def getStockOptionPrice(ib, aStockSymbol, exchange = 'SMART'):
"""
getStockOptionPrices
:Keyword arguments
ib -- ib_insync instance
aStockSymbol -- the Stock Symbol
exchange -- the exchange default is 'SMART'
optionChain -- type is ib_insync.objects.OptionChain
marketPrice -- Market Price of the Underlying/Stock
strikePriceRange -- Strike prices within +- strikePriceRange dollar value of
the current marketPrice (default 20 )
strikePriceMultiple -- Strike prices that are a multitude (eg $5 goes to 20, 25) of
strikePriceMultiple dollar value (default 5 )
:returns
Call price, Put Price
"""
qualityContracts = Stock(aStockSymbol, 'SMART')
ib.qualifyContracts(qualityContracts)
qualityContracts
chains = ib.reqSecDefOptParams(qualityContracts.symbol, '', qualityContracts.secType, qualityContracts.conId)
chain = next(c for c in chains if c.tradingClass == aStockSymbol and c.exchange == exchange)
[ticker] = ib.reqTickers(qualityContracts)
# Get to the next 5 dont want to deal with missing data at the 1 and 2 level
strike5 = (5 * round(ticker.marketPrice() / 5))
# get strikes at strike5
strikes = [strike for strike in chain.strikes
if strike5 == strike]
expiration = dateUtils.getNextExpiryDate() # = sorted(exp for exp in chain.expirations)
rights = ['P', 'C']
contracts = [Option(aStockSymbol, expiration, strike5, right, 'SMART')
for right in rights]
ib.qualifyContracts(*contracts)
contractsForExpiry = [aContract for aContract in contracts
if aContract.lastTradeDateOrContractMonth == dateUtils.getNextExpiryDate()]
tickers = ib.reqTickers(*contractsForExpiry)
if tickers[0].contract.right == 'C':
tickerPriceCall = tickers[0].last
tickerPricePut = tickers[1].last
else:
tickerPriceCall = tickers[1].last
tickerPricePut = tickers[0].last
return tickerPriceCall, tickerPricePut
def getExpectedPriceRangeTillNextExpiryDays(underlyingPrice, impVol):
"""
Get the expected price range of an underlying at the next
monthly expiry.
Parameters
----------
underlyingPrice : price of the underlying stock
impVol : implied volatility of the underlying
Returns
-------
"""
print('underlyingPrice: ', type(underlyingPrice))
print('impVol: ', type(impVol))
try:
priceTimesImpvol = underlyingPrice * impVol
sqrtOfDaysDiv = math.sqrt(
dateUtils.daysToExpiry(dateUtils.getNextExpiryDate()) / 365)
except ValueError:
print("**** in getExpectedPriceRangeTillNextExpiryDays")
print(" ValueError: ", ValueError)
print(' underlyingPrice: ', underlyingPrice)
print(' impVol: ', impVol)
return 0
return round((priceTimesImpvol * sqrtOfDaysDiv), 2)
def getOptionStraddlePrice(ib, qualityContracts, chain):
"""
Get ATM (at the money) Option Straddle Price.
:Keyword arguments
ib -- ib_insync instance
qualityContracts -- a qualified Stock Symbol
chain -- chain of Options / list of expires and strike prices.
:returns
Straddle Price: which is to buy a call option and a put option on the same underlying stock
with the same expiration date and strike price.
"""
[ticker] = ib.reqTickers(qualityContracts)
# Get to the next round at 5 don't want to deal with missing data at the increments of 1 and 2
# eg: we want 125 or 130
# don't get 126,127,128, 129 / these price option are not always available
strike5 = (5 * round(ticker.marketPrice() / 5))
# ToDo should be a better way to get strike5 then loop
# get strikes at strike5
strikes = [strike for strike in chain.strikes if strike5 == strike]
expiration = dateUtils.getNextExpiryDate(
) # = sorted(exp for exp in chain.expirations)
rights = ['P', 'C']
contracts = [
Option(qualityContracts.symbol, expiration, strike5, right, 'SMART')
for right in rights
]
print('Straddle ', contracts)
ib.qualifyContracts(*contracts)
contractsForExpiry = [
aContract for aContract in contracts
if aContract.lastTradeDateOrContractMonth ==
dateUtils.getNextExpiryDate()
]
tickers = ib.reqTickers(*contractsForExpiry)
# Todo - need to update to return close price when market closed else return last
return tickers[0].close + tickers[1].close
def getExpectedPriceRangeTillNextExpiryDays(underlyingPrice, impVol):
"""
Get the expected price range of an underlying at the next
monthly expiry.
