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finish adding future options
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@Graeme22
Graeme22 committed Jul 2, 2024
1 parent 052a59a commit 28079f9
Showing 1 changed file with 117 additions and 71 deletions.
188 changes: 117 additions & 71 deletions ttcli/option.py
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Original file line number Diff line number Diff line change
@@ -1,4 +1,3 @@
from datetime import date
from decimal import Decimal
from typing import Optional

Expand All @@ -7,7 +6,7 @@
from rich.table import Table
from tastytrade import DXLinkStreamer
from tastytrade.dxfeed import EventType, Greeks, Quote
from tastytrade.instruments import Future, NestedFutureOptionChain, NestedFutureOptionChainExpiration, NestedOptionChain, NestedOptionChainExpiration, Option
from tastytrade.instruments import Future, FutureOption, NestedFutureOptionChain, NestedFutureOptionChainExpiration, NestedOptionChain, NestedOptionChainExpiration, Option
from tastytrade.order import (NewOrder, OrderAction, OrderTimeInForce,
OrderType, PriceEffect)
from tastytrade.utils import get_tasty_monthly
Expand All @@ -16,13 +15,18 @@
print_error, print_warning, test_order_handle_errors)


def round_to_width(x, base=Decimal(1)):
return base * round(x / base)


def choose_expiration(
chain: NestedOptionChain,
include_weeklies: bool = False
) -> NestedOptionChainExpiration:
exps = [e for e in chain.expirations]
if not include_weeklies:
exps = [e for e in exps if is_monthly(e.expiration_date)]
exps.sort(key=lambda e: e.expiration_date)
default = get_tasty_monthly()
default_option = None
for i, exp in enumerate(exps):
Expand Down Expand Up @@ -52,8 +56,11 @@ def choose_futures_expiration(
exps = [e for e in chain.expirations]
else:
exps = [e for e in chain.expirations if e.expiration_type != 'Weekly']
exps.sort(key=lambda e: e.expiration_date)
# find closest to 45 DTE
default = min(exps, key=lambda e: abs(e.days_to_expiration - 45))
for i, exp in enumerate(exps):
if i == 0:
if exp == default:
print(f'{i + 1}) {exp.expiration_date} [{exp.underlying_symbol}] (default)')
else:
print(f'{i + 1}) {exp.expiration_date} [{exp.underlying_symbol}]')
Expand All @@ -64,7 +71,7 @@ def choose_futures_expiration(
choice = int(raw)
except ValueError:
if not raw:
return exps[0]
return default

return exps[choice - 1]

Expand Down Expand Up @@ -141,8 +148,17 @@ async def call(symbol: str, quantity: int, strike: Optional[Decimal] = None, wid
return

sesh = RenewableSession()
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
if symbol[0] == '/': # futures options
chain = NestedFutureOptionChain.get_chain(sesh, symbol)
subchain = choose_futures_expiration(chain, weeklies)
tick_size = subchain.tick_sizes[0].value
else:
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
tick_size = chain.tick_sizes[0].value
precision = tick_size.as_tuple().exponent
precision = abs(precision) if precision < 0 else ZERO
precision_str = f'.{precision}f'

async with DXLinkStreamer(sesh) as streamer:
if not strike:
Expand Down Expand Up @@ -175,6 +191,7 @@ async def call(symbol: str, quantity: int, strike: Optional[Decimal] = None, wid
bid = quote.bidPrice
ask = quote.askPrice
mid = (bid + ask) / Decimal(2)
mid = round_to_width(mid, tick_size)

console = Console()
if width:
Expand All @@ -183,27 +200,31 @@ async def call(symbol: str, quantity: int, strike: Optional[Decimal] = None, wid
else:
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} {strike}C {subchain.expiration_date}')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Mid', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_row(f'{bid:.2f}', f'{mid:.2f}', f'{ask:.2f}')
table.add_column('Bid', style='green', justify='center')
table.add_column('Mid', justify='center')
table.add_column('Ask', style='red', justify='center')
table.add_row(f'{bid:{precision_str}}', f'{mid:{precision_str}}', f'{ask:{precision_str}}')
console.print(table)

