def test_Option_midpoint():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(
underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None,
)
time = datetime.datetime.now()
opt = Option(id=opt_id,
high=10.0,
low=5.0,
close=8.0,
bid=6.0,
bid_size=100,
ask=7.0,
ask_size=130,
last=7.5,
last_size=67.0,
option_price=2.1,
volume=1000,
delta=0.98,
gamma=0.12,
theta=0.34,
vega=0.78,
iv=0.8,
underlying_price=102.0,
underlying_dividends=2.1,
time=time)
assert opt.midpoint == 6.5
def create_options(self, asset: Asset,
q_contracts: List[Contract]) -> Dict[str, Option]:
tickers = []
for q in chunks(q_contracts, 50):
tickers += self._broker.reqTickers(*q)
self._broker.sleep(1)
# options = []
options = {}
for t in tickers:
expiration = parse_ib_date(t.contract.lastTradeDateOrContractMonth)
strike = float(t.contract.strike)
right = RightType.Call if t.contract.right == "C" else RightType.Put
delta = gamma = theta = vega = None
option_price = (implied_volatility
) = underlying_price = underlying_dividends = None
if t.modelGreeks:
delta = t.modelGreeks.delta
gamma = t.modelGreeks.gamma
theta = t.modelGreeks.theta
vega = t.modelGreeks.vega
option_price = t.modelGreeks.optPrice
implied_volatility = t.modelGreeks.impliedVol
underlying_price = t.modelGreeks.undPrice
underlying_dividends = t.modelGreeks.pvDividend
opt_id = OptionId(
underlying_id=asset.id,
asset_type=AssetType.Option,
expiration=expiration,
strike=strike,
right=right,
multiplier=t.contract.multiplier,
contract=t.contract,
)
opt = Option(
id=opt_id,
high=t.high,
low=t.low,
close=t.close,
bid=t.bid if not t.bid == -1 else None,
bid_size=t.bidSize,
ask=t.ask if not t.ask == -1 else None,
ask_size=t.askSize,
last=t.last,
last_size=t.lastSize,
option_price=option_price,
volume=t.volume,
delta=delta,
gamma=gamma,
theta=theta,
vega=vega,
iv=implied_volatility,
underlying_price=underlying_price,
underlying_dividends=underlying_dividends,
time=t.time,
)
# options.append(opt)
options[f"{strike}{right.value}"] = opt
return options
def test_Option_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(
underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None,
)
time = datetime.datetime.now()
opt = Option(id=opt_id,
high=10.0,
low=5.0,
close=8.0,
bid=6.0,
bid_size=100,
ask=7.0,
ask_size=130,
last=7.5,
last_size=67.0,
option_price=2.1,
volume=1000,
delta=0.98,
gamma=0.12,
theta=0.34,
vega=0.78,
iv=0.8,
underlying_price=102.0,
underlying_dividends=2.1,
time=time)
assert opt.id.underlying_id.code == 'SPY'
assert opt.high == 10.0
assert opt.low == 5.0
assert opt.close == 8.0
assert opt.bid == 6.0
assert opt.bid_size == 100
assert opt.ask == 7.0
assert opt.ask_size == 130
assert opt.last == 7.5
assert opt.last_size == 67.0
assert opt.option_price == 2.1
assert opt.volume == 1000
assert opt.delta == 0.98
assert opt.gamma == 0.12
assert opt.theta == 0.34
assert opt.vega == 0.78
assert opt.iv == 0.8
assert opt.underlying_price == 102.0
assert opt.underlying_dividends == 2.1
assert opt.time == time