#5 futures work & testing

TastyBot.Library/Strategy/CallSpread.cs → TastyBot.Library/Strategy/Equity/CallSpread.cs

@@ -1,7 +1,7 @@
-using TastyBot.Library;
-using TastyBot.Models;
+using TastyBot.Models;
+using TastyBot.Strategy;
 
-namespace TastyBot.Strategy
+namespace TastyBot.Library.Strategy.Equity
 {
     public class CallSpread : BaseStrategy, ITastyBotStrategy
     {

TastyBot.Library/Strategy/PutSpread.cs → TastyBot.Library/Strategy/Equity/PutSpread.cs

@@ -1,7 +1,7 @@
-using TastyBot.Library;
-using TastyBot.Models;
+using TastyBot.Models;
+using TastyBot.Strategy;
 
-namespace TastyBot.Strategy
+namespace TastyBot.Library.Strategy.Equity
 {
     public class PutSpread : BaseStrategy, ITastyBotStrategy
     {
@@ -124,12 +124,14 @@ public async Task<StrategyAttemptResult> MakeAttempt()
                     if (order.order.status.ToLower() == "routed" || order.order.status.ToLower() == "received")
                     {
                         return StrategyAttemptResult.OrderEntered;
-                    } else
+                    }
+                    else
                     {
                         return StrategyAttemptResult.OrderRoutingError;
                     }
                 }
-            } else
+            }
+            else
             {
                 if (preview.warnings.Length > 0)
                 {
@@ -138,7 +140,7 @@ public async Task<StrategyAttemptResult> MakeAttempt()
 
                 return StrategyAttemptResult.OrderNotReceived;
             }
-            
+
             return StrategyAttemptResult.NothingToDo;
         }
     }

