Class: Iro::PositionDebitSpread

Inherits:
Positin
  • Object
show all
Includes:
Mongoid::Document, Mongoid::Timestamps
Defined in:
app/models/iro/trash/position_debit_spread.rb

Constant Summary collapse

STATUS_ACTIVE = 
'active'
STATUS_PROPOSED = 
'proposed'
STATUSES = 
[ nil, 'active', 'inactive', 'proposed' ]

Instance Method Summary collapse

Instance Method Details

#can_roll? ⇒ Boolean

expires_on = cc.expires_on ; nil

Returns:

  • (Boolean) 


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# File 'app/models/iro/trash/position_debit_spread.rb', line 143

def can_roll?
  ## only if less than 7 days left
  ( expires_on.to_date - Time.now.to_date ).to_i < 7
end

#current_underlying_strike ⇒ Object 



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# File 'app/models/iro/trash/position_debit_spread.rb', line 53

def current_underlying_strike
  Iro::Stock.find_by( ticker: ticker ).last
end

#max_gain ⇒ Object

total



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# File 'app/models/iro/trash/position_debit_spread.rb', line 76

def max_gain # total
  100 * ( begin_outer_price - begin_inner_price ) * quantity
end

#max_loss ⇒ Object 



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# File 'app/models/iro/trash/position_debit_spread.rb', line 79

def max_loss
  out = 100 * ( outer_strike - inner_strike ) * quantity
  if strategy.long_or_short == Iro::Strategy::SHORT
    out = out * -1
  end
  return out
end

#must_roll? ⇒ Boolean

If I’m near below water

expires_on = cc.expires_on ; strategy = cc.strategy ; strike = cc.strike ; nil

Returns:

  • (Boolean) 


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# File 'app/models/iro/trash/position_debit_spread.rb', line 151

def must_roll?
  if ( current_underlying_strike + strategy.buffer_above_water ) > strike
    return true
  end
  ## @TODO: This one should not happen, I should log appropriately. _vp_ 2023-03-19
  if ( expires_on.to_date - Time.now.to_date ).to_i < 1
    return true
  end
end

#near_below_water? ⇒ Boolean

strike = cc.strike ; strategy = cc.strategy ; nil

Returns:

  • (Boolean) 


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# File 'app/models/iro/trash/position_debit_spread.rb', line 162

def near_below_water?
  strike < current_underlying_strike + strategy.buffer_above_water
end

#net_amount ⇒ Object

total



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# File 'app/models/iro/trash/position_debit_spread.rb', line 71

def net_amount # total
  outer = 0 - begin_outer_price + end_outer_price
  inner = begin_inner_price - end_inner_price
  out = ( outer + inner ) * 100 * quantity
end

#next_expires_on ⇒ Object

@TODO: Test this. vp 2023-04-01



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# File 'app/models/iro/trash/position_debit_spread.rb', line 240

def next_expires_on
  out = expires_on.to_time + 7.days
  while !out.friday?
    out = out + 1.day
  end
  while !out.workday?
    out = out - 1.day
  end
  return out
end

#next_position ⇒ Object

2023-03-18 vp Continue. 2023-03-19 vp Continue. 2023-08-05 vp an Important method

expires_on = cc.expires_on ; strategy = cc.strategy ; ticker = cc.ticker ; end_price = cc.end_price ; next_expires_on = cc.next_expires_on ; nil

out.map { |p| [ p, p ] }



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# File 'app/models/iro/trash/position_debit_spread.rb', line 176

def next_position
  return @next_position if @next_position
  return {} if ![ STATUS_ACTIVE, STATUS_PROPOSED ].include?( status )

  ## 7 days ahead - not configurable so far
  out = Tda::Option.get_quotes({
    ticker: ticker,
    expirationDate: next_expires_on,
    contractType: 'CALL',
  })

  ## above_water
  if strategy.buffer_above_water.present?
    out = out.select do |i|
      i[:strikePrice] > current_underlying_strike + strategy.buffer_above_water
    end
    # next_reasons.push "buffer_above_water above #{current_underlying_strike + strategy.buffer_above_water}"
  end

  if near_below_water?
    msg = "Panic! climb at a loss. Skip the rest of the calculation."
    next_reasons.push msg
    ## @TODO: if not enough money in the purse, cannot roll? 2023-03-19

    # byebug

    ## Take a small loss here.
    prev = nil
    out.each_with_index do |i, idx|
      next if idx == 0
      if i[:last] < end_price
        prev ||= i
      end
    end
    out = [ prev ]

  else
    ## Normal flow, making money.
    ## @TODO: test! _vp_ 2023-03-19

    ## next_min_strike
    if strategy.next_min_strike.present?
      out = out.select do |i|
        i[:strikePrice] >= strategy.next_min_strike
      end
      # next_reasons.push "next_min_strike above #{strategy.next_min_strike}"
    end
    # json_puts! out.map { |p| [p[:delta], p[:symbol]] }, 'next_min_strike'

    ## max_delta
    if strategy.next_max_delta.present?
      out = out.select do |i|
        i[:delta] = 0.0 if i[:delta] == "NaN"
        i[:delta] <= strategy.next_max_delta
      end
      # next_reasons.push "next_max_delta below #{strategy.next_max_delta}"
    end
    # json_puts! out.map { |p| [p[:delta], p[:symbol]] }, 'next_max_delta'
  end

  @next_position = out[0] || {}
end

#refresh ⇒ Object 



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# File 'app/models/iro/trash/position_debit_spread.rb', line 57

def refresh
  out = Tda::Option.get_quote({
    contractType:   'CALL',
    strike:         strike,
    expirationDate: expires_on,
    ticker:         ticker,
  })
  update({
    end_delta: out[:delta],
    end_price: out[:last],
  })
  print '_'
end

#should_roll? ⇒ Boolean

decisions

Returns:

  • (Boolean) 


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# File 'app/models/iro/trash/position_debit_spread.rb', line 99

def should_roll?
  puts! 'shold_roll?'

  update({
    next_reasons: [],
    next_symbol: nil,
    next_delta: nil,
  })

  if must_roll?
    out = 1.0
  elsif can_roll?

    if end_delta < strategy.threshold_delta
      next_reasons.push "delta is lower than threshold"
      out = 0.91
    elsif 1 - end_outer_price/begin_outer_price > strategy.threshold_netp
      next_reasons.push "made enough percent profit (dubious)"
      out = 0.61
    else
      next_reasons.push "neutral"
      out = 0.33
    end

  else
    out = 0.0
  end

  update({
    next_delta:   next_position[:delta],
    next_outcome: next_position[:mark] - end_price,
    next_symbol:  next_position[:symbol],
    next_mark:    next_position[:mark],
    should_rollp: out,
    # status:       Iro::Position::STATE_PROPOSED,
  })

  puts! next_reasons, 'next_reasons'
  puts! out, 'out'
  return out > 0.5
end

#ticker ⇒ Object 



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# File 'app/models/iro/trash/position_debit_spread.rb', line 18

def ticker
  stock&.ticker || '-'
end