def execute_results(self,
rootlocalforfilespulled,
#onlyoutofthemoney, # onlyoutofthemoney 1 for yes, 0 for no
maxvalueatrisk,
maxsellearlyprice, # MaxSellEarlyPrice
minbuylaterprice, # MinBuyLaterPrice
minpairspreadpercent, # MinimumSpreadPercentage
maxpairspreadpercent, # MinimumSpreadPercentage
maxbidaskspreadpercentagesell,
maxbidaskspreadpercentagebuy,
minopeninterest,
earningsdatestring,
directorylocaloutput,
showresults):
# import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('-- downloaddirectorylocal set to ' + downloaddirectorylocal)
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(downloaddirectorylocal,showresults)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
# dTestValueAndPairTupleSortableByPairSpreadPct = {}
# dPairsValid = {}
dCalendarPairs = {}
dQualifiedPairsBasedOnAllCriteriaProvided = {}
bContinue = 1
for kSymbol,vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items():
dPairs = vPairsDictionary
#if showresults == 1:
print('-- ' + kSymbol + ' building valid pairs... ')
bContinue == 1
for k,ls in dPairs.items():
earlier = ls[0]
later = ls[1]
bContinue == 1
#-- Make sure EarlierExpirationIsBefore and LaterExpirationIsAfter
if len(earningsdatestring) > 0:
bContinue == 0
from datetime import datetime
earningsdate = datetime.strptime(earningsdatestring, '%Y-%m-%d')
print('earningsdate= ' + str(earningsdate))
if earlier.expirationdate <= earningsdate and later.expirationdate > earningsdate:
bContinue == 1
if bContinue == 1:
dCalendarPairs[len(dCalendarPairs)] = ls
#-- Make sure onlyoutofthemoney is respected
# if onlyoutofthemoney == 1:
# bContinue == 0
if (earlier.optiontype == 'C' and float(earlier.stockprice) < float(earlier.strike)) \
or (earlier.optiontype == 'P' and float(earlier.stockprice) > float(earlier.strike)):
#print('passed',earlier.optiontype ,earlier.stockprice,earlier.strike)
# bContinue == 1
# print( bContinue,earlier.optiontype ,earlier.stockprice,earlier.strike)
# if bContinue == 1:
#-- Set your MaxSellEarlyPrice
#-- check bid-ask prices are numeric
if earlier.bid.replace('.','',1).isdigit() and later.ask.replace('.','',1).isdigit():
if later.bid.replace('.','',1).isdigit() and earlier.ask.replace('.','',1).isdigit():
#-- check earlier bid <= maxsellearlyprice
if float(earlier.bid) <= maxsellearlyprice:
#-- Set your MinBuyLaterPrice
if float(later.ask) > minbuylaterprice:
if float(earlier.bid) > 0.0 and float(later.ask) > 0.0 and float(later.bid) > 0:
#-- Make sure MinimumSpreadPercentage is greater than
if float(earlier.bid)/float(later.ask) > minpairspreadpercent:
#-- Make sure MaximumSpreadPercentage is less than
if float(earlier.bid)/float(later.ask) <= maxpairspreadpercent:
if float(maxvalueatrisk) >= -float(earlier.bid)+float(later.ask):
if (float(earlier.ask) - float(earlier.bid)) / float(earlier.bid) <= float(maxbidaskspreadpercentagesell):
if (float(later.ask) - float(later.bid)) / float(later.bid) <= float(maxbidaskspreadpercentagebuy):
if int(earlier.openinterest) > minopeninterest and int(later.openinterest) > minopeninterest:
dQualifiedPairsBasedOnAllCriteriaProvided[len(dQualifiedPairsBasedOnAllCriteriaProvided)] = ls
# dTestValueAndPairTupleSortableByPairSpreadPct[len(dTestValueAndPairTupleSortableByPairSpreadPct)] = [float(earlier.bid)/float(later.ask),ls]