TastyBot.Library/Strategy/Futures/PutSpread.cs

@@ -0,0 +1,147 @@
+using TastyBot.Models;
+using TastyBot.Strategy;
+
+namespace TastyBot.Library.Strategy.Futures
+{
+    public class PutSpread : BaseStrategy, ITastyBotStrategy
+    {
+        private readonly int _spreadWidth;
+        private readonly int _daysToExpiration;
+
+        public PutSpread(ITastyBot bot, IQuoteMachine quoteMachine, TastyAccount account, string ticker, int spreadWidth, int daysToExpiration) : base(bot, quoteMachine, account, ticker)
+        {
+            _spreadWidth = spreadWidth;
+            _daysToExpiration = daysToExpiration;
+        }
+
+        public static ITastyBotStrategy CreateInstance(ITastyBot bot, IQuoteMachine quoteMachine, TastyAccount account, string ticker, int spreadWidth, int daysToExpiration)
+        {
+            return new PutSpread(bot, quoteMachine, account, ticker, spreadWidth, daysToExpiration);
+        }
+
+        public async Task<StrategyAttemptResult> MakeAttempt()
+        {
+            const int dteRange = 5;  // plus/minus days around desired DTE.
+            const int qty = 1;
+            const decimal otm = .90m; // 10% OTM.
+            const decimal priceDrop = -2m; // Price decreased 2%.
+            const decimal desiredCredit = 1.95m; // Something ridiculous so that we do NOT get filled.
+
+            // Keep at least $1,000K in cash.  If this trade reduces our buying power below $1K, then do not submit the order.
+            const decimal maintainAtLeastThisMuchBuyingPower = 1000m;
+
+            var minDte = _daysToExpiration - dteRange;
+            var maxDte = _daysToExpiration + dteRange;
+
+            if (string.IsNullOrWhiteSpace(_ticker)) return StrategyAttemptResult.InvalidSetup;
+            if (_spreadWidth < 1) return StrategyAttemptResult.InvalidSetup; // Yeah, I know some tickers have more narrow strikes.
+            if (_daysToExpiration < 0) return StrategyAttemptResult.InvalidSetup;
+
+            if (minDte < 0) minDte = _daysToExpiration;
+
+            var anyOpenOrders = await OpenOrders();
+
+            // Bail if we already have an open order.
+            if (anyOpenOrders) return StrategyAttemptResult.NothingToDo;
+
+            var anyExistingPositions = await ExistingPositions();
+
+            // Bail if we already have a position.
+            if (anyExistingPositions) return StrategyAttemptResult.NothingToDo;
+
+            var quote = await _quoteMachine.getQuote(_ticker);
+
+            var desiredStrike = Convert.ToDecimal(Math.Floor(Convert.ToDecimal(quote.price) * otm));
+
+            if (Convert.ToDecimal(quote.dayChange) >= priceDrop)
+            {
+                return StrategyAttemptResult.NothingToDo;
+            }
+
+            var optionChain = await _bot.getOptionChain(_ticker);
+
+            Strike? sellStrike = null;
+            Strike? buyStrike = null;
+
+            // Just look at the monthlies (due to SPX vs SPXW).
+            foreach (var chain in optionChain.items.ToList().Where(x => x.rootsymbol == _ticker))
+            {
+                if (sellStrike != null || buyStrike != null) break;
+
+                var expirations = chain.expirations.Where(x => x.daystoexpiration >= minDte && x.daystoexpiration <= maxDte).ToList().OrderByDescending(x => x.daystoexpiration);
+
+                foreach (var expiration in expirations)
+                {
+                    var strikes = expiration.strikes.ToList();
+
+                    sellStrike = strikes.Where(x => Convert.ToDecimal(x.strikeprice) == desiredStrike).FirstOrDefault();
+                    buyStrike = strikes.Where(x => Convert.ToDecimal(x.strikeprice) == desiredStrike - _spreadWidth).FirstOrDefault();
+
+                    if (sellStrike != null && buyStrike != null)
+                    {
+                        // Bingo.
+                        break;
+                    }
+                }
+            }
+
+            // Double check.
+            if (sellStrike == null || buyStrike == null)
+            {
+                return StrategyAttemptResult.StrikeNotFound;
+            }
+
+            var shortLeg = new Leg()
+            {
+                instrumenttype = StrategyInstrumentType.EquityOption,
+                symbol = sellStrike.put,
+                action = StrategyLegAction.SellToOpen,
+                quantity = qty.ToString()
+            };
+
+            var longLeg = new Leg()
+            {
+                instrumenttype = StrategyInstrumentType.EquityOption,
+                symbol = buyStrike.put,
+                action = StrategyLegAction.BuyToOpen,
+                quantity = qty.ToString()
+            };
+
+            var creditSpread = CreatCreditSpread(shortLeg, longLeg, desiredCredit);
+
+            var preview = await _bot.doDryRun(_account.account.accountnumber, creditSpread);
+
+            if (preview.order.status.ToLower() == "received")
+            {
+                var newBuyingPower = Convert.ToDecimal(preview.buyingpowereffect.newbuyingpower);
+
+                if (newBuyingPower > maintainAtLeastThisMuchBuyingPower)
+                {
+                    // Warning: Actually places an order when _liveOrdersEnabled is true (default is false).
+                    var order = await _bot.placeOrder(_account.account.accountnumber, creditSpread);
+
+                    // If outside normal hours, the order will be received.
+                    if (order.order.status.ToLower() == "routed" || order.order.status.ToLower() == "received")
+                    {
+                        return StrategyAttemptResult.OrderEntered;
+                    }
+                    else
+                    {
+                        return StrategyAttemptResult.OrderRoutingError;
+                    }
+                }
+            }
+            else
+            {
+                if (preview.warnings.Length > 0)
+                {
+                    return StrategyAttemptResult.OrderWarnings;
+                }
+
+                return StrategyAttemptResult.OrderNotReceived;
+            }
+
+            return StrategyAttemptResult.NothingToDo;
+        }
+    }
+}

TastyBot/Program.cs

@@ -3,6 +3,7 @@
 using System.Linq;
 using TastyBot.Strategy;
 using TastyBot.Library;
+using TastyBot.Library.Strategy;
 
 namespace TastyBot
 {
@@ -35,14 +36,14 @@ public static async Task Main(string[] args)
 
                 var primaryAccount = accounts.items.First();
 
-                // This is not an iron condor.  Based on the current strategy, only one will be filled.
-                ITastyBotStrategy p = PutSpread.CreateInstance(tastyBot, quoteMachine, primaryAccount, "SPY", 5, 50);
+                // This is not an iron condor.  Based on the current strategy, only one side will be submitted due to existing position check.
+                ITastyBotStrategy p = Library.Strategy.Equity.PutSpread.CreateInstance(tastyBot, quoteMachine, primaryAccount, "SPY", 5, 50);
 
                 var putSpreadResult = await p.MakeAttempt();
 
                 ConsoleLogger.ProcessResult(logger, putSpreadResult);
 
-                ITastyBotStrategy c = CallSpread.CreateInstance(tastyBot, quoteMachine, primaryAccount, "SPY", 5, 50);
+                ITastyBotStrategy c = Library.Strategy.Equity.CallSpread.CreateInstance(tastyBot, quoteMachine, primaryAccount, "SPY", 5, 50);
 
                 var callSpreadResult = await c.MakeAttempt();