def start(config):
import toml
import thetagang.config_defaults as config_defaults # NOQA
with open(config, "r") as f:
config = toml.load(f)
config = normalize_config(config)
validate_config(config)
click.secho("Config:", fg="green")
click.echo()
click.secho(" Account details:", fg="green")
click.secho(
f" Number = {config['account']['number']}",
fg="cyan")
click.secho(
f" Cancel existing orders = {config['account']['cancel_orders']}",
fg="cyan",
)
click.secho(
f" Margin usage = {config['account']['margin_usage']} ({config['account']['margin_usage'] * 100}%)",
fg="cyan",
)
click.secho(
f" Market data type = {config['account']['market_data_type']}",
fg="cyan",
)
click.echo()
click.secho(" Roll options when either condition is true:", fg="green")
click.secho(
f" Days to expiry <= {config['roll_when']['dte']} and P&L >= {config['roll_when']['min_pnl']} ({config['roll_when']['min_pnl'] * 100}%)",
fg="cyan",
)
if "max_dte" in config["roll_when"]:
click.secho(
f" P&L >= {config['roll_when']['pnl']} ({config['roll_when']['pnl'] * 100}%) and DTE < {config['roll_when']['max_dte']}",
fg="cyan",
)
else:
click.secho(
f" P&L >= {config['roll_when']['pnl']} ({config['roll_when']['pnl'] * 100}%)",
fg="cyan",
)
click.echo()
click.secho(" When contracts are ITM:", fg="green")
click.secho(
f" Roll puts = {config['roll_when']['puts']['itm']}",
fg="cyan",
)
click.secho(
f" Roll calls = {config['roll_when']['calls']['itm']}",
fg="cyan",
)
click.echo()
click.secho(" Write options with targets of:", fg="green")
click.secho(f" Days to expiry >= {config['target']['dte']}",
fg="cyan")
click.secho(f" Default delta <= {config['target']['delta']}",
fg="cyan")
if "puts" in config["target"]:
click.secho(
f" Delta for puts <= {config['target']['puts']['delta']}",
fg="cyan",
)
if "calls" in config["target"]:
click.secho(
f" Delta for calls <= {config['target']['calls']['delta']}",
fg="cyan",
)
click.secho(
f" Maximum new contracts = {config['target']['maximum_new_contracts_percent'] * 100}% of buying power",
fg="cyan",
)
click.secho(
f" Minimum open interest = {config['target']['minimum_open_interest']}",
fg="cyan",
)
click.echo()
click.secho(" Symbols:", fg="green")
for s in config["symbols"].keys():
c = config["symbols"][s]
c_delta = f"{get_target_delta(config, s, 'C'):.2f}".rjust(4)
p_delta = f"{get_target_delta(config, s, 'P'):.2f}".rjust(4)
weight_p = f"{(c['weight'] * 100):.2f}".rjust(4)
strike_limits = ""
c_limit = get_strike_limit(config, s, "C")
p_limit = get_strike_limit(config, s, "P")
if c_limit:
strike_limits += f", call strike >= ${c_limit:.2f}"
if p_limit:
strike_limits += f", put strike <= ${p_limit:.2f}"
click.secho(
f" {s.rjust(5)} weight = {weight_p}%, delta = {p_delta}p, {c_delta}c{strike_limits}",
fg="cyan",
)
assert (round(
sum([config["symbols"][s]["weight"]
for s in config["symbols"].keys()]), 5) == 1.00000)
click.echo()
if config.get("ib_insync", {}).get("logfile"):
util.logToFile(config["ib_insync"]["logfile"])
# TWS version is pinned to current stable
ibc_config = config.get("ibc", {})
# Remove any config params that aren't valid keywords for IBC
ibc_keywords = {
k: ibc_config[k]
for k in ibc_config if k not in ["RaiseRequestErrors"]
}
ibc = IBC(981, **ibc_keywords)
def onConnected():
portfolio_manager.manage()
ib = IB()
ib.RaiseRequestErrors = ibc_config.get("RaiseRequestErrors", False)
ib.connectedEvent += onConnected
completion_future = asyncio.Future()
portfolio_manager = PortfolioManager(config, ib, completion_future)
probeContractConfig = config["watchdog"]["probeContract"]
watchdogConfig = config.get("watchdog")
del watchdogConfig["probeContract"]
probeContract = Contract(
secType=probeContractConfig["secType"],
symbol=probeContractConfig["symbol"],
currency=probeContractConfig["currency"],
exchange=probeContractConfig["exchange"],
)
watchdog = Watchdog(ibc, ib, probeContract=probeContract, **watchdogConfig)
watchdog.start()
ib.run(completion_future)
watchdog.stop()
ibc.terminate()
def start(config):
import toml
import thetagang.config_defaults as config_defaults
with open(config, "r") as f:
config = toml.load(f)
config = normalize_config(config)
validate_config(config)
click.secho(f"Config:", fg="green")
click.echo()
click.secho(f" Account details:", fg="green")
click.secho(
f" Number = {config['account']['number']}",
fg="cyan")
click.secho(
f" Cancel existing orders = {config['account']['cancel_orders']}",
fg="cyan",
)
click.secho(
f" Margin usage = {config['account']['margin_usage']} ({config['account']['margin_usage'] * 100}%)",
fg="cyan",
)
click.secho(
f" Market data type = {config['account']['market_data_type']}",
fg="cyan",
)
click.echo()
click.secho(f" Roll options when either condition is true:", fg="green")
click.secho(
