Class: Iro::Position

Inherits:
Object
  • Object
show all
Includes:
Mongoid::Document, Mongoid::Paranoia, Mongoid::Timestamps
Defined in:
app/models/iro/position.rb

Constant Summary collapse

STATUS_ACTIVE = 
'active'
STATUS_PROPOSED = 
'proposed'
STATUS_CLOSED = 
'closed'
STATUS_PENDING = 
'pending'
STATUSES = 
[ nil, STATUS_ACTIVE, STATUS_PROPOSED, STATUS_CLOSED, STATUS_PENDING ]

Instance Attribute Summary collapse

Class Method Summary collapse

Instance Method Summary collapse

Instance Attribute Details

#next_gain_loss_amount ⇒ Object

Returns the value of attribute next_gain_loss_amount.



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# File 'app/models/iro/position.rb', line 9

def next_gain_loss_amount
  @next_gain_loss_amount
end

Class Method Details

.long ⇒ Object

ok



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# File 'app/models/iro/position.rb', line 255

def self.long
  where( long_or_short: Iro::Strategy::LONG )
end

.short ⇒ Object

ok



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# File 'app/models/iro/position.rb', line 260

def self.short
  where( long_or_short: Iro::Strategy::SHORT )
end

Instance Method Details

#begin_delta ⇒ Object 



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# File 'app/models/iro/position.rb', line 73

def begin_delta
  strategy.send("begin_delta_#{strategy.kind}", self)
end

#breakeven ⇒ Object 



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# File 'app/models/iro/position.rb', line 80

def breakeven
  strategy.send("breakeven_#{strategy.kind}", self)
end

#calc_nxt ⇒ Object 



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# File 'app/models/iro/position.rb', line 142

def calc_nxt
  pos = self

  ## 7 days ahead - not configurable so far
  outs = Tda::Option.get_quotes({
    contractType: pos.put_call,
    expirationDate: next_expires_on,
    ticker: ticker,
  })
  outs_bk = outs.dup

  # byebug

  ## strike price
  outs = outs.select do |out|
    out[:bidSize]+out[:askSize] > 0
  end
  outs = outs.select do |out|
    if Iro::Strategy::SHORT == pos.long_or_short
      out[:strikePrice] > strategy.next_buffer_above_water + strategy.stock.last
    elsif Iro::Strategy::LONG == pos.long_or_short
      out[:strikePrice] < strategy.stock.last - strategy.next_buffer_above_water
    else
      throw 'zz4 - this cannot happen'
    end
  end
  puts! outs[0][:strikePrice], 'after calc next_buffer_above_water'

  outs = outs.select do |out|
    if Iro::Strategy::SHORT == pos.long_or_short
      out[:strikePrice] > strategy.next_inner_strike
    elsif Iro::Strategy::LONG == pos.long_or_short
      out[:strikePrice] < strategy.next_inner_strike
    else
      throw 'zz3 - this cannot happen'
    end
  end
  puts! outs[0][:strikePrice], 'after calc next_inner_strike'

  ## delta
  outs = outs.select do |out|
    out_delta = out[:delta].abs rescue 0
    out_delta >= strategy.next_inner_delta.abs
  end
  puts! outs[0][:strikePrice], 'after calc next_inner_delta'

  inner = outs[0]
  outs = outs.select do |out|
    out[:strikePrice] >= inner[:strikePrice].to_f + strategy.next_spread_amount
  end
  outer = outs[0]

  # byebug

  if inner && outer
    o_attrs = {
      expires_on: next_expires_on,
      put_call:   pos.put_call,
      stock_id:   pos.stock_id,
    }
    inner_ = Iro::Option.new(o_attrs.merge({
      strike:        inner[:strikePrice],
      begin_price: ( inner[:bid] + inner[:ask] )/2,
      begin_delta:   inner[:delta],
      end_price: ( inner[:bid] + inner[:ask] )/2,
      end_delta:   inner[:delta],
    }))
    outer_ = Iro::Option.new(o_attrs.merge({
      strike:        outer[:strikePrice],
      begin_price: ( outer[:bid] + outer[:ask] )/2,
      begin_delta:   outer[:delta],
      end_price: ( outer[:bid] + outer[:ask] )/2,
      end_delta:   outer[:delta],
    }))
    pos.autonxt ||= Iro::Position.new
    pos.autonxt.update({
      prev_gain_loss_amount: 'a',
      status: 'proposed',
      stock: strategy.stock,
      inner: inner_,
      outer: outer_,
      inner_strike: inner_.strike,
      outer_strike: outer_.strike,
      begin_on: Time.now.to_date,
      expires_on: next_expires_on,
      purse: purse,
      strategy: strategy,
      quantity: 1,
      autoprev: pos,
    })

    # byebug

    autonxt.sync
    autonxt.save!

  else
    throw 'zmq - should not happen'
  end
end

#calc_rollp ⇒ Object

should_roll?



