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163 lines (136 loc) · 7.45 KB
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from options import Option
class Strategy(Option):
def __init__(self, name=None, symbol=None, strike_1=0, strike_2=0, strikes = None, strike = 0, c_p=None, long_short=None, dte=None, _id=None,
open_date=None, exp_date=None, profit_limit=0, loss_limit=0, allow_early_roll=False,num_legs=0, have_shares=None):
super().__init__(symbol=symbol, c_p=c_p, long_short=long_short, strike=strike, open_date=open_date, exp_date=exp_date, dte=dte, _id=_id,
profit_limit=profit_limit, loss_limit=loss_limit, allow_early_roll=allow_early_roll)
self.name = name.lower()
self.strike_1 = strike_1
self.strike_2 = strike_2
self.strikes = strikes
if strikes:
self.strike = strikes[0]
self.long_short = long_short
self.dte = dte
self._id = _id
self.exp_date = exp_date
self.open_date = open_date
self.profit_limit = profit_limit
self.loss_limit = loss_limit
self.allow_early_roll = allow_early_roll
self.num_legs = num_legs
self.num_shares = 0
self.have_shares = have_shares
self.shares_long_short = 'L'
if name == 'strangle':
self.leg_1 = Option(symbol=self.symbol, c_p = 'P', long_short = self.long_short)
self.leg_2 = Option(symbol=self.symbol, c_p = 'C', long_short = self.long_short)
self.legs = [self.leg_1, self.leg_2]
elif name =='single':
self.leg_1 = Option(symbol=self.symbol, c_p = c_p, long_short = self.long_short)
self.legs = [self.leg_1]
elif name == 'wheel':
self.c_p = 'P'
self.leg_1 = Option(symbol=self.symbol, c_p = self.c_p, long_short = self.long_short)
self.legs = [self.leg_1]
if c_p:
self.c_p =c_p
if self.strikes:
self.set_strategies()
def set_strategies(self):
if self.name == 'strangle':
self._strangle(symbol=self.symbol, strikes = self.strikes, open_date = self.open_date, exp_date = self.exp_date,
profit_limit = self.profit_limit, loss_limit = self.loss_limit, allow_early_roll = self.allow_early_roll)
elif self.name == 'single':
self._single(symbol=self.symbol, strikes = self.strikes, c_p= self.c_p, open_date = self.open_date, exp_date = self.exp_date,
profit_limit = self.profit_limit, loss_limit = self.loss_limit, allow_early_roll = self.allow_early_roll)
elif self.name == 'wheel':
self._wheel(symbol=self.symbol, strikes = self.strikes, c_p= self.c_p, open_date = self.open_date, exp_date = self.exp_date,
profit_limit = self.profit_limit, loss_limit = self.loss_limit, allow_early_roll = self.allow_early_roll, have_shares = self.have_shares)
def _single(self, **kwargs):
self.symbol = kwargs['symbol']
if len(self.strikes) == 1:
self.strike_1 = kwargs['strikes'][0]
exp_date = kwargs['exp_date']
open_date = kwargs['open_date']
profit_limit=kwargs['profit_limit']
loss_limit=kwargs['loss_limit']
allow_early_roll=kwargs['allow_early_roll']
c_p = kwargs['c_p']
self.leg_1 = Option(symbol=self.symbol, c_p = c_p, long_short = self.long_short, strike = self.strike_1, open_date=open_date, exp_date = exp_date, profit_limit = profit_limit,
loss_limit = loss_limit, allow_early_roll = allow_early_roll)
self.num_legs=1
self.single = [self.leg_1]
self.legs = [self.leg_1]
self.leg_1.get_chain_from_db()
self._combine()
self.get_pnl(profit_limit=profit_limit, loss_limit=loss_limit)
self._get_summary(strike_1 =self.strike_1)
self.max_daily_draw_down = self.leg_1.max_daily_draw_down
print(f'{self.long_short} {self.c_p}')
def _strangle(self, **kwargs):
self.symbol = kwargs['symbol']
if len(self.strikes) == 2:
self.strike_1 = self.strikes[0]
self.strike_2 = self.strikes[1]
self.num_legs=2
exp_date = kwargs['exp_date']
open_date = kwargs['open_date']
profit_limit=kwargs['profit_limit']
loss_limit=kwargs['loss_limit']
allow_early_roll=kwargs['allow_early_roll']
self.leg_1 = Option(symbol=self.symbol, c_p = 'P', long_short = self.long_short, strike = self.strike_1, open_date=open_date, exp_date = exp_date, profit_limit = profit_limit,
loss_limit = loss_limit, allow_early_roll = allow_early_roll)
self.leg_2 = Option(symbol=self.symbol, c_p = 'C', long_short = self.long_short, strike = self.strike_2, open_date=open_date, exp_date = exp_date, profit_limit = profit_limit,
loss_limit = loss_limit, allow_early_roll = allow_early_roll)
self.leg_1.get_chain_from_db()
self.leg_2.get_chain_from_db()
self.strangle = [self.leg_1, self.leg_2]
self.legs = [self.leg_1, self.leg_2]
self._combine()
self.get_pnl(profit_limit=profit_limit, loss_limit=loss_limit)
self._get_summary(strike_1 =self.strike_1, strike_2 =self.strike_2)
def _straddle(self):
pass
def _wheel(self, **kwargs):
## start off by selling put
## keep selling put until assigned
## once assigned, sell stock immidiately (or wait a few days?)
self.symbol = kwargs['symbol']
if len(self.strikes) == 1:
self.strike_1 = kwargs['strikes'][0]
self.legs = [self.leg_1]
exp_date = kwargs['exp_date']
open_date = kwargs['open_date']
profit_limit=kwargs['profit_limit']
loss_limit=kwargs['loss_limit']
allow_early_roll=kwargs['allow_early_roll']
self.have_shares=kwargs['have_shares']
self.long_short = 'S'
self.num_legs = 1
if not self.have_shares:
print('selling a put')
self.c_p = 'P'
self.leg_1 = Option(symbol=self.symbol, c_p = self.c_p, long_short = self.long_short, strike = self.strike_1, open_date=open_date, exp_date = exp_date,
profit_limit = profit_limit, loss_limit = loss_limit, allow_early_roll = allow_early_roll)
else:
self.c_p = 'C'
self.num_shares = 100
print('selling a call')
self.leg_1 = Option(symbol=self.symbol, c_p = self.c_p, long_short = self.long_short, strike = self.strike_1, open_date=open_date, exp_date = exp_date,
profit_limit = profit_limit, loss_limit = loss_limit, allow_early_roll = allow_early_roll, have_shares=self.have_shares)
self.leg_1.get_chain_from_db()
self._combine()
self.get_pnl(profit_limit=profit_limit, loss_limit=loss_limit, have_shares = self.have_shares)
self._get_summary(strike_1 =self.strike_1)
def _combine(self):
if self.num_legs == 2:
self.leg_2.chain.drop(columns=['UNDERLYING_LAST','EXPIRE_DATE'],inplace=True)
self.chain = self.leg_1.chain.merge(self.leg_2.chain, on= 'QUOTE_DATE', suffixes=('_P', '_C'))
elif self.num_legs == 1:
self.chain = self.leg_1.chain
def _get_open_prices(self):
self.open_prices = [leg.get_open_price() for leg in self.legs]
def _get_pnls(self):
[leg.get_pnl() for leg in self.legs]
self.pnl_amounts = [leg.pnl_amount for leg in self.legs]