Class: Iro::Strategy

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

Constant Summary collapse

LONG = 
'long'
SHORT = 
'short'
CREDIT = 
'credit'
DEBIT = 
'debit'
KIND_COVERED_CALL = 
'covered_call'
KIND_DIAG_LONG_CALL_SPREAD = 
'diag_long_call_spread'
KIND_DIAG_SHORT_PUT_SPREAD = 
'diag_short_put_spread'
KIND_IRON_CONDOR = 
'iron_condor'
KIND_LONG_CREDIT_PUT_SPREAD = 
'long_credit_put_spread'
KIND_LONG_DEBIT_CALL_SPREAD = 
'long_debit_call_spread'
KIND_SHORT_CREDIT_CALL_SPREAD = 
'short_credit_call_spread'
KIND_SHORT_DEBIT_PUT_SPREAD = 
'short_debit_put_spread'
KIND_UNINVESTABLE = 
'uninvestable'
KIND_LONG_ONLY = 
'long-only'
KIND_SPREAD =

these are too simple and deprecated:

'spread'
KIND_WHEEL =

@deprecated, be specific

'wheel'
KINDS =

@deprecated, use covered_call

[ nil,
  KIND_COVERED_CALL,
  KIND_DIAG_LONG_CALL_SPREAD,
  KIND_DIAG_SHORT_PUT_SPREAD,
  KIND_IRON_CONDOR,
  KIND_LONG_CREDIT_PUT_SPREAD,
  KIND_LONG_DEBIT_CALL_SPREAD,
  KIND_SHORT_CREDIT_CALL_SPREAD,
  KIND_SHORT_DEBIT_PUT_SPREAD,
  KIND_UNINVESTABLE,
  KIND_LONG_ONLY,
]
INTENT_CLOSE = 
'try-close'
INTENT_OPEN = 
'try-open'
INTENT_ROLL = 
'try-roll'
INTENTS = 
[ nil, INTENT_CLOSE, INTENT_ROLL ]

Class Method Summary collapse

Instance Method Summary collapse

Class Method Details

.for_ticker(ticker) ⇒ Object

scopes



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# File 'app/models/iro/strategy.rb', line 392

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 400

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

Instance Method Details

#_begin_delta_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 125

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

#_end_delta_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 147

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

#begin_delta(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 119

def begin_delta p
  _begin_delta_spread p
end

#begin_delta_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 122

def begin_delta_covered_call p
  p.inner.begin_delta
end

#begin_delta_diag_long_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 134

def begin_delta_diag_long_call_spread p
  _begin_delta_spread p
end

#begin_delta_diag_short_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 137

def begin_delta_diag_short_put_spread p
  _begin_delta_spread p
end

#begin_delta_long_credit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 128

def begin_delta_long_credit_put_spread p
  _begin_delta_spread p
end

#begin_delta_short_credit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 131

def begin_delta_short_credit_call_spread p
  _begin_delta_spread p
end

#calc_rollp_covered_call(p) ⇒ Object

do not use!



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# File 'app/models/iro/strategy.rb', line 244

def calc_rollp_covered_call p
  stock.reload

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

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

  if p.inner.end_delta < threshold_pos_delta
    return [ 0.61, "Delta #{p.inner.end_delta} is lower than #{threshold_pos_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_credit_put_spread(p) ⇒ Object

2025-10-12 continue 2026-04-05 continue



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# File 'app/models/iro/strategy.rb', line 298

def calc_rollp_long_credit_put_spread p
  stock.reload

  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 - threshold_usd_above_mark ) < p.inner.strike
    return [ 0.95, ":threshold_usd_above_mark <br />Last $#{'%.2f' % stock.last} is " +
      "#{'%.2f' % [stock.last - p.inner.strike]} near #{p.inner.strike} but should be greater than #{threshold_usd_above_mark} ." ]
  end

  if p.inner.end_delta.abs < threshold_pos_delta
    return [ 0.79, ":threshold_pos_delta <br />Offensive roll: delta #{p.inner.end_delta} is lower than #{threshold_pos_delta} ." ]
  end
  if p.inner.end_delta.abs > threshold_neg_delta
    return [ 0.79, ":threshold_neg_delta <br />Defensive roll: delta #{p.inner.end_delta} is higher than #{threshold_neg_delta} ." ]
  end

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

  return [ 0.33, '-' ]
end

#calc_rollp_long_debit_call_spread(p) ⇒ Object

do not use!



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# File 'app/models/iro/strategy.rb', line 269

def calc_rollp_long_debit_call_spread p
  stock.reload

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

  if p.inner.end_delta < threshold_pos_delta
    return [ 0.79, "Delta #{p.inner.end_delta} is lower than #{threshold_pos_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_credit_call_spread(p) ⇒ Object

2026-02-21 ok 2026-04-05 ok



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# File 'app/models/iro/strategy.rb', line 356

def calc_rollp_short_credit_call_spread p
  # puts! p, 'calc_rollp_short_credit_call_spread...'
  stock.reload

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

  if stock.last + threshold_usd_above_mark > p.inner.strike
    return [ 0.95, ":threshold_usd_above_mark <br />Last $#{'%.2f' % stock.last} is " +
        "#{'%.2f' % [p.inner.strike - stock.last]} near #{p.inner.strike} but should be greater than #{threshold_usd_above_mark} ." ]
  end

  ## defensive
  ## inner short call is negative delta, but I'll deal with absolutes anyway.
  if p.inner.end_delta.abs > threshold_neg_delta.abs
    return [ 0.88, "Delta #{p.inner.end_delta} is larger than #{threshold_neg_delta} defensive threshold." ]
  end

  ## offensive
  if p.inner.end_delta.abs < threshold_pos_delta.abs
    return [ 0.69, "Delta #{p.inner.end_delta} is lower than #{threshold_pos_delta} offensive threshold." ]
  end

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

  return [ 0.33, '-' ]
end

#calc_rollp_short_debit_put_spread(p) ⇒ Object

do not use!



