Skip to content

Commit

Permalink
add put spreads
Browse files Browse the repository at this point in the history
  • Loading branch information
@Graeme22
Graeme22 committed Jul 1, 2024
1 parent 353a760 commit 3cf9f96
Showing 1 changed file with 63 additions and 28 deletions.
91 changes: 63 additions & 28 deletions ttcli/option.py
View file
Original file line number Diff line number Diff line change
Expand Up @@ -7,11 +7,13 @@
from rich.table import Table
from tastytrade import DXLinkStreamer
from tastytrade.dxfeed import EventType, Greeks, Quote
from tastytrade.instruments import NestedOptionChain, Option, OptionType
from tastytrade.order import NewOrder, PriceEffect, OrderType, OrderTimeInForce, OrderAction
from tastytrade.instruments import NestedOptionChain, Option
from tastytrade.order import (NewOrder, OrderAction, OrderTimeInForce,
OrderType, PriceEffect)
from tastytrade.utils import get_tasty_monthly

from ttcli.utils import RenewableSession, is_monthly, get_confirmation, print_error, print_warning
from ttcli.utils import (RenewableSession, get_confirmation, is_monthly,
print_error, print_warning)


def choose_expiration(
Expand Down Expand Up @@ -166,13 +168,14 @@ async def call(symbol: str, quantity: int, strike: Optional[int] = None,


@option.command(help='Buy or sell puts with the given parameters.')
@click.option('-s', '--strike', type=int, help='The chosen strike for the option.')
@click.option('-s', '--strike', type=Decimal, help='The chosen strike for the option.')
@click.option('-d', '--delta', type=int, help='The chosen delta for the option.')
@click.option('-w', '--width', type=int, help='Turns the order into a spread with the given width.')
@click.option('--gtc', is_flag=True, help='Place a GTC order instead of a day order.')
@click.option('--weeklies', is_flag=True, help='Show all expirations, not just monthlies.')
@click.argument('symbol', type=str)
@click.argument('quantity', type=int)
async def put(symbol: str, quantity: int, strike: Optional[int] = None,
async def put(symbol: str, quantity: int, strike: Optional[int] = None, width: Optional[int] = None,
gtc: bool = False, weeklies: bool = False, delta: Optional[int] = None):
if strike is not None and delta is not None:
print_error('Must specify either delta or strike, but not both.')
Expand All @@ -199,44 +202,73 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None,
lowest = 100
selected = None
for g in greeks:
diff = abs(g.delta * Decimal(100) - delta)
diff = abs(g.delta * Decimal(100) + delta)
if diff < lowest:
selected = g
lowest = diff
# set strike with the closest delta
strike = next(s.strike_price for s in subchain.strikes
if s.put_streamer_symbol == selected.eventSymbol)

await streamer.subscribe(EventType.QUOTE, [selected.eventSymbol])
quote = await streamer.get_event(EventType.QUOTE)
mid = (quote.bidPrice + quote.askPrice) / Decimal(2)
if width:
spread_strike = next(s for s in subchain.strikes if s.strike_price == strike - width)
await streamer.subscribe(EventType.QUOTE, [selected.eventSymbol, spread_strike.put_streamer_symbol])
quote_dict = await listen_quotes(2, streamer)
bid = quote_dict[selected.eventSymbol].bidPrice - quote_dict[spread_strike.put_streamer_symbol].askPrice
ask = quote_dict[selected.eventSymbol].askPrice - quote_dict[spread_strike.put_streamer_symbol].bidPrice
mid = (bid + ask) / Decimal(2)
else:
await streamer.subscribe(EventType.QUOTE, [selected.eventSymbol])
quote = await streamer.get_event(EventType.QUOTE)
bid = quote.bidPrice
ask = quote.askPrice
mid = (bid + ask) / Decimal(2)

console = Console()
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} {strike}P {expiration}')
if width:
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} put spread {expiration}')
else:
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Quote for {symbol} {strike}P {expiration}')
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'{quote.bidPrice:.2f}', f'{mid:.2f}', f'{quote.askPrice:.2f}')
table.add_row(f'{bid:.2f}', f'{mid:.2f}', f'{ask:.2f}')
console.print(table)