using:
(Stock Price * IV)/SQRT(Days to Expiry/#Days in a Year)
suggest using: # todo -- update to this Expected Price Range - do not think this is correct
# todo -- continue to include Days to Expiry. 6/10/2020
(Stock Price * IV)/SQRT(#Days in a Year)
Parameters
----------
underlyingPrice : price of the underlying stock
impVol : implied volatility of the underlying
Returns
-------
"""
# print('underlyingPrice: ', type(underlyingPrice))
# print('impVol: ', type(impVol))
try:
priceTimesImpvol = underlyingPrice * impVol
sqrtOfDaysDiv = math.sqrt(
dateUtils.daysToExpiry(dateUtils.getNextExpiryDate()) / 365)
except ValueError:
print("**** in getExpectedPriceRangeTillNextExpiryDays")
print(" ValueError: ", ValueError)
print(' underlyingPrice: ', underlyingPrice)
print(' impVol: ', impVol)
return 0
return round((priceTimesImpvol * sqrtOfDaysDiv), 2)
def buildExcelFile(aStock, startday, theExpiryDateText):
# Get the company info from BarChart.com
stockInfo = companyInfo.getCompanyStockInfo(aStock)
stockOverview = companyInfo.getCompanyOverview(aStock)
stockFundamentals = companyInfo.getCompanyFundamentals(aStock)
aText, stockRatings = companyInfo.getCompanyRatings(aStock)
callOptions, putOptions, expiryText, aWebDriver = companyOptions.scrapeCompanyOptionData(
aStock, theExpiryDateText)
# Setup Excel output file
outExcelFile = theBaseCompaniesDirectory + startday + '/' + aStock + '_SummaryWeekOf-' + startday + excelSuffix
# Setup Fundamentals worksheet name
sheetIsFundamentals = aStock + '-Fundamentals'
# Starting point for data
sheetRowStart = 4
sheetColStart = 1
# create writer and workbook
writer = pd.ExcelWriter(outExcelFile, engine='xlsxwriter')
fundamentalsWorkbook = writer.book
# percentFormat = fundamentalsWorkbook.add_format({'num_format': '0.0%'})
# currencyFormat = fundamentalsWorkbook.add_format({'num_format': '$#,##0.00'})
# ------------------------------------------------------------------
# set up fundamentals Worksheet
# ------------------------------------------------------------------
# Transpose
stockFundamentalsTranposed = stockFundamentals.T
# Add the Ratings next
stockRatings.to_excel(writer,
sheet_name=sheetIsFundamentals,
startrow=sheetRowStart + 3,
startcol=sheetColStart)
# Add the fundamentals
stockInfo.to_excel(writer,
sheet_name=sheetIsFundamentals,
startrow=sheetRowStart + 7,
startcol=sheetColStart,
header=False)
stockFundamentalsTranposed.to_excel(writer,
sheet_name=sheetIsFundamentals,
startrow=sheetRowStart + 7,
startcol=sheetColStart + 2,
header=False)
stockOverview.to_excel(writer,
sheet_name=sheetIsFundamentals,
startrow=sheetRowStart + 7,
startcol=sheetColStart + 4,
header=False)
# Add the text info on Expiry and Recommendations
fundamentalsWorkbookSheet = writer.sheets[sheetIsFundamentals]
fundamentalsWorkbookSheet.write(sheetRowStart + 1, 1, aText)
fundamentalsWorkbookSheet.write(sheetRowStart, 1, expiryText)
fundamentalsWorkbookSheet.set_column('B:F', 25)
fundamentalsWorkbookSheet.set_column('G:S', 18)
# fundamentalsWorkbookSheet.conditional_format('B2:B8', {'type': '3_color_scale'})
# ------------------------------------------------------------------
# setup the Call/Put Option Worksheets
# ------------------------------------------------------------------
# include the DF header as Excel Header
callOptions.to_excel(writer,
sheet_name=aStock + '-Call Options',
startrow=0,
header=True)
putOptions.to_excel(writer,
sheet_name=aStock + '-Put Options',
startrow=0,
header=True)
# ------------------------------------------------------------------
# setup the Call/Put Option Worksheets
# ------------------------------------------------------------------
# Get aStock Excel file and add as a sheet
inExcelFile = theBaseCompaniesDirectory + startday +\
'/SummaryWeekOf-' + startday + excelSuffix
# Need to use pd.ExcelFile to read in the file to manipulate
yahooEarningsDf_aSymbol_Sheet = pd.ExcelFile(inExcelFile).parse(aStock)
# Add the aStock sheet to our Company Info
yahooEarningsDf_aSymbol_Sheet.to_excel(writer,
sheet_name=aStock +
'-EarningsHistory',
startrow=2,
startcol=sheetColStart)
# ------------------------------------------------------------------
# setup summary Worksheet
# ------------------------------------------------------------------
# get 2 rows of summary data
summaryRow = yahooEarningsDf_aSymbol_Sheet.iloc[0:1, 0:21]
summaryRow = summaryRow[[
"Symbol", "Company", "Earnings_Date", "Time", "Close",
"ABSFwd1MinusClose", "ABSFwd1PlusClose", "Exp$Range", "Volume",
"Option_Volume", "histVol", "impVol", "IV_Delta", "stdFwd1%",
"stdFwd1$TimesClose", "std25Fwd1%", "std25Fwd1$TimesClose",
"max1DayABS$Delta"
]].copy()