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# File 'app/models/iro/strategy.rb', line 330

def calc_rollp_short_debit_put_spread p
  stock.reload

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

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

  if p.inner.end_delta.abs < threshold_pos_delta.abs
    return [ 0.79, "Delta #{p.inner.end_delta} is lower than #{threshold_pos_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(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 141

def end_delta p
  _end_delta_spread p
end

#end_delta_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 144

def end_delta_covered_call p
  p.inner.end_delta
end

#end_delta_diag_long_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 156

def end_delta_diag_long_call_spread p
  _end_delta_spread p
end

#end_delta_diag_short_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 159

def end_delta_diag_short_put_spread p
  _end_delta_spread p
end

#end_delta_long_credit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 150

def end_delta_long_credit_put_spread p
  _end_delta_spread p
end

#end_delta_short_credit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 153

def end_delta_short_credit_call_spread p
  _end_delta_spread p
end

#max_gain_covered_call(p) ⇒ Object

each



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# File 'app/models/iro/strategy.rb', line 172

def max_gain_covered_call p ## each
  p.inner.begin_price # - 0.66
end

#max_gain_diag_long_call_spread(p) ⇒ Object

each



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# File 'app/models/iro/strategy.rb', line 164

def max_gain_diag_long_call_spread p ## each
  # p.outer.strike - p.inner.strike + p.outer.begin_price - p.inner.begin_price
  p.inner.strike - p.outer.strike - p.outer.begin_price + p.inner.begin_price
end

#max_gain_diag_short_put_spread(p) ⇒ Object

each



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# File 'app/models/iro/strategy.rb', line 168

def max_gain_diag_short_put_spread p ## each
  p.outer.strike - p.inner.strike - p.outer.begin_price + p.inner.begin_price
end

#max_gain_long_credit_put_spread(p) ⇒ Object 



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

def max_gain_long_credit_put_spread p
  ## 100 * disallowed for gameui
  p.inner.begin_price - p.outer.begin_price
end

#max_gain_long_debit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 179

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

#max_gain_short_credit_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 183

def max_gain_short_credit_call_spread p
  p.inner.begin_price - p.outer.begin_price
end

#max_gain_short_debit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 186

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

#max_gain_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 190

def max_gain_spread p
  ## 100 * disallowed for gameui
  ( p.outer.strike - p.inner.strike ).abs - p.outer.begin_price + p.inner.begin_price # - 2*0.66
end

#max_gain_wheel(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 194

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

#max_loss_covered_call(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 206

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

#max_loss_diag_long_call_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 199

def max_loss_diag_long_call_spread p
  # p.inner.strike - p.outer.strike + p.inner.begin_price + p.outer.begin_price
  p.outer.begin_price - p.inner.begin_price - p.realized_gl
end

#max_loss_diag_short_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 203

def max_loss_diag_short_put_spread p
  p.outer.begin_price - p.inner.begin_price - p.realized_gl ## same as above, max_loss_diag_long_call_spread
end

#max_loss_long_credit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 209

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

#max_loss_short_credit_call_spread(p) ⇒ Object

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



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# File 'app/models/iro/strategy.rb', line 218

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

#max_loss_short_debit_put_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 221

def max_loss_short_debit_put_spread p
  p.inner.begin_price - p.outer.begin_price
end

#max_loss_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 224

def max_loss_spread p
  ( p.outer.strike - p.inner.strike ).abs
end

#max_loss_wheel(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 227

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

#net_amount_spread(p) ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 233

def net_amount_spread p
  p.inner.begin_price - p.inner.end_price - p.outer.begin_price + p.outer.end_price
end

#next_inner_strike ⇒ Object

can be nil, poor design?



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# File 'app/models/iro/strategy.rb', line 97

field :next_inner_strike,       type: :float

#next_position ⇒ Object

_TODO: makes no sense...



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# File 'app/models/iro/strategy.rb', line 21

has_one  :next_position, class_name: 'Iro::Position', inverse_of: :next_strategy

#put_call ⇒ Object 



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

def put_call
  case kind
  when Iro::Strategy::KIND_COVERED_CALL
    put_call = 'CALL'
  when Iro::Strategy::KIND_DIAG_LONG_CALL_SPREAD
    put_call = 'CALL'
  when Iro::Strategy::KIND_DIAG_SHORT_PUT_SPREAD
    put_call = 'PUT'
  when Iro::Strategy::KIND_LONG_CREDIT_PUT_SPREAD
    put_call = 'PUT'
  when Iro::Strategy::KIND_LONG_DEBIT_CALL_SPREAD
    put_call = 'CALL'
  when Iro::Strategy::KIND_SHORT_CREDIT_CALL_SPREAD
    put_call = 'CALL'
  when Iro::Strategy::KIND_SHORT_DEBIT_PUT_SPREAD
    put_call = 'PUT'

  when Iro::Strategy::KIND_SPREAD
    if credit_or_debit == CREDIT
      if long_or_short == LONG
        'PUT'
      elsif long_or_short == SHORT
        'CALL'
      else
        throw 'zq5 - should never happen'
      end
    else
      throw 'zq6 - debit spreads are not implemented'
    end
  else
    throw 'zq9 - this should never happen'
  end
end

#to_s ⇒ Object 



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# File 'app/models/iro/strategy.rb', line 397

def to_s
  "#{kind} #{stock} #{next_spread_amount}- #{intent} #{descr}"
end