interest_is_valid(ticker)
]
tickers = sorted(
reversed(sorted(tickers, key=lambda t: abs(t.modelGreeks.delta))),
key=lambda t: option_dte(t.contract.lastTradeDateOrContractMonth),
)
if len(tickers) == 0:
raise RuntimeError(
f"No valid contracts found for {symbol}. Aborting.")
# Return the first result
return tickers[0]
# asyncio.set_event_loop_policy(uvloop.EventLoopPolicy())
from ib_insync.contract import Stock, Forex, Index, Option, Future, CFD
asyncio.get_event_loop().set_debug(True)
util.logToConsole(logging.DEBUG)
ib = IB()
ib.connect('127.0.0.1', 7497, clientId=21)
aex = Index('EOE', 'FTA')
eurusd = Forex('EURUSD')
intc = Stock('INTC', 'SMART', 'USD', primaryExchange='NASDAQ')
amd = Stock('AMD', 'SMART', 'USD')
aapl = Stock('AAPL', 'SMART', 'USD')
tsla = Stock('TSLA', 'SMART', 'USD')
spy = Stock('SPY', 'ARCA')
wrongContract = Forex('lalala')
option = Option('EOE', '20171215', 490, 'P', 'FTA', multiplier=100)
if 0:
cds = ib.reqContractDetails(aex)
print(cds)
cd = cds[0]
print(cd)
conId = cd.summary.conId
ib.qualifyContracts(aex, eurusd, intc)
print(aex, eurusd, intc)
print(ib.reqContractDetails(wrongContract))
if 0:
sub = ScannerSubscription(instrument='FUT.US',
locationCode='FUT.GLOBEX', scanCode='TOP_PERC_GAIN')
print(ib.reqScannerData(sub, []))
print(len(ib.reqScannerParameters()))
def find_eligible_contracts(self, symbol, right):
stock = Stock(symbol, "SMART", currency="USD")
contracts = self.ib.qualifyContracts(stock)
[ticker] = self.ib.reqTickers(stock)
tickerValue = ticker.marketPrice()
chains = self.ib.reqSecDefOptParams(
stock.symbol, "", stock.secType, stock.conId
)
chain = next(c for c in chains if c.exchange == "SMART")
def valid_strike(strike):
if right.startswith("P"):
return strike <= tickerValue
if right.startswith("C"):
return strike >= tickerValue
return False
chain_expirations = self.config["option_chains"]["expirations"]
strikes = sorted(strike for strike in chain.strikes if valid_strike(strike))
expirations = sorted(
exp
for exp in chain.expirations
if option_dte(exp) >= self.config["target"]["dte"]
)[:chain_expirations]
rights = [right]
def nearest_strikes(strikes):
chain_strikes = self.config["option_chains"]["strikes"]
if right.startswith("P"):
return strikes[-chain_strikes:]
if right.startswith("C"):
return strikes[:chain_strikes]
contracts = [
Option(
symbol,
expiration,
strike,
right,
"SMART",
tradingClass=chain.tradingClass,
)
for right in rights
for expiration in expirations
for strike in nearest_strikes(strikes)
]
contracts = self.ib.qualifyContracts(*contracts)
tickers = self.ib.reqTickers(*contracts)
def open_interest_is_valid(ticker):
ticker = self.ib.reqMktData(ticker.contract, genericTickList="101")
while util.isNan(ticker.putOpenInterest) or util.isNan(
ticker.callOpenInterest
):
self.ib.waitOnUpdate(timeout=2)
self.ib.cancelMktData(ticker.contract)
# The open interest value is never present when using historical
# data, so just ignore it when the value is None
if right.startswith("P"):
return (
ticker.putOpenInterest
>= self.config["target"]["minimum_open_interest"]
)
if right.startswith("C"):
return (
ticker.callOpenInterest
>= self.config["target"]["minimum_open_interest"]
)
def delta_is_valid(ticker):
return (
ticker.modelGreeks
and ticker.modelGreeks.delta
and abs(ticker.modelGreeks.delta) <= self.config["target"]["delta"]
)
# Filter by delta and open interest
tickers = [ticker for ticker in tickers if delta_is_valid(ticker)]
tickers = [ticker for ticker in tickers if open_interest_is_valid(ticker)]
tickers = sorted(
reversed(sorted(tickers, key=lambda t: abs(t.modelGreeks.delta))),
key=lambda t: option_dte(t.contract.lastTradeDateOrContractMonth),
)
if len(tickers) == 0:
raise RuntimeError(f"No valid contracts found for {symbol}. Aborting.")
