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Code Update: Options Strategies #51

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26 changes: 7 additions & 19 deletions pyalgostrategypool/strategy_options_bear_call_ladder_intraday/_strategy.py
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Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@

"""

from pyalgotrading.strategy import StrategyOptionsBase, OptionsStrikeDirection, OptionsInstrumentDirection
from pyalgotrading.strategy import StrategyOptionsBase


class StrategyOptionsBearCallLadderIntraday(StrategyOptionsBase):
Expand All @@ -22,23 +22,22 @@ def __init__(self, *args, **kwargs):
# Parameters (currently set with default values, can be overridden from the Parameters Configuration Pane)
self._leg_one_transaction_type = self.strategy_parameters.get('LEG_ONE_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_one_tradingsymbol_suffix = self.strategy_parameters.get('LEG_ONE_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_one_strike_direction = self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1) # ITM: 0| ATM: 1| OTM: 2
self._leg_one_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1)] # ITM: 0| ATM: 1| OTM: 2
self._leg_one_number_of_strikes = self.strategy_parameters.get('LEG_ONE_NUMBER_OF_STRIKES', 0)

self._leg_two_transaction_type = self.strategy_parameters.get('LEG_TWO_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_two_tradingsymbol_suffix = self.strategy_parameters.get('LEG_TWO_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_two_strike_direction = self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2) # ITM: 0| ATM: 1| OTM: 2
self._leg_two_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2)] # ITM: 0| ATM: 1| OTM: 2
self._leg_two_number_of_strikes = self.strategy_parameters.get('LEG_TWO_NUMBER_OF_STRIKES', 2)

self._leg_three_transaction_type = self.strategy_parameters.get('LEG_THREE_TRANSACTION_TYPE', 2) # BUY: 1 | SELL: 2
self._leg_three_tradingsymbol_suffix = self.strategy_parameters.get('LEG_THREE_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_three_strike_direction = self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 0) # ITM: 0| ATM: 1| OTM: 2
self._leg_three_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 0)] # ITM: 0| ATM: 1| OTM: 2
self._leg_three_number_of_strikes = self.strategy_parameters.get('LEG_THREE_NUMBER_OF_STRIKES', 2)

# Maps
self.transaction_type_map = {1: "BUY", 2: "SELL"}
self.tradingsymbol_suffix_map = {1: "CE", 2: "PE"}
self.strike_direction_map = {0: OptionsStrikeDirection.ITM, 1: OptionsStrikeDirection.ATM, 2: OptionsStrikeDirection.OTM}

# Variables
self.number_of_allowed_expiry_dates = 1
Expand All @@ -48,34 +47,23 @@ def initialize(self):
super().initialize()
self.instruments_done_for_the_day = []

def get_child_instrument_details(self, base_instrument, tradingsymbol_suffix, strike_direction, no_of_strikes):
expiry_date = self.get_allowed_expiry_dates()[0]
child_instrument = self.get_options_instrument_with_strike_direction(base_instrument, expiry_date, tradingsymbol_suffix, strike_direction, no_of_strikes)
return child_instrument

def options_instruments_set_up_local(self, base_instrument, tradingsymbol_suffix, current_close, direction=OptionsInstrumentDirection.EXACT):
expiry_dates = self.get_allowed_expiry_dates()
for expiry_date in expiry_dates:
self.options_instruments_set_up(base_instrument, direction, expiry_date, tradingsymbol_suffix, current_close)

def strategy_select_instruments_for_entry(self, candle, instruments_bucket):
selected_instruments, meta = [], []

for instrument in instruments_bucket:
if instrument not in self.instruments_done_for_the_day:
self.instruments_done_for_the_day.append(instrument)
ltp = self.broker.get_ltp(instrument)

self.options_instruments_set_up_local(instrument, "CE", ltp)
self.options_instruments_set_up_local(instrument, "PE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "CE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "PE", ltp)