#dPairsValid[len(dPairsValid)] = ls
# if showresults == 1:
# print(str(len(dTestValueAndPairTupleSortableByPairSpreadPct)) + ' valid pairs...')
# print(str(len(dCalendarPairs)) + ' qualified pairs based on straddling expiration date')
# print('sorting results...')
# from collections import OrderedDict
# dOrdered = OrderedDict(sorted(dTestValueAndPairTupleSortableByPairSpreadPct.items(), key=lambda t: t[1][0]))
self.DictionaryOfAllCalendarPairs = dCalendarPairs
self.DictionaryOfFilteredCalendarPairs = dQualifiedPairsBasedOnAllCriteriaProvided
def execute_results(self,
rootlocalforfilespulled,
#onlyoutofthemoney, # onlyoutofthemoney 1 for yes, 0 for no
maxvalueatrisk,
maxsellearlyprice, # MaxSellEarlyPrice
minbuylaterprice, # MinBuyLaterPrice
minspreadpercent, # MinimumSpreadPercentage
maxspreadpercent, # MinimumSpreadPercentage
earningsdatestring,
directorylocaloutput,
showresults):
# import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('downloaddirectorylocal set to ' + downloaddirectorylocal + ' within class buildpairsdictionarywithcriteriafromdirectoryofpulledfiles.py')
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(downloaddirectorylocal,showresults)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
# dTestValueAndPairTupleSortableByPairSpreadPct = {}
# dPairsValid = {}
dCalendarPairs = {}
dQualifiedPairsBasedOnAllCriteriaProvided = {}
bContinue = 1
for kSymbol,vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items():
dPairs = vPairsDictionary
#if showresults == 1:
print('building valid pairs... ' + kSymbol)
bContinue == 1
for k,ls in dPairs.items():
earlier = ls[0]
later = ls[1]
bContinue == 1
#-- Make sure EarlierExpirationIsBefore and LaterExpirationIsAfter
if len(earningsdatestring) > 0:
bContinue == 0
from datetime import datetime
earningsdate = datetime.strptime(earningsdatestring, '%Y-%m-%d')
print('earningsdate= ' + str(earningsdate))
if earlier.expirationdate <= earningsdate and later.expirationdate > earningsdate:
bContinue == 1
if bContinue == 1:
dCalendarPairs[len(dCalendarPairs)] = ls
#-- Make sure onlyoutofthemoney is respected
# if onlyoutofthemoney == 1:
# bContinue == 0
if (earlier.optiontype == 'C'
and float(earlier.stockprice) < float(earlier.strike))
or
(earlier.optiontype == 'P'
and float(earlier.stockprice) > float(earlier.strike)):
#print('passed',earlier.optiontype ,earlier.stockprice,earlier.strike)
# bContinue == 1
# print( bContinue,earlier.optiontype ,earlier.stockprice,earlier.strike)
# if bContinue == 1:
#-- Set your MaxSellEarlyPrice
if earlier.bid.replace('.','',1).isdigit() and float(earlier.bid) <= maxsellearlyprice:
#-- Set your MinBuyLaterPrice
if later.ask.replace('.','',1).isdigit() and float(later.ask) > minbuylaterprice:
#-- Make sure MinimumSpreadPercentage is greater than
if float(earlier.bid)/float(later.ask) > minspreadpercent:
#-- Make sure MaximumSpreadPercentage is less than
