Class: Iro::Position

Inherits:
Object
  • Object
show all
Includes:
Mongoid::Document, Mongoid::Paranoia, Mongoid::Timestamps
Defined in:
app/models/iro/position.rb

Constant Summary collapse

STATUS_ACTIVE = 
'active'
STATUS_CLOSED = 
'closed'
STATUS_PROPOSED = 
'proposed'
STATUS_PENDING =

one more, ‘selected’ after proposed?

'pending'
STATUSES =

‘working’

[ nil, STATUS_CLOSED, STATUS_ACTIVE, STATUS_PROPOSED, STATUS_PENDING ]

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Instance Attribute Details

#next_gain_loss_amount ⇒ Object

Returns the value of attribute next_gain_loss_amount.



9
10
11
 
# File 'app/models/iro/position.rb', line 9

def next_gain_loss_amount
  @next_gain_loss_amount
end

Class Method Details

.long ⇒ Object

ok



277
278
279
 
# File 'app/models/iro/position.rb', line 277

def self.long
  where( long_or_short: Iro::Strategy::LONG )
end

.short ⇒ Object

ok



282
283
284
 
# File 'app/models/iro/position.rb', line 282

def self.short
  where( long_or_short: Iro::Strategy::SHORT )
end

Instance Method Details

#begin_delta ⇒ Object 



73
74
75
 
# File 'app/models/iro/position.rb', line 73

def begin_delta
  strategy.send("begin_delta_#{strategy.kind}", self)
end

#breakeven ⇒ Object 



80
81
82
 
# File 'app/models/iro/position.rb', line 80

def breakeven
  strategy.send("breakeven_#{strategy.kind}", self)
end

#calc_nxt ⇒ Object 



142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
 
# File 'app/models/iro/position.rb', line 142

def calc_nxt
  pos = self

  ## 7 days ahead - not configurable so far
  outs = Tda::Option.get_quotes({
    contractType: pos.put_call,
    expirationDate: next_expires_on,
    ticker: ticker,
  })
  outs_bk = outs.dup

  outs = outs.select do |out|
    out[:bidSize] + out[:askSize] > 0
  end

  if 'CALL' == pos.put_call
    ;
  elsif 'PUT' == pos.put_call
    outs = outs.reverse
  end

  ## next_inner_strike
  outs = outs.select do |out|
    if Iro::Strategy::CREDIT == pos.credit_or_debit
      if Iro::Strategy::SHORT == pos.long_or_short
        ## short credit call
        out[:strikePrice] >= strategy.next_inner_strike
      elsif Iro::Strategy::LONG == pos.long_or_short
        ## long credit put
        out[:strikePrice] <= strategy.next_inner_strike
      end
    else
      raise 'zz3 - @TODO: implement, debit spreads'
    end
  end
  puts! outs[0][:strikePrice], 'after calc next_inner_strike'
  puts! outs, 'outs'

  ## next_buffer_above_water
  outs = outs.select do |out|
    if Iro::Strategy::SHORT == pos.long_or_short
      out[:strikePrice] > strategy.next_buffer_above_water + strategy.stock.last
    elsif Iro::Strategy::LONG == pos.long_or_short
      out[:strikePrice] < strategy.stock.last - strategy.next_buffer_above_water
    else
      raise 'zz4 - this cannot happen'
    end
  end
  puts! outs[0][:strikePrice], 'after calc next_buffer_above_water'
  puts! outs, 'outs'

  ## next_inner_delta
  outs = outs.select do |out|
    if 'CALL' == pos.put_call
      out_delta  = out[:delta] rescue 1
      out_delta <= strategy.next_inner_delta
    elsif 'PUT' == pos.put_call
      out_delta  = out[:delta] rescue 0
      out_delta <= strategy.next_inner_delta
    else
      raise 'zz5 - this cannot happen'
    end
  end
  puts! outs[0][:strikePrice], 'after calc next_inner_delta'
  puts! outs, 'outs'

  inner = outs[0]
  outs = outs.select do |out|
    if 'CALL' == pos.put_call
      out[:strikePrice] >= inner[:strikePrice].to_f + strategy.next_spread_amount
    elsif 'PUT' == pos.put_call
      out[:strikePrice] <= inner[:strikePrice].to_f - strategy.next_spread_amount
    end
  end
  outer = outs[0]

