def roll_positions(self, positions, right):
for position in positions:
symbol = position.contract.symbol
sell_ticker = self.find_eligible_contracts(symbol, right)
self.wait_for_midpoint_price(sell_ticker)
quantity = abs(position.position)
position.contract.exchange = "SMART"
[buy_ticker] = self.ib.reqTickers(position.contract)
self.wait_for_midpoint_price(buy_ticker)
price = midpoint_or_market_price(
buy_ticker) - midpoint_or_market_price(sell_ticker)
# Create combo legs
comboLegs = [
ComboLeg(
conId=position.contract.conId,
ratio=1,
exchange="SMART",
action="BUY",
),
ComboLeg(
conId=sell_ticker.contract.conId,
ratio=1,
exchange="SMART",
action="SELL",
),
]
# Create contract
combo = Contract(
secType="BAG",
symbol=symbol,
currency="USD",
exchange="SMART",
comboLegs=comboLegs,
)
# Create order
order = LimitOrder(
"BUY",
quantity,
round(price, 2),
algoStrategy="Adaptive",
algoParams=[TagValue("adaptivePriority", "Patient")],
tif="DAY",
)
# Submit order
trade = self.wait_for_trade_submitted(
self.ib.placeOrder(combo, order))
click.secho("Order submitted", fg="green")
click.secho(f"{trade}", fg="green")
def write_puts(self, symbol, quantity):
sell_ticker = self.find_eligible_contracts(symbol, "P")
if not self.wait_for_midpoint_price(sell_ticker):
click.secho(
"Couldn't get midpoint price for contract={sell_ticker}, skipping for now",
fg="red",
)
return
# Create order
order = LimitOrder(
"SELL",
quantity,
round(midpoint_or_market_price(sell_ticker), 2),
algoStrategy="Adaptive",
algoParams=[TagValue("adaptivePriority", "Patient")],
tif="DAY",
)
# Submit order
trade = self.wait_for_trade_submitted(
self.ib.placeOrder(sell_ticker.contract, order))
click.echo()
click.secho("Order submitted", fg="green")
click.secho(f"{trade}", fg="green")
def write_calls(self, symbol, quantity):
sell_ticker = self.find_eligible_contracts(symbol, "C")
self.wait_for_midpoint_price(sell_ticker)
# Create order
order = LimitOrder(
"SELL",
quantity,
round(midpoint_or_market_price(sell_ticker), 2),
algoStrategy="Adaptive",
algoParams=[TagValue("adaptivePriority", "Patient")],
tif="DAY",
)
# Submit order
trade = self.wait_for_trade_submitted(
self.ib.placeOrder(sell_ticker.contract, order))
click.echo()
click.secho("Order submitted", fg="green")
click.secho(f"{trade}", fg="green")
def roll_positions(self, positions, right, portfolio_positions={}):
for position in positions:
symbol = position.contract.symbol
strike_limit = get_strike_limit(self.config, symbol, right)
if right.startswith("C"):
strike_limit = math.ceil(
max([strike_limit or 0] + [
p.averageCost for p in portfolio_positions[symbol]
if isinstance(p.contract, Stock)
]))
sell_ticker = self.find_eligible_contracts(
symbol,
self.get_primary_exchange(symbol),
right,
strike_limit,
excluded_expirations=[
position.contract.lastTradeDateOrContractMonth
],
)
self.wait_for_midpoint_price(sell_ticker)
quantity = abs(position.position)
position.contract.exchange = "SMART"
[buy_ticker] = self.ib.reqTickers(position.contract)
self.wait_for_midpoint_price(buy_ticker)
price = midpoint_or_market_price(
buy_ticker) - midpoint_or_market_price(sell_ticker)
# Create combo legs
comboLegs = [
ComboLeg(
conId=position.contract.conId,
ratio=1,
exchange="SMART",
action="BUY",
),
ComboLeg(
conId=sell_ticker.contract.conId,
ratio=1,
exchange="SMART",
action="SELL",
),
]
# Create contract
combo = Contract(
secType="BAG",
symbol=symbol,
currency="USD",
exchange="SMART",
comboLegs=comboLegs,
)
# Create order
order = LimitOrder(
"BUY",
quantity,
round(price, 2),
algoStrategy="Adaptive",
algoParams=[TagValue("adaptivePriority", "Patient")],
tif="DAY",
)
# Submit order
trade = self.ib.placeOrder(combo, order)
self.orders.append(trade)
click.echo()
click.secho("Order submitted", fg="green")
click.secho(f"{trade}", fg="green")
def roll_positions(self,
positions,
right,
account_summary,
portfolio_positions={}):
for position in positions:
try:
symbol = position.contract.symbol
strike_limit = get_strike_limit(self.config, symbol, right)
if right.startswith("C"):
strike_limit = math.ceil(
max([strike_limit or 0] + [
p.averageCost for p in portfolio_positions[symbol]
if isinstance(p.contract, Stock)
]))
sell_ticker = self.find_eligible_contracts(
symbol,
self.get_primary_exchange(symbol),
right,
strike_limit,
exclude_expirations_before=position.contract.
lastTradeDateOrContractMonth,
exclude_first_exp_strike=position.contract.strike,
)
qty_to_roll = abs(position.position)
maximum_new_contracts = self.get_maximum_new_contracts_for(
symbol,
self.get_primary_exchange(symbol),
account_summary,
)
from_dte = option_dte(
position.contract.lastTradeDateOrContractMonth)
roll_when_dte = self.config["roll_when"]["dte"]
if from_dte > roll_when_dte:
qty_to_roll = min([qty_to_roll, maximum_new_contracts])
position.contract.exchange = "SMART"
buy_ticker = self.get_ticker_for(position.contract,
midpoint=True)
price = midpoint_or_market_price(
buy_ticker) - midpoint_or_market_price(sell_ticker)
# Create combo legs
comboLegs = [
ComboLeg(
conId=position.contract.conId,
ratio=1,
exchange="SMART",
action="BUY",
),
ComboLeg(
conId=sell_ticker.contract.conId,
ratio=1,
exchange="SMART",
action="SELL",
),
]
# Create contract
combo = Contract(
secType="BAG",
symbol=symbol,
currency="USD",
exchange="SMART",
comboLegs=comboLegs,
)
# Create order
order = LimitOrder(
"BUY",
qty_to_roll,
round(price, 2),
algoStrategy="Adaptive",
algoParams=[TagValue("adaptivePriority", "Patient")],
tif="DAY",
)
to_dte = option_dte(
sell_ticker.contract.lastTradeDateOrContractMonth)
from_strike = position.contract.strike
to_strike = sell_ticker.contract.strike
# Submit order
trade = self.ib.placeOrder(combo, order)
self.orders.append(trade)
click.echo()
click.secho(
f"Order submitted, current position={abs(position.position)}, qty_to_roll={qty_to_roll}, from_dte={from_dte}, to_dte={to_dte}, from_strike={from_strike}, to_strike={to_strike}, price={round(price,2)}, trade={trade}",
fg="green",
)
except RuntimeError as e:
click.echo()
click.secho(str(e), fg="red")
click.secho(
"Error occurred when trying to roll position. Continuing anyway...",
fg="yellow",
)