if float(earlier.bid)/float(later.ask) <= maxspreadpercent:
if float(maxvalueatrisk) >= -float(earlier.bid)+float(later.ask):
dQualifiedPairsBasedOnAllCriteriaProvided[len(dQualifiedPairsBasedOnAllCriteriaProvided)] = ls
def execute_results(
self,
# pathfilelocalsymbols,
# pathfilelocalexpirations,
rootlocalforfilespulled,
#onlyoutofthemoney, # onlyoutofthemoney 1 for yes, 0 for no
maxvalueatrisk,
maxsellearlyprice, # MaxSellEarlyPrice
minbuylaterprice, # MinBuyLaterPrice
minspreadpercent, # MinimumSpreadPercentage
maxspreadpercent, # MinimumSpreadPercentage
earningsdatestring,
directorylocaloutput,
showresults):
import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('downloaddirectorylocal=' + downloaddirectorylocal)
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(
downloaddirectorylocal)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
dPairsCalculated = {}
dPairsValid = {}
dQualifiedPairsBasedOnDate = {}
bContinue = 1
for kSymbol, vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items(
):
dPairs = vPairsDictionary
#if showresults == 1:
print('building valid pairs... ' + kSymbol)
bContinue == 1
for k, ls in dPairs.items():
earlier = ls[0]
later = ls[1]
bContinue == 1
#-- Make sure EarlierExpirationIsBefore and LaterExpirationIsAfter
if len(earningsdatestring) > 0:
bContinue == 0
from datetime import datetime
earningsdate = datetime.strptime(earningsdatestring,
'%Y-%m-%d')
print('earningsdate= ' + str(earningsdate))
if earlier.expirationdate <= earningsdate and later.expirationdate > earningsdate:
bContinue == 1
if bContinue == 1:
dQualifiedPairsBasedOnDate[len(
dQualifiedPairsBasedOnDate)] = ls
#-- Make sure onlyoutofthemoney is respected
# if onlyoutofthemoney == 1:
# bContinue == 0
if (earlier.optiontype == 'C' and
float(earlier.stockprice) < float(earlier.strike)
) or (earlier.optiontype == 'P' and float(
earlier.stockprice) > float(earlier.strike)):
#print('passed',earlier.optiontype ,earlier.stockprice,earlier.strike)
# bContinue == 1
# print( bContinue,earlier.optiontype ,earlier.stockprice,earlier.strike)
# if bContinue == 1:
#-- Set your MaxSellEarlyPrice
if earlier.bid.replace('.', '', 1).isdigit() and float(
earlier.bid) <= maxsellearlyprice:
#-- Set your MinBuyLaterPrice
if later.ask.replace(
'.', '', 1).isdigit() and float(
later.ask) > minbuylaterprice:
#-- Make sure MinimumSpreadPercentage is greater than
if float(earlier.bid) / float(
later.ask) > minspreadpercent:
#-- Make sure MaximumSpreadPercentage is less than
if float(earlier.bid) / float(
later.ask) <= maxspreadpercent:
if float(maxvalueatrisk) >= -float(
earlier.bid) + float(
later.ask):
dPairsCalculated[len(
dPairsCalculated)] = float(
earlier.bid) / float(
later.ask)
dPairsValid[len(dPairsValid)] = ls
if showresults == 1:
print(
str(len(dPairsCalculated))
+ ' valid pairs...')
print(
str(len(dQualifiedPairsBasedOnDate)) +
' qualified pairs based on straddling expiration date')
print('sorting results...')
