Module: IB::Butterfly

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

Class Method Summary collapse

Methods included from SpreadPrototype

build, defaults, initialize_spread, optional, parameters, requirements

Class Method Details

.build(from:, front:, back:, **options) ⇒ Object 



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# File 'lib/ib/spread_prototypes/butterfly.rb', line 53

def  build from: , front:, back:,  **options
  underlying_attributes =  { expiry: IB::Symbols::Futures.next_expiry, right: :put }.merge( from.attributes.slice( :symbol, :currency, :exchange, :strike )).merge( options )
  fabricate  IB::Option.new( underlying_attributes), front: front, back: back
end

.defaults ⇒ Object 



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# File 'lib/ib/spread_prototypes/butterfly.rb', line 63

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

.fabricate(master, front:, back:) ⇒ Object

where :strike defines the center of the Spread.



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# File 'lib/ib/spread_prototypes/butterfly.rb', line 23

def  fabricate master, front:, back:

  error "fabrication is based on a master option. Please specify as first argument" unless master.is_a?(IB::Option)
  strike = master.strike
  master.right = :put unless master.right == :call
  l= master.verify
  if l.empty?
    error "Invalid Parameters. No Contract found #{master.to_human}" 
  elsif l.size > 1
    error "ambigous contract-specification: #{l.map(&:to_human).join(';')}"
    available_trading_classes = l.map( &:trading_class ).uniq
    if available_trading_classes.size >1
      error "Refine Specification with trading_class: #{available_trading_classes.join('; ')} "
    else
      error "Respecify expiry, verification reveals #{l.size} contracts  (only 1 is allowed)"
    end
  end

  initialize_spread( master ) do | the_spread |
    strikes = [front, master.strike, back]
    strikes.zip([1, -2, 1]).each do |strike, ratio|
      action = ratio >0 ?  :buy : :sell
          leg =  IB::Option.new( master.attributes.merge( strike: strike )).verify.first.essential
      the_spread.add_leg  leg,  action: action,  ratio: ratio.abs 
    end
    the_spread.description =  the_description( the_spread )
    the_spread.symbol = master.symbol
  end
end

.requirements ⇒ Object 



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# File 'lib/ib/spread_prototypes/butterfly.rb', line 69

def requirements
  super.merge back: "the strike of the lower bougth option",
              front: "the strike of the upper bougth option"

end

.the_description(spread) ⇒ Object 



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# File 'lib/ib/spread_prototypes/butterfly.rb', line 58

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