Class: Ish::IronCondor

Inherits:
Object
  • Object
show all
Includes:
Mongoid::Document, Mongoid::Timestamps
Defined in:
lib/ish/iron_condor.rb

Overview

c.update_attributes( call_sell_strike: 242, call_buy_strike: 243, put_sell_strike: 229, put_buy_strike: 228 )

Constant Summary collapse

STATUSES = 
[ :queued, :placed, :filled, :rolling_up, :rolling_down, :rolled_up, :rolled_down, :expired ]

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.all_filled ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 28

def self.all_filled
  where( status: :filled )
end

Instance Method Details

#buysell_spread ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 56

def buysell_spread
  1 # $1 for QQQ
end

#created_on ⇒ Object

Internal, below



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# File 'lib/ish/iron_condor.rb', line 26

def created_on; created_at.to_date; end

#get_call_buy_strike ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 64

def get_call_buy_strike
  call_sell_strike + buysell_spread
end

#get_call_sell_strike ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 60

def get_call_sell_strike
  result = enter_price * ( 1 - period_iv/100 )
  result = result.ceil
end

#get_put_buy_strike ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 72

def get_put_buy_strike
  put_sell_strike - buysell_spread
end

#get_put_sell_strike ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 68

def get_put_sell_strike
  result = enter_price * ( 1 - period_iv/100 )
  result = result.floor
end

#iv_period ⇒ Object Also known as: period_iv 



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# File 'lib/ish/iron_condor.rb', line 45

def iv_period
  n_days = created_on.business_days_until expires_on
  result = iv_annual.to_f / Math.sqrt(252/n_days)
end

#lower_panic_threshold ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 80

def lower_panic_threshold
  result = put_sell_strike * ( 1 + panic_percentage )
end

#new_multileg_order_example_done ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 84

def new_multileg_order_example_done
  ticker = 'QQQ'
  px = 0.08
   = ALLY_CREDS[:account_id]
  n_contracts = 1
  sell_strike = 237.0
  buy_strike = 237.5
  expiration = '2020-02-21'.to_date

  tmpl = <<~AOL
  <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
    <NewOrdMleg TmInForce="0" Px="#{px}" OrdTyp="2" Acct="#{}">
      <Ord OrdQty="#{n_contracts}" PosEfct="O">
        <Leg Side="2" Strk="#{sell_strike}" 
          Mat="#{expiration.strftime('%Y-%m-%d')}T00:00:00.000-05:00" MMY="#{expiration.strftime('%y%m')}" 
          SecTyp="OPT" CFI="OC" Sym="#{ticker}"/>
      </Ord>
      <Ord OrdQty="#{n_contracts}" PosEfct="O">
        <Leg Side="1" Strk="#{buy_strike}" 
          Mat="#{expiration.strftime('%Y-%m-%d')}T00:00:00.000-05:00" MMY="#{expiration.strftime('%y%m')}" 
          SecTyp="OPT" CFI="OC" Sym="#{ticker}"/>
      </Ord>
    </NewOrdMleg>
  </FIXML>
  AOL
end

#new_purchase_trash ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 111

def new_purchase_trash
  ticker = 'AXU'
  px = 2.06
   = ALLY_CREDS[:account_id]
  n_contracts = 1
  strike = 2.06

  xml = <<~AOL
    <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
      <Order TmInForce="0" Typ="1" Side="1" Acct="#{}">
        <Instrmt SecTyp="CS" Sym="#{ticker}"/>
        <OrdQty Qty="1"/>
      </Order>
    </FIXML>
  AOL
end

#panic_percentage ⇒ Object

how close to a sell leg I need to be to take followup action



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# File 'lib/ish/iron_condor.rb', line 52

def panic_percentage
  0.01 # 1% for QQQ
end

#rolldown_xml(access_token = nil, natural = nil) ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 230

def rolldown_xml access_token=nil, natural=nil
  @access_token ||= access_token

  new_put_sell_strike = ( natural * ( 1 - period_iv ) ).floor
  new_put_buy_strike = new_put_sell_strike - buysell_spread

  # get the costs of the option first, to compute `Px`
  ymd = expires_on.strftime('%y%m%d')
  price8 = (new_put_sell_strike*1000).to_i.to_s.rjust(8, '0')
  path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
  puts! path, 'path sell'
  response = @access_token.post(path, {'Accept' => 'application/json'})
  json_sell = JSON.parse( response.body ).deep_symbolize_keys
  json_sell_bid = json_sell[:response][:quotes][:quote][:bid].to_f
  json_sell_ask = json_sell[:response][:quotes][:quote][:ask].to_f
  json_puts! json_sell, 'json_sell'

  price8 = (new_put_buy_strike*1000).to_s.rjust(8, '0')
  path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
  puts! path, 'path buy'
  response = @access_token.post(path, {'Accept' => 'application/json'})
  json_buy = JSON.parse( response.body ).deep_symbolize_keys
  json_buy_bid = json_buy[:response][:quotes][:quote][:bid].to_f
  json_buy_ask = json_buy[:response][:quotes][:quote][:ask].to_f
  json_puts! json_buy, 'json_buy'

  px_sell = ( json_sell_bid.to_f + json_sell_ask ) / 2
  px_sell = px_sell # .round 2
  px_buy = ( json_buy_bid + json_buy_ask )/ 2
  px_buy = px_buy # .round 2
  px = px_sell - px_buy
  px = ( px * 20 ).round.to_f / 20 # down to nearest 0.05
  puts! px, 'px'

