related westonplatter#10. create and submit Put Credit spread.

examples/option_order_place_vertical.py

@@ -1,8 +1,13 @@
 import configparser
 from fast_arrow import (
     Client,
-    OptionOrder
+    Option,
+    OptionChain,
+    OptionOrder,
+    SpreadsVertical,
+    Stock
 )
+import math
 
 
 #
@@ -21,15 +26,81 @@
 client = Client(username=username, password=password)
 client.authenticate()
 
+#
+# fetch spy options
+#
+symbol = "SPY"
+stock = Stock.fetch(client, symbol)
+stock = Stock.mergein_marketdata_list(client, [stock])[0]
+
+oc = OptionChain.fetch(client, stock["id"], symbol)
+ed = oc['expiration_dates'][3]
+ops = Option.in_chain(client, oc["id"], expiration_dates=[ed])
+
+#
+# enrich options with market data
+#
+ops = Option.mergein_marketdata_list(client, ops)
+
+#
+# genrate vertical spread table
+#
+width = 1
+df = SpreadsVertical.gen_df(ops, width, "put", "sell")
+
+#
+# select the 4th row (should be a deep OTM put, credit spread)
+#
+vertical = df.iloc[[4]]
+
+#
+# create the order
+#
+direction = "credit"
+
+legs = [
+    {   "side": "sell",
+        "option": vertical["instrument"].values[0],
+        "position_effect": "open",
+        "ratio_quantity": 1
+    },
+    {   "side": "buy",
+        "option": vertical["instrument_shifted"].values[0],
+        "position_effect": "open",
+        "ratio_quantity": 1
+    }
+]
 
 #
-# configure order details
+# for a Put Credit spread, set limit price at 1.0 less the full margin
+#
+my_bid_price = (vertical["margin"] * 100.0) - 1.00
+my_bid_price_rounded = (math.floor(my_bid_price * 100.0))/100.0
+x = my_bid_price_rounded / 100.0
+my_bid_price_formatted = str(x)
+price = my_bid_price_formatted
+
+quantity = 1
+time_in_force = "gfd"
+trigger = "immediate"
+order_type = "limit"
+
+# @TODO create intuitive print statement
+# print("Buying the {} {} {} for {} (dollar cost = ${})".format(
+#     symbol,
+#     strike_price,
+#     desired_type,
+#     my_bid_price_rounded,
+#     my_bid_price_rounded*100.0)
+# )
+
+oo = OptionOrder.submit(client, direction, legs, price, quantity, time_in_force, trigger, order_type)
+
+print("Order submitted ... ref_id = {}".format(oo["ref_id"]))
+
 #
-# @TODO
-# - fetch spy options
-# - find $100 debit spread to buy in next 10-15 days
-# - set price at 0.01
-# - send order
-# - cancel order
+# cancel the order
 #
-# 
+print("Canceling order = {}".format(oo["ref_id"]))
+result = OptionOrder.cancel(client, oo['cancel_url'])
+print("Order canceled result = {}".format(result))

fast_arrow/__init__.py

@@ -14,7 +14,7 @@
 from fast_arrow.resources.option import Option
 
 # spreads
-from fast_arrow.spreads.vertical import Spread
+from fast_arrow.spreads.vertical import Vertical as SpreadsVertical
 
 # stocks
 from fast_arrow.resources.stock_order import StockOrder

fast_arrow/client.py

@@ -55,7 +55,7 @@ def get(self, url=None, params=None, retry=True):
                 return res.json()
             except requests.exceptions.RequestException as e:
                 attempts += 1
-                if retry:
+                if retry and res.status_code in [403]:
                     self.relogin_oauth2()
 
 
@@ -67,6 +67,8 @@ def post(self, url=None, payload=None, retry=True):
         attempts = 1
         while attempts <= HTTP_ATTEMPTS_MAX:
             try:
+                # if url == "https://api.robinhood.com/options/orders/":
+                #     import pdb; pdb.set_trace()
                 res = requests.post(url, headers=headers, data=payload, timeout=15, verify=self.certs)
                 res.raise_for_status()
                 if res.headers['Content-Length'] == '0':
@@ -75,7 +77,7 @@ def post(self, url=None, payload=None, retry=True):
                     return res.json()
             except requests.exceptions.RequestException as e:
                 attempts += 1
-                if retry:
+                if retry and res.status_code in [403]:
                     self.relogin_oauth2()
 
 

fast_arrow/resources/option_order.py

@@ -53,11 +53,7 @@ def submit(cls, client, direction, legs, price, quantity, time_in_force, trigger
 
         if run_validations:
             assert(direction in ["debit", "credit"])
-
-            # @TODO - research this.
-            # might be formatted as decimal w/ 1/100th percision. eg, 1.23
-            # assert(type(price) is str)
-
+            assert(type(price) is str)
             assert(type(quantity) is int)
             assert(time_in_force in ["gfd", "gtc"])
             assert(trigger in ["immediate"])
@@ -79,6 +75,7 @@ def submit(cls, client, direction, legs, price, quantity, time_in_force, trigger
         })
 
         request_url = "https://api.robinhood.com/options/orders/"
+        import pdb; pdb.set_trace()
         data = client.post(request_url, payload=payload)
         return data
 

fast_arrow/spreads/vertical.py

@@ -34,90 +34,43 @@ def fetch_options_for_symbol(cls, symbol):
 