from collections import OrderedDict
dOrdered = OrderedDict(
sorted(dPairsCalculated.items(), key=lambda t: t[1]))
print(str(len(dOrdered)) + ' items in Ordered dictionary')
outputlines = {}
outputlines[len(outputlines)]='earlier.optionsymbol' + ',' + \
'later.optionsymbol' + ',' + \
'earlier.strike' + '/' + 'later.strike' + ',' + \
'later.optiontype' + ',' + \
'earlier.expirationdate-datetime.today()' + ',' + 'remainder' + ',' + \
'later.expirationdate-earlier.expirationdate' + ',' + 'remainder' + ',' + \
'earlier.strike - later.strike' + ',' + \
'later.stockprice' + ',' + \
'earlier.bid' + ',' + \
'later.ask' + ',' + 'percent earlier.bid/later.ask' + ',' + \
'later.ask-earlier.bid' + ',' + \
'later.inthemoney'
#if showresults == 1:
print('putting results into printable dictionary ' +
str(len(dOrdered)) + ' lines')
from datetime import datetime
for k1, v1 in dOrdered.items():
#ls = list(dPairs.keys())[list(dPairs.values()).index(k1)]
ls = dPairsValid.get(k1)
earlier = ls[0]
later = ls[1]
outputlines[len(outputlines)]=earlier.optionsymbol + ',' + \
later.optionsymbol + ',' + \
"'" + str(earlier.strike) + '/' + str(later.strike) + ',' + \
later.optiontype + ',' + \
str(earlier.expirationdate-datetime.today()) + ',' + \
str(later.expirationdate-earlier.expirationdate) + ',' + \
str(float(earlier.strike) - float(later.strike)) + ',' + \
str(later.stockprice) + ',' + \
str(earlier.bid) + ',' + \
str(later.ask) + ',' + '{percent:.0%}'.format(percent=float(earlier.bid)/float(later.ask)) + ',' + \
str(float(later.ask)-float(earlier.bid)) + ',' + \
str(later.inthemoney)
mytools.general.make_sure_path_exists(directorylocaloutput)
datetime14 = mytools.mystrings.ConvertDatetime14()
print(datetime14)
outputfilepath = directorylocaloutput + '\\calendarspreads ' + datetime14 + '.csv'
#if showresults == 1:
print('printing results to ' + outputfilepath)
with open(outputfilepath, 'w') as f:
for outputline in outputlines.values():
f.write(outputline + '\n')
#if showresults == 1:
print('Finished executing calendarspreadslive...')
self.OutputFilePathString = outputfilepath
def execute_results(self, pathfilelocalsymbols, pathfilelocalexpirations,
rootlocalforfilespulled, directorylocaloutput,
showresults):
import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('downloaddirectorylocal=' + downloaddirectorylocal)
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(
downloaddirectorylocal)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
dPairsCalculated = {}
dPairsValid = {}
for kSymbol, vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items(
):
dPairs = vPairsDictionary
#if showresults == 1:
print('building valid pairs... ' + kSymbol)
for k, ls in dPairs.items():
earlier = ls[0]
later = ls[1]
if earlier.bid.replace(
'.', '',
1).isdigit(): #and float(earlier.bid) >= 0.25:
#if float(earlier.bid) <= 4.0:
if (earlier.optiontype == 'C' and
float(earlier.stockprice) < float(earlier.strike)
) or (earlier.optiontype == 'P' and float(
earlier.stockprice) > float(earlier.strike)):
#------------------------------------------
#-- Set your Percentage cutoff here
#------------------------------------------
if later.ask.replace(
'.', '',
1).isdigit() and float(later.ask) > 0.0:
if float(earlier.bid) / float(later.ask) > 0.8:
#if float(earlier.bid)/float(later.ask) <= 1.0:
dPairsCalculated[len(
dPairsCalculated)] = float(
earlier.bid) / float(later.ask)
dPairsValid[len(dPairsValid)] = ls
if showresults == 1:
print(
str(len(dPairsCalculated)) +
' valid pairs...')
print('sorting results...')