leg_wise_list = [('LEG_ONE', self._leg_one_tradingsymbol_suffix, self._leg_one_strike_direction, self._leg_one_number_of_strikes, self._leg_one_transaction_type),
('LEG_TWO', self._leg_two_tradingsymbol_suffix, self._leg_two_strike_direction, self._leg_two_number_of_strikes, self._leg_two_transaction_type),
('LEG_THREE', self._leg_three_tradingsymbol_suffix, self._leg_three_strike_direction, self._leg_three_number_of_strikes, self._leg_three_transaction_type)]

for leg_number, tradingingsymbol_suffix, strike_direction, number_of_strikes, transaction_type in leg_wise_list:
self.logger.info(f'Processing {leg_number}...')
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], self.strike_direction_map[strike_direction], number_of_strikes)
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], strike_direction, number_of_strikes)
selected_instruments.append(child_instrument)
meta.append({'base_instrument': instrument, 'action': self.transaction_type_map[transaction_type]})

Expand Down
28 changes: 7 additions & 21 deletions pyalgostrategypool/strategy_options_bear_put_ladder_intraday/_strategy.py
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Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@

"""

from pyalgotrading.strategy import StrategyOptionsBase, OptionsStrikeDirection, OptionsInstrumentDirection
from pyalgotrading.strategy import StrategyOptionsBase


class StrategyOptionsBearPutLadderIntraday(StrategyOptionsBase):
Expand All @@ -22,23 +22,22 @@ def __init__(self, *args, **kwargs):
# Parameters (currently set with default values, can be overridden from the Parameters Configuration Pane)
self._leg_one_transaction_type = self.strategy_parameters.get('LEG_ONE_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_one_tradingsymbol_suffix = self.strategy_parameters.get('LEG_ONE_TRADING_SYMBOL_SUFFIX', 2) # CE: 1 | PE: 2
self._leg_one_strike_direction = self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1) # ITM: 0| ATM: 1| OTM: 2
self._leg_one_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1)] # ITM: 0| ATM: 1| OTM: 2
self._leg_one_number_of_strikes = self.strategy_parameters.get('LEG_ONE_NUMBER_OF_STRIKES', 0)

self._leg_two_transaction_type = self.strategy_parameters.get('LEG_TWO_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_two_tradingsymbol_suffix = self.strategy_parameters.get('LEG_TWO_TRADING_SYMBOL_SUFFIX', 2) # CE: 1 | PE: 2
self._leg_two_strike_direction = self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2) # ITM: 0| ATM: 1| OTM: 2
self._leg_two_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2)] # ITM: 0| ATM: 1| OTM: 2
self._leg_two_number_of_strikes = self.strategy_parameters.get('LEG_TWO_NUMBER_OF_STRIKES', 2)

self._leg_three_transaction_type = self.strategy_parameters.get('LEG_THREE_TRANSACTION_TYPE', 2) # BUY: 1 | SELL: 2
self._leg_three_tradingsymbol_suffix = self.strategy_parameters.get('LEG_THREE_TRADING_SYMBOL_SUFFIX', 2) # CE: 1 | PE: 2
self._leg_three_strike_direction = self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 0) # ITM: 0| ATM: 1| OTM: 2
self._leg_three_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 0)] # ITM: 0| ATM: 1| OTM: 2
self._leg_three_number_of_strikes = self.strategy_parameters.get('LEG_THREE_NUMBER_OF_STRIKES', 2)

# Maps
self.transaction_type_map = {1: "BUY", 2: "SELL"}
self.tradingsymbol_suffix_map = {1: "CE", 2: "PE"}
self.strike_direction_map = {0: OptionsStrikeDirection.ITM, 1: OptionsStrikeDirection.ATM, 2: OptionsStrikeDirection.OTM}