price = input('Please enter a limit price per quantity (default mid): ')
if not price:
price = round(mid, 2)
price = Decimal(price)
price = mid if not price else Decimal(price)

short_symbol = next(s.call for s in subchain.strikes if s.strike_price == strike)
if width:
res = Option.get_options(sesh, [short_symbol, spread_strike.call])
if symbol[0] == '/': # futures options
res = FutureOption.get_future_options(sesh, [short_symbol, spread_strike.call])
else:
res = Option.get_options(sesh, [short_symbol, spread_strike.call])
res.sort(key=lambda x: x.strike_price)
legs = [
res[0].build_leg(abs(quantity), OrderAction.SELL_TO_OPEN if quantity < 0 else OrderAction.BUY_TO_OPEN),
res[1].build_leg(abs(quantity), OrderAction.BUY_TO_OPEN if quantity < 0 else OrderAction.SELL_TO_OPEN)
]
else:
call = Option.get_option(sesh, short_symbol)
if symbol[0] == '/':
call = FutureOption.get_future_option(sesh, short_symbol)
else:
call = Option.get_option(sesh, short_symbol)
legs = [call.build_leg(abs(quantity), OrderAction.SELL_TO_OPEN if quantity < 0 else OrderAction.BUY_TO_OPEN)]
order = NewOrder(
time_in_force=OrderTimeInForce.GTC if gtc else OrderTimeInForce.DAY,
Expand All @@ -224,19 +245,19 @@ async def call(symbol: str, quantity: int, strike: Optional[Decimal] = None, wid
fees = data.fee_calculation.total_fees

table = Table(show_header=True, header_style='bold', title_style='bold', title='Order Review')
table.add_column('Quantity', width=8, justify='center')
table.add_column('Symbol', width=8, justify='center')
table.add_column('Strike', width=8, justify='center')
table.add_column('Type', width=8, justify='center')
table.add_column('Expiration', width=10, justify='center')
table.add_column('Price', width=8, justify='center')
table.add_column('BP', width=8, justify='center')
table.add_column('BP %', width=8, justify='center')
table.add_column('Fees', width=8, justify='center')
table.add_row(f'{quantity:+}', symbol, f'${strike:.2f}', 'CALL', f'{subchain.expiration_date}', f'${price:.2f}',
table.add_column('Quantity', justify='center')
table.add_column('Symbol', justify='center')
table.add_column('Strike', justify='center')
table.add_column('Type', justify='center')
table.add_column('Expiration', justify='center')
table.add_column('Price', justify='center')
table.add_column('BP', justify='center')
table.add_column('BP %', justify='center')
table.add_column('Fees', justify='center')
table.add_row(f'{quantity:+}', symbol, f'${strike:{precision_str}}', 'CALL', f'{subchain.expiration_date}', f'${price:{precision_str}}',
f'${bp:.2f}', f'{percent:.2f}%', f'${fees:.2f}')
if width:
table.add_row(f'{-quantity:+}', symbol, f'${spread_strike.strike_price:.2f}',
table.add_row(f'{-quantity:+}', symbol, f'${spread_strike.strike_price:{precision_str}}',
'CALL', f'{subchain.expiration_date}', '-', '-', '-', '-')
console.print(table)

Expand Down Expand Up @@ -271,8 +292,17 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None, width: O
return

sesh = RenewableSession()
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
if symbol[0] == '/': # futures options
chain = NestedFutureOptionChain.get_chain(sesh, symbol)
subchain = choose_futures_expiration(chain, weeklies)
tick_size = subchain.tick_sizes[0].value
else:
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
tick_size = chain.tick_sizes[0].value
precision = tick_size.as_tuple().exponent
precision = abs(precision) if precision < 0 else ZERO
precision_str = f'.{precision}f'

async with DXLinkStreamer(sesh) as streamer:
if not strike:
Expand Down Expand Up @@ -305,6 +335,7 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None, width: O
bid = quote.bidPrice
ask = quote.askPrice
mid = (bid + ask) / Decimal(2)
mid = round_to_width(mid, tick_size)