f" Days to expiry <= {config['roll_when']['dte']} and P&L >= {config['roll_when']['min_pnl']} ({config['roll_when']['min_pnl'] * 100}%)",
fg="cyan",
)
click.secho(
f" P&L >= {config['roll_when']['pnl']} ({config['roll_when']['pnl'] * 100}%)",
fg="cyan",
)
click.echo()
click.secho(f" When contracts are ITM:", fg="green")
click.secho(
f" Roll puts = {config['roll_when']['puts']['itm']}",
fg="cyan",
)
click.secho(
f" Roll calls = {config['roll_when']['calls']['itm']}",
fg="cyan",
)
click.echo()
click.secho(f" Write options with targets of:", fg="green")
click.secho(f" Days to expiry >= {config['target']['dte']}",
fg="cyan")
click.secho(f" Default delta <= {config['target']['delta']}",
fg="cyan")
if "puts" in config["target"]:
click.secho(
f" Delta for puts <= {config['target']['puts']['delta']}",
fg="cyan",
)
if "calls" in config["target"]:
click.secho(
f" Delta for calls <= {config['target']['calls']['delta']}",
fg="cyan",
)
click.secho(
f" Maximum new contracts = {config['target']['maximum_new_contracts']}",
fg="cyan",
)
click.secho(
f" Minimum open interest = {config['target']['minimum_open_interest']}",
fg="cyan",
)
click.echo()
click.secho(f" Symbols:", fg="green")
for s in config["symbols"].keys():
c = config["symbols"][s]
c_delta = f"{get_target_delta(config, s, 'C'):.2f}".rjust(4)
p_delta = f"{get_target_delta(config, s, 'P'):.2f}".rjust(4)
weight = f"{c['weight']:.2f}".rjust(4)
weight_p = f"{(c['weight'] * 100):.1f}".rjust(4)
click.secho(
f" {s.rjust(5)} weight = {weight} ({weight_p}%), delta = {p_delta}p, {c_delta}c",
fg="cyan",
)
assert (sum([
config["symbols"][s]["weight"] for s in config["symbols"].keys()
]) == 1.0)
click.echo()
if config.get("ib_insync", {}).get("logfile"):
util.logToFile(config["ib_insync"]["logfile"])
# TWS version is pinned to current stable
ibc = IBC(978, **config["ibc"])
def onConnected():
portfolio_manager.manage()
ib = IB()
ib.connectedEvent += onConnected
completion_future = asyncio.Future()
portfolio_manager = PortfolioManager(config, ib, completion_future)
probeContractConfig = config["watchdog"]["probeContract"]
watchdogConfig = config.get("watchdog")
del watchdogConfig["probeContract"]
probeContract = Contract(
secType=probeContractConfig["secType"],
symbol=probeContractConfig["symbol"],
currency=probeContractConfig["currency"],
exchange=probeContractConfig["exchange"],
)
watchdog = Watchdog(ibc, ib, probeContract=probeContract, **watchdogConfig)
watchdog.start()
ib.run(completion_future)
watchdog.stop()
ibc.terminate()
def start(config):
import toml
with open(config, "r") as f:
config = toml.load(f)
validate_config(config)
click.secho(f"Config:", fg="green")
click.echo()
click.secho(f" Account details:", fg="green")
click.secho(
f" Number = {config['account']['number']}",
fg="cyan")
click.secho(
f" Cancel existing orders = {config['account']['cancel_orders']}",
fg="cyan",
)
click.secho(
f" Margin usage = {config['account']['margin_usage']} ({config['account']['margin_usage'] * 100}%)",
fg="cyan",
)
click.secho(
f" Market data type = {config['account']['market_data_type']}",
fg="cyan",
)
click.echo()
click.secho(f" Roll options when either condition is true:", fg="green")
click.secho(f" Days to expiry <= {config['roll_when']['dte']}",
fg="cyan")
click.secho(
f" P&L >= {config['roll_when']['pnl']} ({config['roll_when']['pnl'] * 100}%)",
fg="cyan",
)
click.echo()
click.secho(f" Write options with targets of:", fg="green")
click.secho(f" Days to expiry >= {config['target']['dte']}",
fg="cyan")
click.secho(f" Delta <= {config['target']['delta']}",
fg="cyan")
click.secho(
f" Minimum open interest >= {config['target']['minimum_open_interest']}",
fg="cyan",
)
click.echo()
click.secho(f" Symbols:", fg="green")
for s in config["symbols"].keys():
click.secho(
f" {s}, weight = {config['symbols'][s]['weight']} ({config['symbols'][s]['weight'] * 100}%)",
fg="cyan",
)
assert (sum([
config["symbols"][s]["weight"] for s in config["symbols"].keys()
]) == 1.0)
click.echo()
if config.get("ib_insync", {}).get("logfile"):
util.logToFile(config["ib_insync"]["logfile"])
ibc = IBC(**config["ibc"])
def onConnected():
portfolio_manager.manage()
ib = IB()
ib.connectedEvent += onConnected
completion_future = asyncio.Future()
portfolio_manager = PortfolioManager(config, ib, completion_future)
probeContractConfig = config["watchdog"]["probeContract"]
watchdogConfig = config.get("watchdog")
del watchdogConfig["probeContract"]
probeContract = Contract(
secType=probeContractConfig["secType"],
symbol=probeContractConfig["symbol"],
currency=probeContractConfig["currency"],
exchange=probeContractConfig["exchange"],
)
watchdog = Watchdog(ibc, ib, probeContract=probeContract, **watchdogConfig)
watchdog.start()
ib.run(completion_future)
watchdog.stop()
ibc.terminate()