from collections import OrderedDict
dOrdered = OrderedDict(
sorted(dPairsCalculated.items(), key=lambda t: t[1]))
print(str(len(dOrdered)) + ' items in Ordered dictionary')
outputlines = {}
#if showresults == 1:
print('putting results into printable dictionary ' +
str(len(dOrdered)) + ' lines')
from datetime import datetime
for k1, v1 in dOrdered.items():
#ls = list(dPairs.keys())[list(dPairs.values()).index(k1)]
ls = dPairsValid.get(k1)
earlier = ls[0]
later = ls[1]
outputlines[len(outputlines)]=earlier.optionsymbol + ',' + \
later.optionsymbol + ',' + \
"'" + str(earlier.strike) + '/' + str(later.strike) + ',' + \
later.optiontype + ',' + \
str(earlier.expirationdate-datetime.today()) + ',' + \
str(later.expirationdate-earlier.expirationdate) + ',' + \
str(float(earlier.strike) - float(later.strike)) + ',' + \
str(later.stockprice) + ',' + \
str(earlier.bid) + ',' + \
str(later.ask) + ',' + '{percent:.0%}'.format(percent=float(earlier.bid)/float(later.ask)) + ',' + \
str(float(later.ask)-float(earlier.bid)) + ',' + \
str(later.inthemoney)
mytools.general.make_sure_path_exists(directorylocaloutput)
datetime14 = mytools.mystrings.ConvertDatetime14()
print(datetime14)
outputfilepath = directorylocaloutput + '\\calendarspreads ' + datetime14 + '.csv'
#if showresults == 1:
print('printing results to ' + outputfilepath)
with open(outputfilepath, 'w') as f:
for outputline in outputlines.values():
f.write(outputline + '\n')
#if showresults == 1:
print('Finished executing calendarspreadslive...')
self.OutputFilePathString = outputfilepath
def execute_results(self,pathfilelocalsymbols,pathfilelocalexpirations,rootlocalforfilespulled,
#onlyoutofthemoney, # onlyoutofthemoney 1 for yes, 0 for no
maxvalueatrisk,
maxsellearlyprice, # MaxSellEarlyPrice
minbuylaterprice, # MinBuyLaterPrice
minspreadpercent, # MinimumSpreadPercentage
maxspreadpercent, # MinimumSpreadPercentage
earningsdatestring,
directorylocaloutput,
showresults):
import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('downloaddirectorylocal=' + downloaddirectorylocal)
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(downloaddirectorylocal)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
dPairsCalculated = {}
dPairsValid = {}
dQualifiedPairsBasedOnDate = {}
bContinue = 1
for kSymbol,vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items():
dPairs = vPairsDictionary
#if showresults == 1:
print('building valid pairs... ' + kSymbol)
bContinue == 1
for k,ls in dPairs.items():
earlier = ls[0]
later = ls[1]
bContinue == 1
#-- Make sure EarlierExpirationIsBefore and LaterExpirationIsAfter
if len(earningsdatestring) > 0:
bContinue == 0
from datetime import datetime
earningsdate = datetime.strptime(earningsdatestring, '%Y-%m-%d')
print('earningsdate= ' + str(earningsdate))
if earlier.expirationdate <= earningsdate and later.expirationdate > earningsdate:
bContinue == 1
if bContinue == 1:
dQualifiedPairsBasedOnDate[len(dQualifiedPairsBasedOnDate)] = ls
#-- Make sure onlyoutofthemoney is respected
# if onlyoutofthemoney == 1:
# bContinue == 0
if (earlier.optiontype == 'C' and float(earlier.stockprice) < float(earlier.strike)) or (earlier.optiontype == 'P' and float(earlier.stockprice) > float(earlier.strike)):
#print('passed',earlier.optiontype ,earlier.stockprice,earlier.strike)
# bContinue == 1
# print( bContinue,earlier.optiontype ,earlier.stockprice,earlier.strike)
# if bContinue == 1:
#-- Set your MaxSellEarlyPrice
if earlier.bid.replace('.','',1).isdigit() and float(earlier.bid) <= maxsellearlyprice:
#-- Set your MinBuyLaterPrice
if later.ask.replace('.','',1).isdigit() and float(later.ask) > minbuylaterprice:
#-- Make sure MinimumSpreadPercentage is greater than
if float(earlier.bid)/float(later.ask) > minspreadpercent:
#-- Make sure MaximumSpreadPercentage is less than
if float(earlier.bid)/float(later.ask) <= maxspreadpercent:
if float(maxvalueatrisk) >= -float(earlier.bid)+float(later.ask):
dPairsCalculated[len(dPairsCalculated)] = float(earlier.bid)/float(later.ask)
dPairsValid[len(dPairsValid)] = ls
if showresults == 1:
print(str(len(dPairsCalculated)) + ' valid pairs...')