console = Console()
if width:
Expand All @@ -313,27 +344,31 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None, width: O
else:
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} {strike}P {subchain.expiration_date}')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Mid', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_row(f'{bid:.2f}', f'{mid:.2f}', f'{ask:.2f}')
table.add_column('Bid', style='green', justify='center')
table.add_column('Mid', justify='center')
table.add_column('Ask', style='red', justify='center')
table.add_row(f'{bid:{precision_str}}', f'{mid:{precision_str}}', f'{ask:{precision_str}}')
console.print(table)

price = input('Please enter a limit price per quantity (default mid): ')
if not price:
price = round(mid, 2)
price = Decimal(price)
price = mid if not price else Decimal(price)

short_symbol = next(s.put for s in subchain.strikes if s.strike_price == strike)
if width:
res = Option.get_options(sesh, [short_symbol, spread_strike.put])
if symbol[0] == '/': # futures options
res = FutureOption.get_future_options(sesh, [short_symbol, spread_strike.put])
else:
res = Option.get_options(sesh, [short_symbol, spread_strike.put])
res.sort(key=lambda x: x.strike_price, reverse=True)
legs = [
res[0].build_leg(abs(quantity), OrderAction.SELL_TO_OPEN if quantity < 0 else OrderAction.BUY_TO_OPEN),
res[1].build_leg(abs(quantity), OrderAction.BUY_TO_OPEN if quantity < 0 else OrderAction.SELL_TO_OPEN)
]
else:
put = Option.get_option(sesh, short_symbol)
if symbol[0] == '/': # futures options
put = FutureOption.get_future_option(sesh, short_symbol)
else:
put = Option.get_option(sesh, short_symbol)
legs = [put.build_leg(abs(quantity), OrderAction.SELL_TO_OPEN if quantity < 0 else OrderAction.BUY_TO_OPEN)]
order = NewOrder(
time_in_force=OrderTimeInForce.GTC if gtc else OrderTimeInForce.DAY,
Expand All @@ -354,19 +389,19 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None, width: O
fees = data.fee_calculation.total_fees

table = Table(show_header=True, header_style='bold', title_style='bold', title='Order Review')
table.add_column('Quantity', width=8, justify='center')
table.add_column('Symbol', width=8, justify='center')
table.add_column('Strike', width=8, justify='center')
table.add_column('Type', width=8, justify='center')
table.add_column('Expiration', width=10, justify='center')
table.add_column('Price', width=8, justify='center')
table.add_column('BP', width=8, justify='center')
table.add_column('BP %', width=8, justify='center')
table.add_column('Fees', width=8, justify='center')
table.add_row(f'{quantity:+}', symbol, f'${strike:.2f}', 'PUT', f'{subchain.expiration_date}', f'${price:.2f}',
table.add_column('Quantity', justify='center')
table.add_column('Symbol', justify='center')
table.add_column('Strike', justify='center')
table.add_column('Type', justify='center')
table.add_column('Expiration', justify='center')
table.add_column('Price', justify='center')
table.add_column('BP', justify='center')
table.add_column('BP %', justify='center')
table.add_column('Fees', justify='center')
table.add_row(f'{quantity:+}', symbol, f'${strike:{precision_str}}', 'PUT', f'{subchain.expiration_date}', f'${price:{precision_str}}',
f'${bp:.2f}', f'{percent:.2f}%', f'${fees:.2f}')
if width:
table.add_row(f'{-quantity:+}', symbol, f'${spread_strike.strike_price:.2f}',
table.add_row(f'{-quantity:+}', symbol, f'${spread_strike.strike_price:{precision_str}}',
'PUT', f'{subchain.expiration_date}', '-', '-', '-', '-')
console.print(table)

