Module: IB::Calendar

Extended by:
SpreadPrototype
Defined in:
lib/ib/spread_prototypes/calendar.rb

Class Method Summary collapse

Methods included from SpreadPrototype

build, defaults, initialize_spread, optional, parameters, requirements

Class Method Details

.build(from:, **fields) ⇒ Object

Build Vertical out of an Underlying

-----------------------------------------
Needed attributes: :strikes, :expiry, right

Optional: :trading_class, :multiplier

 Call with 
 IB::Calendar.build from: IB::Contract, front: an_expiry,  back: an_expiry,

right: or call, strike: a_strike



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# File 'lib/ib/spread_prototypes/calendar.rb', line 41

def build from:, **fields
  underlying = if from.is_a?  IB::Option
                 fields[:right] = from.right unless fields.key?(:right) 
                 fields[:front] = from.expiry unless fields.key(:front)
                 fields[:strike] = from.strike unless fields.key?(:strike)
                 fields[:expiry] = from.expiry unless fields.key?(:expiry)
                 fields[:trading_class] = from.trading_class unless fields.key?(:trading_class) || from.trading_class.empty?
                 fields[:multiplier] = from.multiplier unless fields.key?(:multiplier) || from.multiplier.to_i.zero?
                 details =  nil; from.verify{|c| details = c.contract_detail }
                 IB::Contract.new( con_id: details.under_con_id, 
                                  currency: from.currency)
                                 .verify!
                                 .essential
               else
                 from
               end
  kind = { :front => fields.delete(:front), :back => fields.delete(:back) }
  error "Specifiaction of :front and :back expiries nessesary, got: #{kind.inspect}" if kind.values.any?(nil)
  initialize_spread( underlying ) do | the_spread |
    leg_prototype  = IB::Option.new underlying.attributes
                        .slice( :currency, :symbol, :exchange)
                        .merge(defaults)
                        .merge( fields )
    kind[:back] = the_spread.transform_distance kind[:front], kind[:back]
    leg_prototype.sec_type = 'FOP' if underlying.is_a?(IB::Future)
    the_spread.add_leg IB::Contract.build( leg_prototype.attributes.merge(expiry: kind[:front] )), action: :buy
    the_spread.add_leg IB::Contract.build( leg_prototype.attributes.merge(expiry: kind[:back])), action: :sell
    error "Initialisation of Legs failed" if the_spread.legs.size != 2
    the_spread.description =  the_description( the_spread )
  end
end

.defaults ⇒ Object 



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# File 'lib/ib/spread_prototypes/calendar.rb', line 73

def defaults
super.merge expiry: IB::Symbols::Futures.next_expiry, 
      right: :put
end

.fabricate(master, the_other_expiry) ⇒ Object

Fabricate a Calendar-Spread from a Master-Option

-----------------------------------------
If one Leg is known, the other is build by just changing the expiry
The second leg is always SOLD !

 Call with 
 IB::Calendar.fabricate  an_option, the_other_expiry



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# File 'lib/ib/spread_prototypes/calendar.rb', line 16

def fabricate master, the_other_expiry

  error "Argument must be a IB::Future or IB::Option" unless  [:option, :future_option, :future ].include? master.sec_type

  initialize_spread( master ) do | the_spread |
    the_spread.add_leg master, action: :buy
    
    the_other_expiry =  the_other_expiry.values.first if the_other_expiry.is_a?(Hash)
    back = the_spread.transform_distance master.expiry, the_other_expiry
    the_spread.add_leg master.merge(expiry: back ), action: :sell
    error "Initialisation of Legs failed" if the_spread.legs.size != 2
    the_spread.description =  the_description( the_spread )
  end
end

.the_description(spread) ⇒ Object 



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# File 'lib/ib/spread_prototypes/calendar.rb', line 79

def the_description spread
x= [ spread.combo_legs.map(&:weight) , spread.legs.map( &:last_trading_day )].transpose
 "<Calendar #{spread.symbol} #{spread.legs.first.right}(#{spread.legs.first.strike})[#{x.map{|w,l_t_d| "#{w} :#{Date.parse(l_t_d).strftime("%b %Y")} "}.join( '|+|' )} >"
end