# Variables
self.number_of_allowed_expiry_dates = 1
Expand All @@ -48,36 +47,23 @@ def initialize(self):
super().initialize()
self.instruments_done_for_the_day = []

def get_child_instrument_details(self, base_instrument, tradingsymbol_suffix, strike_direction, no_of_strikes):
expiry_date = self.get_allowed_expiry_dates()[0]
child_instrument = self.get_options_instrument_with_strike_direction(base_instrument, expiry_date, tradingsymbol_suffix, strike_direction, no_of_strikes)
return child_instrument

def options_instruments_set_up_local(self, base_instrument, tradingsymbol_suffix, current_close, direction=OptionsInstrumentDirection.EXACT):
expiry_dates = self.get_allowed_expiry_dates()
for expiry_date in expiry_dates:
self.options_instruments_set_up(base_instrument, direction, expiry_date, tradingsymbol_suffix, current_close)

def strategy_select_instruments_for_entry(self, candle, instruments_bucket):
selected_instruments, meta = [], []

for instrument in instruments_bucket:
if instrument not in self.instruments_done_for_the_day:
self.instruments_done_for_the_day.append(instrument)

ltp = self.broker.get_ltp(instrument)

# setup child instruments
self.options_instruments_set_up_local(instrument, "CE", ltp)
self.options_instruments_set_up_local(instrument, "PE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "CE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "PE", ltp)

leg_wise_list = [('LEG_ONE', self._leg_one_tradingsymbol_suffix, self._leg_one_strike_direction, self._leg_one_number_of_strikes, self._leg_one_transaction_type),
('LEG_TWO', self._leg_two_tradingsymbol_suffix, self._leg_two_strike_direction, self._leg_two_number_of_strikes, self._leg_two_transaction_type),
('LEG_THREE', self._leg_three_tradingsymbol_suffix, self._leg_three_strike_direction, self._leg_three_number_of_strikes, self._leg_three_transaction_type)]

for leg_number, tradingingsymbol_suffix, strike_direction, number_of_strikes, transaction_type in leg_wise_list:
self.logger.info(f'Processing {leg_number}...')
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], self.strike_direction_map[strike_direction], number_of_strikes)
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], strike_direction, number_of_strikes)
selected_instruments.append(child_instrument)
meta.append({'base_instrument': instrument, 'action': self.transaction_type_map[transaction_type]})

Expand Down
28 changes: 7 additions & 21 deletions pyalgostrategypool/strategy_options_bull_call_ladder_intraday/_strategy.py
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -10,7 +10,7 @@

"""

from pyalgotrading.strategy import StrategyOptionsBase, OptionsStrikeDirection, OptionsInstrumentDirection
from pyalgotrading.strategy import StrategyOptionsBase


class StrategyOptionsBullCallLadderIntraday(StrategyOptionsBase):
Expand All @@ -22,23 +22,22 @@ def __init__(self, *args, **kwargs):
# Parameters (currently set with default values, can be overridden from the Parameters Configuration Pane)
self._leg_one_transaction_type = self.strategy_parameters.get('LEG_ONE_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_one_tradingsymbol_suffix = self.strategy_parameters.get('LEG_ONE_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_one_strike_direction = self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1) # ITM: 0| ATM: 1| OTM: 2
self._leg_one_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_ONE_STRIKE_DIRECTION', 1)] # ITM: 0| ATM: 1| OTM: 2
self._leg_one_number_of_strikes = self.strategy_parameters.get('LEG_ONE_NUMBER_OF_STRIKES', 0)

self._leg_two_transaction_type = self.strategy_parameters.get('LEG_TWO_TRANSACTION_TYPE', 1) # BUY: 1 | SELL: 2
self._leg_two_tradingsymbol_suffix = self.strategy_parameters.get('LEG_TWO_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_two_strike_direction = self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2) # ITM: 0| ATM: 1| OTM: 2
self._leg_two_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_TWO_STRIKE_DIRECTION', 2)] # ITM: 0| ATM: 1| OTM: 2
self._leg_two_number_of_strikes = self.strategy_parameters.get('LEG_TWO_NUMBER_OF_STRIKES', 2)

