Class: Iro::Strategy

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

Constant Summary collapse

LONG = 
'is_long'
SHORT = 
'is_short'
KIND_COVERED_CALL = 
'covered_call'
KIND_LONG_DEBIT_CALL_SPREAD = 
'long_debit_call_spread'
KIND_SHORT_DEBIT_PUT_SPREAD = 
'short_debit_put_spread'
KINDS = 
[ nil,
  KIND_COVERED_CALL,
  KIND_LONG_DEBIT_CALL_SPREAD,
  KIND_SHORT_DEBIT_PUT_SPREAD,
]

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.for_ticker(ticker) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 58

def self.for_ticker ticker
  where( ticker: ticker )
end

.list(long_or_short = nil) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 204

def self.list long_or_short = nil
  these = long_or_short ? where( long_or_short: long_or_short ) : all
  [[nil,nil]] + these.map { |ttt| [ ttt, ttt.id ] }
end

Instance Method Details

#begin_delta_covered_call(p) ⇒ Object 



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

def begin_delta_covered_call p
  p.inner.begin_delta
end

#begin_delta_long_debit_call_spread(p) ⇒ Object Also known as: begin_delta_short_debit_put_spread 



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

def begin_delta_long_debit_call_spread p
  p.outer.begin_delta - p.inner.begin_delta
end

#breakeven_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 62

def breakeven_covered_call p
  p.inner.strike + p.inner.begin_price
end

#breakeven_long_debit_call_spread(p) ⇒ Object Also known as: breakeven_short_debit_put_spread 



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# File 'app/models/iro/strategy.rb', line 65

def breakeven_long_debit_call_spread p
  p.inner.strike - p.max_gain
end

#calc_rollp_covered_call(p) ⇒ Object

decisions



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# File 'app/models/iro/strategy.rb', line 124

def calc_rollp_covered_call p

  if ( p.expires_on.to_date - Time.now.to_date ).to_i < 1
    return [ 0.99, '0 DTE, must exit' ]
  end

  if ( stock.last - buffer_above_water ) < p.inner.strike
    return [ 0.98, "Last #{'%.2f' % stock.last} is " +
        "#{'%.2f' % [p.inner.strike + buffer_above_water - stock.last]} " +
        "below #{'%.2f' % [p.inner.strike + buffer_above_water]} water" ]
  end

  if p.inner.end_delta < threshold_delta
    return [ 0.61, "Delta #{p.inner.end_delta} is lower than #{threshold_delta} threshold." ]
  end

  if 1 - p.inner.end_price/p.inner.begin_price > threshold_netp
    return [ 0.51, "made enough #{'%.02f' % [(1.0 - p.inner.end_price/p.inner.begin_price )*100]}% profit." ]
  end

  return [ 0.33, '-' ]
end

#calc_rollp_long_debit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 148

def calc_rollp_long_debit_call_spread p

  if ( p.expires_on.to_date - Time.now.to_date ).to_i < 1
    return [ 0.99, '0 DTE, must exit' ]
  end
  if ( p.expires_on.to_date - Time.now.to_date ).to_i < 2
    return [ 0.99, '1 DTE, must exit' ]
  end

  if ( stock.last - buffer_above_water ) < p.inner.strike
    return [ 0.95, "Last #{'%.2f' % stock.last} is " +
        "#{'%.2f' % [stock.last - p.inner.strike - buffer_above_water]} " +
        "below #{'%.2f' % [p.inner.strike + buffer_above_water]} water" ]
  end

  if p.inner.end_delta < threshold_delta
    return [ 0.79, "Delta #{p.inner.end_delta} is lower than #{threshold_delta} threshold." ]
  end

  if 1 - p.inner.end_price/p.inner.begin_price > threshold_netp
    return [ 0.51, "made enough #{'%.02f' % [(1.0 - p.inner.end_price/p.inner.begin_price )*100]}% profit^" ]
  end

  return [ 0.33, '-' ]
end

#calc_rollp_short_debit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 175

def calc_rollp_short_debit_put_spread p

  if ( p.expires_on.to_date - Time.now.to_date ).to_i <= min_dte
    return [ 0.99, "< #{min_dte}DTE, must exit" ]
  end

  if stock.last + buffer_above_water > p.inner.strike
    return [ 0.98, "Last #{'%.2f' % stock.last} is " +
        "#{'%.2f' % [stock.last + buffer_above_water - p.inner.strike]} " +
        "above #{'%.2f' % [p.inner.strike - buffer_above_water]} water" ]
  end

  if p.inner.end_delta.abs < threshold_delta.abs
    return [ 0.79, "Delta #{p.inner.end_delta} is lower than #{threshold_delta} threshold." ]
  end

  if p.net_percent > threshold_netp
    return [ 0.51, "made enough #{'%.0f' % [p.net_percent*100]}% > #{"%.2f" % [threshold_netp*100]}% profit," ]
  end

  return [ 0.33, '-' ]
end

#end_delta_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 110

def end_delta_covered_call p
  p.inner.end_delta
end

#end_delta_long_debit_call_spread(p) ⇒ Object Also known as: end_delta_short_debit_put_spread 



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# File 'app/models/iro/strategy.rb', line 113

def end_delta_long_debit_call_spread p
  p.outer.end_delta - p.inner.end_delta
end

#kind_short ⇒ Object 



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

def kind_short
  case kind
  when KIND_COVERED_CALL
    'cc'
  when KIND_LONG_DEBIT_CALL_SPREAD
    'long-spread'
  when KIND_SHORT_DEBIT_PUT_SPREAD
    'short-spread'
  else
    '@TODO-zez'
  end
end

#max_gain_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 70

def max_gain_covered_call p
  p.inner.begin_price * 100 - 0.66 # @TODO: is this *100 really?
end

#max_gain_long_debit_call_spread(p) ⇒ Object 



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

def max_gain_long_debit_call_spread p
  ## 100 * disalloed for gameui
  ( p.inner.strike - p.outer.strike - p.outer.begin_price + p.inner.begin_price ) # - 2*0.66
end

#max_gain_short_debit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 77

def max_gain_short_debit_put_spread p
  ## 100 * disalloed for gameui
  ( p.outer.strike - p.inner.strike - p.outer.begin_price + p.inner.begin_price ) # - 2*0.66
end

#max_loss_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 92

def max_loss_covered_call p
  p.inner.begin_price*10 # just suppose 10,000%
end

#max_loss_long_debit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 95

def max_loss_long_debit_call_spread p
  out = p.outer.strike - p.inner.strike
end

#max_loss_short_debit_put_spread(p) ⇒ Object

different



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# File 'app/models/iro/strategy.rb', line 98

def max_loss_short_debit_put_spread p # different
  out = p.inner.strike - p.outer.strike
end

#net_amount_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 82

def net_amount_covered_call p
  ( p.inner.begin_price - p.inner.end_price )
end

#net_amount_long_debit_call_spread(p) ⇒ Object Also known as: net_amount_short_debit_put_spread 



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# File 'app/models/iro/strategy.rb', line 85

def net_amount_long_debit_call_spread p
  outer = p.outer.end_price   - p.outer.begin_price
  inner = p.inner.begin_price - p.inner.end_price
  out = ( outer + inner )
end

#to_s ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 201

def to_s
  "#{stock} #{kind_short} #{slug}"
end