=begin
  update( status: :rolling_down, 
    new_put_sell_strike: new_put_sell_strike, 
    new_put_buy_strike: new_put_buy_strike )
=end

  rollup_tmpl =<<~AOL
    <?xml version="1.0" encoding="UTF-8"?>
    <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
      <NewOrdMleg
        OrdTyp="2"
        Px="#{px}"
        Acct="#{ALLY_CREDS[:]}" 
        TmInForce="0"
      >
        <Ord OrdQty="#{n_contracts}" PosEfct="C" >
          <Leg 
            AcctTyp="5" 
            Side="1" 
            Strk="#{put_sell_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00"
            MMY="#{expires_on.strftime('%Y%m')}"
            SecTyp="OPT"
            CFI="OP"
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="C" >
          <Leg 
            Side="2" 
            Strk="#{put_buy_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OP" 
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="O" >
          <Leg 
            Side="2" 
            Strk="#{new_put_sell_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OP" 
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="O" >
          <Leg 
            Side="1" 
            Strk="#{new_put_buy_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OP" 
            Sym="#{ticker}" />
        </Ord>
      </NewOrdMleg>
    </FIXML>
  AOL
end

#rollup_xml(access_token = nil, natural = nil) ⇒ Object

www.ally.com/api/invest/documentation/fixml/ www.ally.com/api/invest/documentation/trading/ follow up, roll up buy call to close sell call to close sell call to open buy call to open



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# File 'lib/ish/iron_condor.rb', line 135

def rollup_xml access_token=nil, natural=nil
  @access_token ||= access_token

  new_call_sell_strike = ( natural * ( 1 + period_iv ) ).ceil
  new_call_buy_strike = new_call_sell_strike + buysell_spread

  # get the costs of the option first, to compute `Px`
  ymd = expires_on.strftime('%y%m%d')
  price8 = (new_call_sell_strike*1000).to_i.to_s.rjust(8, '0')
  path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
  puts! path, 'path sell'
  response = @access_token.post(path, {'Accept' => 'application/json'})
  json_sell = JSON.parse( response.body ).deep_symbolize_keys
  json_sell_bid = json_sell[:response][:quotes][:quote][:bid].to_f
  json_sell_ask = json_sell[:response][:quotes][:quote][:ask].to_f
  
  price8 = (new_call_buy_strike*1000).to_s.rjust(8, '0')
  path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
  response = @access_token.post(path, {'Accept' => 'application/json'})
  json_buy = JSON.parse( response.body ).deep_symbolize_keys
  json_buy_bid = json_buy[:response][:quotes][:quote][:bid].to_f
  json_buy_ask = json_buy[:response][:quotes][:quote][:ask].to_f

  px_sell = ( json_sell_bid.to_f + json_sell_ask ) / 2
  px_sell = px_sell # .round 2
  px_buy = ( json_buy_bid + json_buy_ask )/ 2
  px_buy = px_buy # .round 2
  px = px_sell - px_buy
  px = ( px * 20 ).round.to_f / 20 # down to nearest 0.05
  
  json_puts! json_sell, 'json_sell'
  json_puts! json_buy, 'json_buy'
  puts! px, '^00 - px'

=begin
  update( status: :rolling_up, 
    new_call_sell_strike: new_call_sell_strike, 
    new_call_buy_strike: new_call_buy_strike )
=end

  rollup_tmpl =<<~AOL
    <?xml version="1.0" encoding="UTF-8"?>
    <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
      <NewOrdMleg
        OrdTyp="2"
        Px="#{px}"
        Acct="#{ALLY_CREDS[:]}" 
        TmInForce="0"
      >
        <Ord OrdQty="#{n_contracts}" PosEfct="C" >
          <Leg 
            AcctTyp="5" 
            Side="1" 
            Strk="#{call_sell_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00"
            MMY="#{expires_on.strftime('%Y%m')}"
            SecTyp="OPT"
            CFI="OC"
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="C" >
          <Leg 
            Side="2" 
            Strk="#{call_buy_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OC" 
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="O" >
          <Leg 
            Side="2" 
            Strk="#{new_call_sell_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OC" 
            Sym="#{ticker}" />
        </Ord>
        <Ord OrdQty="#{n_contracts}" PosEfct="O" >
          <Leg 
            Side="1" 
            Strk="#{new_call_buy_strike}" 
            Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
            MMY="#{expires_on.strftime('%Y%m')}" 
            SecTyp="OPT" 
            CFI="OC" 
            Sym="#{ticker}" />
        </Ord>
      </NewOrdMleg>
    </FIXML>
  AOL
end

#upper_panic_threshold ⇒ Object 



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# File 'lib/ish/iron_condor.rb', line 76

def upper_panic_threshold
  result = call_sell_strike * ( 1 - panic_percentage )
end