print(str(len(dQualifiedPairsBasedOnDate)) + ' qualified pairs based on straddling expiration date')
print('sorting results...')
from collections import OrderedDict
dOrdered = OrderedDict(sorted(dPairsCalculated.items(), key=lambda t: t[1]))
print(str(len(dOrdered))+ ' items in Ordered dictionary')
outputlines = {}
outputlines[len(outputlines)]='earlier.optionsymbol' + ',' + \
'later.optionsymbol' + ',' + \
'earlier.strike' + '/' + 'later.strike' + ',' + \
'later.optiontype' + ',' + \
'earlier.expirationdate-datetime.today()' + ',' + 'remainder' + ',' + \
'later.expirationdate-earlier.expirationdate' + ',' + 'remainder' + ',' + \
'earlier.strike - later.strike' + ',' + \
'later.stockprice' + ',' + \
'earlier.bid' + ',' + \
'later.ask' + ',' + 'percent earlier.bid/later.ask' + ',' + \
'later.ask-earlier.bid' + ',' + \
'later.inthemoney'
#if showresults == 1:
print('putting results into printable dictionary ' + str(len(dOrdered)) + ' lines')
from datetime import datetime
for k1,v1 in dOrdered.items():
#ls = list(dPairs.keys())[list(dPairs.values()).index(k1)]
ls = dPairsValid.get(k1)
earlier = ls[0]
later = ls[1]
outputlines[len(outputlines)]=earlier.optionsymbol + ',' + \
later.optionsymbol + ',' + \
"'" + str(earlier.strike) + '/' + str(later.strike) + ',' + \
later.optiontype + ',' + \
str(earlier.expirationdate-datetime.today()) + ',' + \
str(later.expirationdate-earlier.expirationdate) + ',' + \
str(float(earlier.strike) - float(later.strike)) + ',' + \
str(later.stockprice) + ',' + \
str(earlier.bid) + ',' + \
str(later.ask) + ',' + '{percent:.0%}'.format(percent=float(earlier.bid)/float(later.ask)) + ',' + \
str(float(later.ask)-float(earlier.bid)) + ',' + \
str(later.inthemoney)
mytools.general.make_sure_path_exists(directorylocaloutput)
datetime14 = mytools.mystrings.ConvertDatetime14()
print(datetime14)
outputfilepath = directorylocaloutput + '\\calendarspreads ' + datetime14 + '.csv'
#if showresults == 1:
print('printing results to ' + outputfilepath)
with open(outputfilepath, 'w') as f:
for outputline in outputlines.values():
f.write(outputline+'\n')
#if showresults == 1:
print('Finished executing calendarspreadslive...')