self._leg_three_transaction_type = self.strategy_parameters.get('LEG_THREE_TRANSACTION_TYPE', 2) # BUY: 1 | SELL: 2
self._leg_three_tradingsymbol_suffix = self.strategy_parameters.get('LEG_THREE_TRADING_SYMBOL_SUFFIX', 1) # CE: 1 | PE: 2
self._leg_three_strike_direction = self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 2) # ITM: 0| ATM: 1| OTM: 2
self._leg_three_strike_direction = OptionsStrikeDirectionMap[self.strategy_parameters.get('LEG_THREE_STRIKE_DIRECTION', 2)] # ITM: 0| ATM: 1| OTM: 2
self._leg_three_number_of_strikes = self.strategy_parameters.get('LEG_THREE_NUMBER_OF_STRIKES', 4)

# Maps
self.transaction_type_map = {1: "BUY", 2: "SELL"}
self.tradingsymbol_suffix_map = {1: "CE", 2: "PE"}
self.strike_direction_map = {0: OptionsStrikeDirection.ITM, 1: OptionsStrikeDirection.ATM, 2: OptionsStrikeDirection.OTM}

# Variables
self.number_of_allowed_expiry_dates = 1
Expand All @@ -48,36 +47,23 @@ def initialize(self):
super().initialize()
self.instruments_done_for_the_day = []

def get_child_instrument_details(self, base_instrument, tradingsymbol_suffix, strike_direction, no_of_strikes):
expiry_date = self.get_allowed_expiry_dates()[0]
child_instrument = self.get_options_instrument_with_strike_direction(base_instrument, expiry_date, tradingsymbol_suffix, strike_direction, no_of_strikes)
return child_instrument

def options_instruments_set_up_local(self, base_instrument, tradingsymbol_suffix, current_close, direction=OptionsInstrumentDirection.EXACT):
expiry_dates = self.get_allowed_expiry_dates()
for expiry_date in expiry_dates:
self.options_instruments_set_up(base_instrument, direction, expiry_date, tradingsymbol_suffix, current_close)

def strategy_select_instruments_for_entry(self, candle, instruments_bucket):
selected_instruments, meta = [], []

for instrument in instruments_bucket:
if instrument not in self.instruments_done_for_the_day:
self.instruments_done_for_the_day.append(instrument)

ltp = self.broker.get_ltp(instrument)

# setup child instruments
self.options_instruments_set_up_local(instrument, "CE", ltp)
self.options_instruments_set_up_local(instrument, "PE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "CE", ltp)
self.options_instruments_set_up_all_expiries(instrument, "PE", ltp)

leg_wise_list = [('LEG_ONE', self._leg_one_tradingsymbol_suffix, self._leg_one_strike_direction, self._leg_one_number_of_strikes, self._leg_one_transaction_type),
('LEG_TWO', self._leg_two_tradingsymbol_suffix, self._leg_two_strike_direction, self._leg_two_number_of_strikes, self._leg_two_transaction_type),
('LEG_THREE', self._leg_three_tradingsymbol_suffix, self._leg_three_strike_direction, self._leg_three_number_of_strikes, self._leg_three_transaction_type)]

for leg_number, tradingingsymbol_suffix, strike_direction, number_of_strikes, transaction_type in leg_wise_list:
self.logger.info(f'Processing {leg_number}...')
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], self.strike_direction_map[strike_direction], number_of_strikes)
child_instrument = self.get_child_instrument_details(instrument, self.tradingsymbol_suffix_map[tradingingsymbol_suffix], strike_direction, number_of_strikes)
selected_instruments.append(child_instrument)
meta.append({'base_instrument': instrument, 'action': self.transaction_type_map[transaction_type]})

Expand Down
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