summaryRow.rename(columns={'ABSFwd1MinusClose': 'ABS $ Minus'},
inplace=True)
summaryRow.rename(columns={'ABSFwd1PlusClose': 'ABS $ Plus'}, inplace=True)
summaryRow.rename(columns={'stdFwd1%': '1-SD % Move'}, inplace=True)
summaryRow.rename(columns={"stdFwd1$TimesClose": '1-SD $ Move'},
inplace=True)
summaryRow.rename(columns={'std25Fwd1%': '2.5-SD % Move'}, inplace=True)
summaryRow.rename(columns={'max1DayABS$Delta': '1Day Max ABS Delta'},
inplace=True)
summaryRow.rename(columns={'std25Fwd1$TimesClose': '2.5-SD $ Move'},
inplace=True)
summaryRow.rename(columns={'Earnings_Date': 'Earnings'}, inplace=True)
summaryRow.rename(columns={'histVol': 'Historic Vol'}, inplace=True)
summaryRow.rename(columns={'impVol': 'Implied Vol'}, inplace=True)
summaryRow.rename(columns={'IV_Delta': 'Vol Delta'}, inplace=True)
# Change to Earning Date Format: "Mon, Jul 06"
summaryRow['Earnings'] = summaryRow['Earnings'].apply(
str.replace, args=('-', '')).apply(dateUtils.monthDayFormat)
summaryRow.to_excel(writer,
sheet_name=sheetIsFundamentals,
startrow=0,
startcol=1,
index=False)
# ------------------------------------------------------------------
# Create Plot and save as png file
# Setup plot Worksheet
# ------------------------------------------------------------------
plotEarningPngFile(aStock, startday)
# Get Plot file path
aStockEarningsPlot = theBaseCompaniesDirectory + startday + '/rawData/' + aStock + '.png'
# create image worksheet then add image
imageWorksheet = fundamentalsWorkbook.add_worksheet(
aStock + '-Earnings History Plot')
imageWorksheet.insert_image('B3', aStockEarningsPlot)
# ------------------------------------------------------------------
# Setup Trade Plan Worksheet
# ------------------------------------------------------------------
# set up Trade Worksheet as the First Tab this is crudely done by instanciting the sheet first
# this is done above --> tradePlanWorkbookSheet = writer.sheets[aStock+'-Trade Plan']
# Todo - figure out how to order workbook sheets
# the worksheets are kept in "writer" as dict
# format line like: 21 Days to expiration on 2020-07-17 -- Implied Volatility: 68.32%
expiry_text_format = fundamentalsWorkbook.add_format({
'bold':
True,
'font_color':
'#C00000'
})
expiry_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'border': 2,
'valign': 'vcenter',
'align': 'center',
'fg_color': '#FAF1D3',
})
today_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': '#C00000',
'border': 2,
'valign': 'vcenter',
'align': 'center',
'fg_color': '#FAF1D3',
})
call_label_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'fg_color': '#D7E4BC',
'border': 2,
'valign': 'vcenter',
'align': 'center'
})
put_label_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'fg_color': '#f9cfb5',
'border': 2,
'valign': 'vcenter',
'align': 'center'
})
open_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'fg_color': '#93D07B',
'border': 2,
'valign': 'vcenter',
'align': 'center'
})
close_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'fg_color': '#eb813d',
'border': 2,
'valign': 'vcenter',
'align': 'center'
})
trade_header_format = fundamentalsWorkbook.add_format({
'bold': True,
'font_color': 'navy',
'fg_color': '#D7E4BC',
'border': 2,
'valign': 'vcenter',
'align': 'center'
})
trade_text_format = fundamentalsWorkbook.add_format({
'border': 1,
'valign': 'vcenter',
'align': 'center'
})
empty_expiryW_format = fundamentalsWorkbook.add_format({
'bold':
True,
'font_color':
'navy',
'border':
2,
'valign':
'vcenter',
'align':
'center',
'fg_color':
'#F2E1A9'
}) # f2e1a9
empty_expiryM_format = fundamentalsWorkbook.add_format({
'border':
2,
'fg_color':
'#FAF1D3'
})
empty_cell_format = fundamentalsWorkbook.add_format({
'border': 2,
'valign': 'center'
})
# tradePlanWorkbookSheet = writer.sheets[aStock+'-Trade Plan']
tradePlanWorkbookSheet = fundamentalsWorkbook.add_worksheet(aStock +
'-Trade Plan')
# [tradePlanWorkbookSheet.write(0, x, '', empty_cell_format) for x in range(0,7,1)]
#
for col_num, value in enumerate(summaryRow.columns.values):
if col_num > 12:
tradePlanWorkbookSheet.write(4, col_num - 12, value,
trade_header_format)
tradePlanWorkbookSheet.write(5, col_num - 12,
summaryRow.iloc[0, col_num],
trade_text_format)
elif col_num > 6:
tradePlanWorkbookSheet.write(2, col_num - 6, value,
trade_header_format)
tradePlanWorkbookSheet.write(3, col_num - 6,
summaryRow.iloc[0, col_num],
trade_text_format)
else:
tradePlanWorkbookSheet.write(0, col_num, value,
trade_header_format)
tradePlanWorkbookSheet.write(1, col_num, summaryRow.iloc[0,
col_num],
trade_text_format)
tradePlanWorkbookSheet.set_row(1, 20)
tradePlanWorkbookSheet.set_row(3, 20)
tradePlanWorkbookSheet.set_row(5, 20)