 
     @classmethod
-    def gen_table(cls, options, width):
-        return []
+    def gen_df(cls, options, width, spread_type="call", spread_kind="buy"):
+        """
+        Generate Pandas Dataframe of Vertical
+
+        :param options: python dict of options.
+        :param width: offset for spread. Must be integer.
+        :param spread_type: call or put. defaults to "call".
+        :param spread_kind: buy or sell. defaults to "buy".
+        """
+        assert type(width) is int
+        assert spread_type in ["call", "put"]
+        assert spread_kind in ["buy", "sell"]
+
+        # get CALLs or PUTs
+        options = list(filter(lambda x: x["type"] == spread_type, options))
+
+        coef = (-1 if spread_kind == "buy" else 1)
+        shift = (coef * width)
+
+        df = pd.DataFrame.from_dict(options)
+        df['expiration_date'] = pd.to_datetime(df['expiration_date'], format="%Y-%m-%d")
+        df['adjusted_mark_price'] = pd.to_numeric(df['adjusted_mark_price'])
+        df['strike_price'] = pd.to_numeric(df['strike_price'])
+
+        df.sort_values(["expiration_date", "strike_price"], inplace=True)
+
+        for k,v in df.groupby("expiration_date"):
+            sdf = v.shift(shift)
+
+            df.loc[v.index, "strike_price_shifted"] = sdf["strike_price"]
+            df.loc[v.index, "instrument_shifted"] = sdf["instrument"]
+
+            if spread_kind == "sell":
+                df.loc[v.index, "margin"] = v["strike_price"] - sdf["strike_price"]
+            else:
+                df.loc[v.index, "margin"] = 0.0
+
+            df.loc[v.index, "premium"] = (v["adjusted_mark_price"] - sdf["adjusted_mark_price"])
 
-        # self.kind = (dd["kind"] if "kind" in dd else self.kind)
-        # assert self.kind is not None
-
-        # self.type = (dd["type"] if "type" in dd else self.type)
-        # assert self.type is not None
-
-        # self.width = (abs(dd["width"]) if "width" in dd else self.width)
-
-        # self.dte = (dd["dte"] if "dte" in dd else self.dte)
-        # assert self.dte is not None
-
-        #     # create the resulting/specific df (sdf is in a row on the keyboard)
-        #     self.sdf = self.df.sort_values(["expiration_date", "strike_price"])
-        #
-        #     #
-        #     # filter by dte param
-        #     #
-        #     self.dte_min = (datetime.datetime.now() + datetime.timedelta(days=self.dte[0]))
-        #     self.dte_max = (datetime.datetime.now() + datetime.timedelta(days=self.dte[1]))
-        #     self.sdf = self.sdf[ self.df["expiration_date"] >= self.dte_min ]
-        #     self.sdf = self.sdf[ self.df["expiration_date"] <= self.dte_max ]
-        #
-        #     self.sdf = self.sdf[self.sdf["type"] == self.type]
-        #
-        #     coef = (1 if self.kind == "sell" else -1)
-        #
-        #     for k,v in self.sdf.groupby("expiration_date"):
-        #
-        #         sps = np.sort(v.strike_price.values)
-        #         shift = self._calc_shift(sps, self.width)
-        #
-        #         if shift is None:
-        #             continue
-        #
-        #         shift = int(shift) * coef
-        #         shiftdf = v.shift(shift)
-        #
-        #         v["strike_price_shifted"] = (shiftdf["strike_price"])
-        #
-        #         if self.kind == "sell":
-        #             v["margin"] = (v["strike_price"] - shiftdf["strike_price"])
-        #         else:
-        #             v["margin"] = 0.0
-        #
-        #         v["premium"]        = (v["adjusted_mark_price"] - shiftdf["adjusted_mark_price"])
-        #         v["delta_spread"]   = (v["delta"] - shiftdf["delta"])
-        #         v["theta_spread"]   = (v["theta"] - shiftdf["theta"])
-        #
-        #         merge_cols = ["strike_price_shifted", "margin", "premium", "delta_spread", "theta_spread"]
-        #
-        #         for col in merge_cols:
-        #             self.sdf.loc[v.index, col] = v[col]
-        #
-        #     return self.sdf
-        #
-        #
-        # def _calc_shift(self, sps, width):
-        #     '''
-        #     calc spread step to achieve desird margin
-        #     @todo clean this up
-        #     '''
-        #     total = len(sps)
-        #     median = int(np.floor(total/2))
-        #
-        #     if np.allclose((abs(sps[median] - 0.50) % 1.0), 0.0):
-        #         median += 1
-        #
-        #     min_tick = (sps[median] - sps[median-1]) * 100.0
-        #     if (min_tick - self.width) > 0.0:
-        #         return None
-        #
-        #     shift = 0
-        #     diff = 1
-        #     searching = True
-        #     marign = 0
-        #
-        #     while searching:
-        #         margin = (sps[median] - sps[median-diff]) * 100
-        #         if np.allclose(margin, self.width):
-        #             shift = diff
-        #             searching = False
-        #         diff += 1
-        #
-        #     return shift
+        return df

setup.py

@@ -31,6 +31,8 @@ def run_tests(self):
     'click',
     'pathlib2',
     'requests',
+    'pandas>=0.23.2',
+    'numpy',
     'yarl']
 
 
@@ -53,7 +55,7 @@ def run_tests(self):
     url='https://github.com/westonplatter/fast_arrow/',
     license='MIT License',
     python_requires=">=3.5",
-    packages=['fast_arrow', 'fast_arrow.resources'],
+    packages=['fast_arrow', 'fast_arrow.resources', 'fast_arrow.spreads'],
     package_data={'fast_arrow': ['ssl_certs/certs.pem']},
     install_requires=deps,
     tests_require=test_deps,