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

put = Option.get_option(sesh, next(s.put for s in subchain.strikes if s.strike_price == strike))
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])
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)
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,
order_type=OrderType.LIMIT,
legs=[put.build_leg(abs(quantity), OrderAction.SELL_TO_OPEN if quantity < 0 else OrderAction.BUY_TO_OPEN)],
legs=legs,
price=price,
price_effect=PriceEffect.CREDIT if quantity < 0 else PriceEffect.DEBIT
)
acc = sesh.get_account()
nl = acc.get_balances(sesh).net_liquidating_value

data = acc.place_order(sesh, order, dry_run=True)
if data.errors:
for error in data.errors:
print_error(error.message)
return

nl = acc.get_balances(sesh).net_liquidating_value
bp = data.buying_power_effect.change_in_buying_power
percent = bp / nl * Decimal(100)
fees = data.fee_calculation.total_fees
Expand All @@ -251,8 +283,11 @@ async def put(symbol: str, quantity: int, strike: Optional[int] = None,
table.add_column('BP', width=8, justify='center')
table.add_column('% of NL', width=8, justify='center')
table.add_column('Fees', width=8, justify='center')
table.add_row(f'{quantity}', symbol, f'${strike:.2f}', 'PUT', f'{expiration}', f'${price:.2f}',
table.add_row(f'{quantity:+}', symbol, f'${strike:.2f}', 'PUT', f'{expiration}', f'${price:.2f}',
f'${bp:.2f}', f'{percent:.2f}%', f'${fees:.2f}')
if width:
table.add_row(f'{-quantity:+}', symbol, f'${spread_strike.strike_price:.2f}',
'PUT', f'{expiration}', '-', '-', '-', '-')
console.print(table)

if data.warnings:
Expand Down Expand Up @@ -282,14 +317,14 @@ async def chain(symbol: str, strikes: int = 8, weeklies: bool = False):

console = Console()
table = Table(show_header=True, header_style='bold', title_style='bold',
title=f'Options chain for {symbol} on {expiration}')
table.add_column('Delta', width=8, justify='center')
table.add_column('Bid', style='red', width=8, justify='center')
title=f'Options chain for {symbol} expiring {expiration}')
table.add_column(u'Call \u03B4', width=8, justify='center')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_column('Strike', width=8, justify='center')
table.add_column('Bid', style='green', width=8, justify='center')
table.add_column('Ask', style='green', width=8, justify='center')
table.add_column('Delta', width=8, justify='center')
table.add_column('Ask', style='red', width=8, justify='center')
table.add_column(u'Put \u03B4', width=8, justify='center')

if strikes * 2 < len(subchain.strikes):
mid_index = 0
Expand Down Expand Up @@ -317,16 +352,16 @@ async def chain(symbol: str, strikes: int = 8, weeklies: bool = False):
call_delta = int(greeks_dict[strike.call_streamer_symbol].delta * 100)

table.add_row(
f'{put_delta:g}',
f'{put_bid:.2f}',
f'{put_ask:.2f}',
f'{strike.strike_price:.2f}',
f'{call_delta:g}',
f'{call_bid:.2f}',
f'{call_ask:.2f}',
f'{call_delta:g}'
f'{strike.strike_price:.2f}',
f'{put_bid:.2f}',
f'{put_ask:.2f}',
f'{put_delta:g}'
)
if i == strikes - 1:
table.add_row('=======', 'ITM v', '=======', '=======',
'=======', 'ITM ^', '=======', style='white')
table.add_row('=======', 'ITM ^', '=======', '=======',
'=======', 'ITM v', '=======', style='white')

console.print(table)

0 comments on commit 3cf9f96

Please sign in to comment.