return tickers[0]
def find_eligible_contracts(
self,
symbol,
primary_exchange,
right,
strike_limit,
exclude_expirations_before=None,
exclude_first_exp_strike=None,
):
click.echo()
click.secho(
f"Searching option chain for symbol={symbol} "
f"right={right}, this can take a while...",
fg="green",
)
click.echo()
stock = Stock(symbol,
"SMART",
currency="USD",
primaryExchange=primary_exchange)
self.ib.qualifyContracts(stock)
ticker = self.get_ticker_for(stock)
tickerValue = ticker.marketPrice()
chains = self.get_chains_for_stock(stock)
chain = next(c for c in chains if c.exchange == "SMART")
def valid_strike(strike):
if right.startswith("P") and strike_limit:
return strike <= tickerValue and strike <= strike_limit
elif right.startswith("P"):
return strike <= tickerValue
elif right.startswith("C") and strike_limit:
return strike >= tickerValue and strike >= strike_limit
elif right.startswith("C"):
return strike >= tickerValue
return False
chain_expirations = self.config["option_chains"]["expirations"]
min_dte = (option_dte(exclude_expirations_before)
if exclude_expirations_before else 0)
strikes = sorted(strike for strike in chain.strikes
if valid_strike(strike))
expirations = sorted(
exp for exp in chain.expirations
if option_dte(exp) >= self.config["target"]["dte"]
and option_dte(exp) >= min_dte)[:chain_expirations]
rights = [right]
def nearest_strikes(strikes):
chain_strikes = self.config["option_chains"]["strikes"]
if right.startswith("P"):
return strikes[-chain_strikes:]
if right.startswith("C"):
return strikes[:chain_strikes]
contracts = [
Option(
symbol,
expiration,
strike,
right,
"SMART",
# tradingClass=chain.tradingClass,
) for right in rights for expiration in expirations
for strike in nearest_strikes(strikes)
]
contracts = self.ib.qualifyContracts(*contracts)
# exclude strike, but only for the first exp
if exclude_first_exp_strike:
contracts = [
c for c in contracts
if (c.lastTradeDateOrContractMonth == expirations[0]
and c.strike != exclude_first_exp_strike)
or c.lastTradeDateOrContractMonth != expirations[0]
]
tickers = self.get_ticker_list_for(tuple(contracts))
# Filter out contracts which don't have a midpoint price
tickers = [t for t in tickers if not util.isNan(t.midpoint())]
def open_interest_is_valid(ticker):
def open_interest_is_not_ready():
if right.startswith("P"):
return util.isNan(ticker.putOpenInterest)
if right.startswith("C"):
return util.isNan(ticker.callOpenInterest)
try:
wait_n_seconds(
open_interest_is_not_ready,
lambda: self.ib.waitOnUpdate(timeout=15),
API_RESPONSE_WAIT_TIME,
)
except RuntimeError:
click.secho(
f"Timeout waiting on market data for "
f"{ticker.contract}. Continuing...",
fg="yellow",
)
return False
finally:
self.ib.cancelMktData(ticker.contract)
# The open interest value is never present when using historical
# data, so just ignore it when the value is None
if right.startswith("P"):
return (ticker.putOpenInterest >=
self.config["target"]["minimum_open_interest"])
if right.startswith("C"):
return (ticker.callOpenInterest >=
self.config["target"]["minimum_open_interest"])
def delta_is_valid(ticker):
return (ticker.modelGreeks
and not util.isNan(ticker.modelGreeks.delta)
and ticker.modelGreeks.delta is not None
and abs(ticker.modelGreeks.delta) <= get_target_delta(
self.config, symbol, right))
def price_is_valid(ticker):
return not util.isNan(ticker.midpoint()) or not util.isNan(
ticker.marketPrice())
# Filter out tickers without prices
tickers = [ticker for ticker in tickers if price_is_valid(ticker)]
# Filter by delta and open interest
tickers = [ticker for ticker in tickers if delta_is_valid(ticker)]
# Fetch market data
tickers = [
self.ib.reqMktData(ticker.contract, genericTickList="101")
for ticker in tickers
]
# Fetch open interest
tickers = [
ticker for ticker in tickers if open_interest_is_valid(ticker)
]
# Sort by delta first, then expiry date
tickers = sorted(
reversed(sorted(tickers, key=lambda t: abs(t.modelGreeks.delta))),
key=lambda t: option_dte(t.contract.lastTradeDateOrContractMonth),
)
if len(tickers) == 0:
raise RuntimeError(
f"No valid contracts found for {symbol}. Aborting.")
# Return the first result
return tickers[0]