Expand Down Expand Up @@ -402,8 +437,17 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
return

sesh = RenewableSession()
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
if symbol[0] == '/': # futures options
chain = NestedFutureOptionChain.get_chain(sesh, symbol)
subchain = choose_futures_expiration(chain, weeklies)
tick_size = subchain.tick_sizes[0].value
else:
chain = NestedOptionChain.get_chain(sesh, symbol)
subchain = choose_expiration(chain, weeklies)
tick_size = chain.tick_sizes[0].value
precision = tick_size.as_tuple().exponent
precision = abs(precision) if precision < 0 else ZERO
precision_str = f'.{precision}f'

async with DXLinkStreamer(sesh) as streamer:
if delta is not None:
Expand Down Expand Up @@ -466,6 +510,7 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
bid = sum([q.bidPrice for q in quote_dict.values()])
ask = sum([q.askPrice for q in quote_dict.values()])
mid = (bid + ask) / Decimal(2)
mid = round_to_width(mid, tick_size)

console = Console()
if width:
Expand All @@ -474,21 +519,22 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
else:
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} {put_strike.strike_price}/{call_strike.strike_price} strangle {subchain.expiration_date}')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Mid', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_row(f'{bid:.2f}', f'{mid:.2f}', f'{ask:.2f}')
table.add_column('Bid', style='green', justify='center')
table.add_column('Mid', justify='center')
table.add_column('Ask', style='red', justify='center')
table.add_row(f'{bid:{precision_str}}', f'{mid:{precision_str}}', f'{ask:{precision_str}}')
console.print(table)

price = input('Please enter a limit price per quantity (default mid): ')
if not price:
price = round(mid, 2)
price = Decimal(price)
price = mid if not price else Decimal(price)

tt_symbols = [put_strike.put, call_strike.call]
if width:
tt_symbols += [put_spread_strike.put, call_spread_strike.call]
options = Option.get_options(sesh, tt_symbols)
if symbol[0] == '/': # futures options
options = FutureOption.get_future_options(sesh, tt_symbols)
else:
options = Option.get_options(sesh, tt_symbols)
options.sort(key=lambda o: o.strike_price)
if width:
legs = [
Expand Down Expand Up @@ -521,19 +567,19 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
fees = data.fee_calculation.total_fees

table = Table(header_style='bold', title_style='bold', title='Order Review')
table.add_column('Quantity', width=8, justify='center')
table.add_column('Symbol', width=8, justify='center')
table.add_column('Strike', width=8, justify='center')
table.add_column('Type', width=8, justify='center')
table.add_column('Expiration', width=10, justify='center')
table.add_column('Price', width=8, justify='center')
table.add_column('BP', width=8, justify='center')
table.add_column('BP %', width=8, justify='center')
table.add_column('Fees', width=8, justify='center')
table.add_column('Quantity', justify='center')
table.add_column('Symbol', justify='center')
table.add_column('Strike', justify='center')
table.add_column('Type', justify='center')
table.add_column('Expiration', justify='center')
table.add_column('Price', justify='center')
table.add_column('BP', justify='center')
table.add_column('BP %', justify='center')
table.add_column('Fees', justify='center')
table.add_row(
f'{quantity:+}',
symbol,
f'${put_strike.strike_price:.2f}',
f'${put_strike.strike_price:{precision_str}}',
'PUT',
f'{subchain.expiration_date}',
f'${price:.2f}',
Expand All @@ -544,7 +590,7 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
table.add_row(
f'{quantity:+}',
symbol,
f'${call_strike.strike_price:.2f}',
f'${call_strike.strike_price:{precision_str}}',
'CALL',
f'{subchain.expiration_date}',
'-',
Expand All @@ -556,7 +602,7 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
table.add_row(
f'{-quantity:+}',
symbol,
f'${put_spread_strike.strike_price:.2f}',
f'${put_spread_strike.strike_price:{precision_str}}',
'PUT',
f'{subchain.expiration_date}',
'-',
Expand All @@ -567,7 +613,7 @@ async def strangle(symbol: str, quantity: int, call: Optional[Decimal] = None, w
table.add_row(
f'{-quantity:+}',
symbol,
f'${call_spread_strike.strike_price:.2f}',
f'${call_spread_strike.strike_price:{precision_str}}',
'CALL',
f'{subchain.expiration_date}',
'-',
Expand Down

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