  if inner && outer
    o_attrs = {
      expires_on: next_expires_on,
      put_call:   pos.put_call,
      stock_id:   pos.stock_id,
    }
    inner_ = Iro::Option.new(o_attrs.merge({
      strike:        inner[:strikePrice],
      begin_price: ( inner[:bid] + inner[:ask] )/2,
      begin_delta:   inner[:delta],
      end_price:   ( inner[:bid] + inner[:ask] )/2,
      end_delta:     inner[:delta],
    }))
    outer_ = Iro::Option.new(o_attrs.merge({
      strike:        outer[:strikePrice],
      begin_price: ( outer[:bid] + outer[:ask] )/2,
      begin_delta:   outer[:delta],
      end_price:   ( outer[:bid] + outer[:ask] )/2,
      end_delta:     outer[:delta],
    }))
    pos.autonxt ||= Iro::Position.new
    pos.autonxt.update({
      prev_gain_loss_amount: 'a',
      status:       'proposed',
      stock:        strategy.stock,
      inner:        inner_,
      outer:        outer_,
      inner_strike: inner_.strike,
      outer_strike: outer_.strike,
      begin_on:     Time.now.to_date,
      expires_on:   next_expires_on,
      purse:        purse,
      strategy:     strategy,
      quantity:     1,
      autoprev:     pos,
    })

    pos.autonxt.sync
    pos.autonxt.save!
    pos.save
    return pos

  else
    throw 'zmq - should not happen'
  end
end

#calc_rollp ⇒ Object

should_roll?



130
131
132
133
134
135
136
137
138
139
140
 
# File 'app/models/iro/position.rb', line 130

def calc_rollp
  self.next_reasons = []
  # self.next_symbol  = nil
  # self.next_delta   = nil

  out = strategy.send( "calc_rollp_#{strategy.kind}", self )

  self.rollp = out[0]
  self.next_reasons.push out[1]
  save
end

#current_underlying_strike ⇒ Object 



84
85
86
 
# File 'app/models/iro/position.rb', line 84

def current_underlying_strike
  Iro::Stock.find_by( ticker: ticker ).last
end

#end_delta ⇒ Object 



76
77
78
 
# File 'app/models/iro/position.rb', line 76

def end_delta
  strategy.send("end_delta_#{strategy.kind}", self)
end

#inner ⇒ Object

Options



48
 
# File 'app/models/iro/position.rb', line 48

belongs_to :inner, class_name: 'Iro::Option', inverse_of: :inner

#max_gain ⇒ Object

each



108
109
110
 
# File 'app/models/iro/position.rb', line 108

def max_gain # each
  strategy.send("max_gain_#{strategy.kind}", self)
end

#max_loss ⇒ Object

each



111
112
113
 
# File 'app/models/iro/position.rb', line 111

def max_loss # each
  strategy.send("max_loss_#{strategy.kind}", self)
end

#net_amount ⇒ Object

each



105
106
107
 
# File 'app/models/iro/position.rb', line 105

def net_amount # each
  strategy.send("net_amount_#{strategy.kind}", self)
end

#net_percent ⇒ Object 



102
103
104
 
# File 'app/models/iro/position.rb', line 102

def net_percent
  net_amount / max_gain
end

#next_expires_on ⇒ Object

ok



268
269
270
271
272
273
274
 
# File 'app/models/iro/position.rb', line 268

def next_expires_on
  out = expires_on.to_datetime.next_occurring(:monday).next_occurring(:friday)
  if !out.workday?
    out = Time.previous_business_day(out)
  end
  return out
end

#next_reasons ⇒ Object

decisions



126
 
# File 'app/models/iro/position.rb', line 126

field :next_reasons, type: :array, default: []

#nxts ⇒ Object

there are many of these, for viewing on the ‘roll’ view



43
 
# File 'app/models/iro/position.rb', line 43

has_many :nxts,     class_name: 'Iro::Position', inverse_of: :prev

#prev_gain_loss_amount ⇒ Object 



10
11
12
13
 
# File 'app/models/iro/position.rb', line 10

def prev_gain_loss_amount
  out  = autoprev.outer.end_price - autoprev.inner.end_price
  out += inner.begin_price - outer.begin_price
end

#q ⇒ Object 



67
 
# File 'app/models/iro/position.rb', line 67

def q; quantity; end

#refresh ⇒ Object 



88
89
90
91
92
93
94
95
96
97
98
99
100
 
# File 'app/models/iro/position.rb', line 88

def refresh
  out = Tda::Option.get_quote({
    contractType:   'CALL',
    strike:         strike,
    expirationDate: expires_on,
    ticker:         ticker,
  })
  update({
    end_delta: out[:delta],
    end_price: out[:last],
  })
  print '^'
end

#sync ⇒ Object 



116
117
118
119
 
# File 'app/models/iro/position.rb', line 116

def sync
  inner.sync
  outer.sync
end

#to_s ⇒ Object 



286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
 
# File 'app/models/iro/position.rb', line 286

def to_s
  out = "#{stock} (#{q}) #{expires_on.to_datetime.strftime('%b %d')} #{strategy.long_or_short} ["
  if Iro::Strategy::LONG == long_or_short
    if outer.strike
      out = out + "$#{outer.strike}->"
    end
    out = out + "$#{inner.strike}"
  else
    out = out + "$#{inner.strike}"
    if outer.strike
      out = out + "<-$#{outer.strike}"
    end
  end
  out += "] "
  return out
end