# Format Earning data?
# [tradePlanWorkbookSheet.write(0, x, '', empty_cell_format) for x in range(0,7,1)]
# Expiry Text / Implied Vol
# next Expiry dates
tradePlanWorkbookSheet.write(7, 1, expiryText, expiry_text_format)
tradePlanWorkbookSheet.write(8, 1, "Next Expiry's ->", expiry_format)
tradePlanWorkbookSheet.write(
8, 2, 'Friday: ' + dateUtils.getNextFridayExpiryFormat(),
empty_expiryW_format)
tradePlanWorkbookSheet.write(
8, 3,
"Monthly: " + dateUtils.month3Format(dateUtils.getNextExpiryDate()),
expiry_format)
# [tradePlanWorkbookSheet.write(9, x, '', empty_expiryM_format) for x in range(2,4,2)]
tradePlanWorkbookSheet.write(9, 2, '', empty_expiryW_format)
tradePlanWorkbookSheet.write(9, 3, '', empty_expiryM_format)
tradePlanWorkbookSheet.write(13, 0, "Today: ", today_format)
tradePlanWorkbookSheet.write(13, 1, dateUtils.getTodayStr(), today_format)
tradePlanWorkbookSheet.write(13, 2, 'Strike', trade_header_format)
tradePlanWorkbookSheet.write(13, 3, 'Price', trade_header_format)
tradePlanWorkbookSheet.write(13, 4, 'IV', trade_header_format)
tradePlanWorkbookSheet.write(13, 5, 'Volume', trade_header_format)
# tradePlanWorkbookSheet.write(16, 6, 'IV', trade_header_format)
tradePlanWorkbookSheet.write(13, 6, 'Time Executed', trade_header_format)
tradePlanWorkbookSheet.write(14, 0, 'Open', open_format)
tradePlanWorkbookSheet.write(14, 1, 'Call', call_label_format)
tradePlanWorkbookSheet.write(15, 1, 'Put', put_label_format)
[
tradePlanWorkbookSheet.write(14, x, '', empty_cell_format)
for x in range(2, 7, 1)
]
[
tradePlanWorkbookSheet.write(15, x, '', empty_cell_format)
for x in range(2, 7, 1)
]
[
tradePlanWorkbookSheet.write(15, x, '', empty_cell_format)
for x in range(2, 7, 1)
]
[
tradePlanWorkbookSheet.write(16, x, '', empty_expiryM_format)
for x in range(1, 7, 1)
]
tradePlanWorkbookSheet.set_row(16, 10)
#
tradePlanWorkbookSheet.write(17, 0, 'Close', close_format)
tradePlanWorkbookSheet.write(17, 1, 'Call', trade_header_format)
tradePlanWorkbookSheet.write(18, 1, 'Put', put_label_format)
[
tradePlanWorkbookSheet.write(17, x, '', empty_cell_format)
for x in range(2, 7, 1)
]
[
tradePlanWorkbookSheet.write(18, x, '', empty_cell_format)
for x in range(2, 7, 1)
]
tradePlanWorkbookSheet.set_row(14, 40)
tradePlanWorkbookSheet.set_row(15, 40)
tradePlanWorkbookSheet.set_row(17, 40)
tradePlanWorkbookSheet.set_row(18, 40)
#
tradePlanWorkbookSheet.set_tab_color('green')
tradePlanWorkbookSheet.set_column('B:G', 22)
# # Save excel
writer.save()
return aWebDriver