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# File 'app/models/iro/position.rb', line 130

def calc_rollp
  self.next_reasons = []
  # self.next_symbol  = nil
  # self.next_delta   = nil

  out = strategy.send( "calc_rollp_#{strategy.kind}", self )

  self.rollp = out[0]
  self.next_reasons.push out[1]
  save
end

#current_underlying_strike ⇒ Object 



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# File 'app/models/iro/position.rb', line 84

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

#end_delta ⇒ Object 



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

def end_delta
  strategy.send("end_delta_#{strategy.kind}", self)
end

#inner ⇒ Object

Options



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# File 'app/models/iro/position.rb', line 52

belongs_to :inner, class_name: 'Iro::Option', inverse_of: :inner

#max_gain ⇒ Object

each



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# File 'app/models/iro/position.rb', line 108

def max_gain # each
  strategy.send("max_gain_#{strategy.kind}", self)
end

#max_loss ⇒ Object

each



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# File 'app/models/iro/position.rb', line 111

def max_loss # each
  strategy.send("max_loss_#{strategy.kind}", self)
end

#net_amount ⇒ Object

each



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# File 'app/models/iro/position.rb', line 105

def net_amount # each
  strategy.send("net_amount_#{strategy.kind}", self)
end

#net_percent ⇒ Object 



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# File 'app/models/iro/position.rb', line 102

def net_percent
  net_amount / max_gain
end

#next_expires_on ⇒ Object

ok



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# File 'app/models/iro/position.rb', line 246

def next_expires_on
  out = expires_on.to_datetime.next_occurring(:monday).next_occurring(:friday)
  if !out.workday?
    out = Time.previous_business_day(out )
  end
  return out
end

#next_reasons ⇒ Object

decisions



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# File 'app/models/iro/position.rb', line 126

field :next_reasons, type: :array, default: []

#nxt ⇒ Object

there are many of these, for viewing on the ‘roll’ view



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# File 'app/models/iro/position.rb', line 47

has_many :nxt,     class_name: 'Iro::Position', inverse_of: :prev

#prev_gain_loss_amount ⇒ Object 



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# File 'app/models/iro/position.rb', line 10

def prev_gain_loss_amount
  out  = autoprev.outer.end_price - autoprev.inner.end_price
  out += inner.begin_price - outer.begin_price
end

#put_call ⇒ Object 



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# File 'app/models/iro/position.rb', line 33

def put_call
  case strategy.kind
  when Iro::Strategy::KIND_LONG_DEBIT_CALL_SPREAD
    put_call = 'CALL'
  when Iro::Strategy::KIND_SHORT_DEBIT_PUT_SPREAD
    put_call = 'PUT'
  when Iro::Strategy::KIND_COVERED_CALL
    put_call = 'CALL'
  end
end

#q ⇒ Object 



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# File 'app/models/iro/position.rb', line 67

def q; quantity; end

#refresh ⇒ Object 



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# File 'app/models/iro/position.rb', line 88

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

#sync ⇒ Object 



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# File 'app/models/iro/position.rb', line 116

def sync
  inner.sync
  outer.sync
end

#to_s ⇒ Object 



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# File 'app/models/iro/position.rb', line 264

def to_s
  out = "#{stock} (#{q}) #{expires_on.to_datetime.strftime('%b %d')} #{strategy.kind_short} ["
  if Iro::Strategy::LONG == long_or_short
    if outer.strike
      out = out + "$#{outer.strike}->"
    end
    out = out + "$#{inner.strike}"
  else
    out = out + "$#{inner.strike}"
    if outer.strike
      out = out + "<-$#{outer.strike}"
    end
  end
  out += "] "
  return out
end