self.OutputFilePathString = outputfilepath
def execute_results(self,pathfilelocalsymbols,pathfilelocalexpirations,rootlocalforfilespulled,earningsdatestring,directorylocaloutput,showresults):
import mytools
downloaddirectorylocal = rootlocalforfilespulled #mytools.mystrings.appendnormaldateddirectorybasedoncurrenttime15(rootlocalforfilespulled)
print('downloaddirectorylocal=' + downloaddirectorylocal)
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(downloaddirectorylocal)
dDictionaryOfPairsDictionariesBySymbol = o.DictionaryOfPairsDictionariesBySymbol
dPairsCalculated = {}
dPairsValid = {}
from datetime import datetime
earningsdate = datetime.strptime(earningsdatestring, '%Y-%m-%d')
print('earningsdate= ' + str(earningsdate))
dQualifiedPairsBasedOnDate = {}
for kSymbol,vPairsDictionary in dDictionaryOfPairsDictionariesBySymbol.items():
dPairs = vPairsDictionary
#if showresults == 1:
print('building valid pairs... ' + kSymbol)
for k,ls in dPairs.items():
earlier = ls[0]
later = ls[1]
#print(earlier.expirationdate,earningsdate)
if earlier.expirationdate < earningsdate and later.expirationdate > earningsdate:
dQualifiedPairsBasedOnDate[len(dQualifiedPairsBasedOnDate)] = ls
if earlier.bid.replace('.','',1).isdigit(): #and float(earlier.bid) >= 0.25:
#if float(earlier.bid) <= 4.0:
if (earlier.optiontype == 'C' and float(earlier.stockprice) < float(earlier.strike)) or (earlier.optiontype == 'P' and float(earlier.stockprice) > float(earlier.strike)):
#------------------------------------------
#-- Set your Percentage cutoff here
#------------------------------------------
if later.ask.replace('.','',1).isdigit() and float(later.ask) > 0.0:
if float(earlier.bid)/float(later.ask) > 0.0:
#if float(earlier.bid)/float(later.ask) <= 1.0:
dPairsCalculated[len(dPairsCalculated)] = float(earlier.bid)/float(later.ask)
dPairsValid[len(dPairsValid)] = ls
if showresults == 1:
print(str(len(dPairsCalculated)) + ' valid pairs...')
print(str(len(dQualifiedPairsBasedOnDate)) + ' qualified pairs based on straddling expiration date')
print('sorting results...')
from collections import OrderedDict
dOrdered = OrderedDict(sorted(dPairsCalculated.items(), key=lambda t: t[1]))
print(str(len(dOrdered))+ ' items in Ordered dictionary')
outputlines = {}
#if showresults == 1:
print('putting results into printable dictionary ' + str(len(dOrdered)) + ' lines')
from datetime import datetime
for k1,v1 in dOrdered.items():
#ls = list(dPairs.keys())[list(dPairs.values()).index(k1)]
ls = dPairsValid.get(k1)
earlier = ls[0]
later = ls[1]
outputlines[len(outputlines)]=earlier.optionsymbol + ',' + \
later.optionsymbol + ',' + \
"'" + str(earlier.strike) + '/' + str(later.strike) + ',' + \
later.optiontype + ',' + \
str(earlier.expirationdate-datetime.today()) + ',' + \
str(later.expirationdate-earlier.expirationdate) + ',' + \
str(float(earlier.strike) - float(later.strike)) + ',' + \
str(later.stockprice) + ',' + \
str(earlier.bid) + ',' + \
str(later.ask) + ',' + '{percent:.0%}'.format(percent=float(earlier.bid)/float(later.ask)) + ',' + \
str(float(later.ask)-float(earlier.bid)) + ',' + \
str(later.inthemoney)
mytools.general.make_sure_path_exists(directorylocaloutput)
datetime14 = mytools.mystrings.ConvertDatetime14()
print(datetime14)
outputfilepath = directorylocaloutput + '\\calendarspreads ' + datetime14 + '.csv'
#if showresults == 1:
print('printing results to ' + outputfilepath)
with open(outputfilepath, 'w') as f:
for outputline in outputlines.values():
f.write(outputline+'\n')
#if showresults == 1:
print('Finished executing calendarspreadslive...')
self.OutputFilePathString = outputfilepath
# -*- coding: utf-8 -*-
"""
Created on Sun Feb 1 18:30:53 2015
@author: jmalinchak
"""
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read(
'C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\\Active\\py\\downloads\\2015-02-04\\09\\45\\YHOO',
1)
print(o.DictionaryOfSymbols)
# -*- coding: utf-8 -*-
"""
Created on Sun Feb 1 18:30:53 2015
@author: jmalinchak
"""
import readintomemorybuilddictionaryofpairsdictionariesbysymbol
o = readintomemorybuilddictionaryofpairsdictionariesbysymbol.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\\Active\\py\\downloads\\2015-02-04\\09\\45\\YHOO',1)
print(o.DictionaryOfSymbols)