iron_warbler 2.0.7.21 → 2.0.7.23

data/app/models/iro/option.rb

@@ -3,6 +3,7 @@
 class Iro::Option
   include Mongoid::Document
   include Mongoid::Timestamps
+  include Mongoid::Paranoia
   store_in collection: 'iro_options'
 
   # field :ticker

data/app/models/iro/position.rb

@@ -2,9 +2,10 @@
 class Iro::Position
   include Mongoid::Document
   include Mongoid::Timestamps
+  include Mongoid::Paranoia
   store_in collection: 'iro_positions'
 
-  attr_accessor :gain_loss_amount
+  attr_accessor :next_gain_loss_amount
 
   STATUS_ACTIVE   = 'active'
   STATUS_PROPOSED = 'proposed'
@@ -53,8 +54,15 @@ class Iro::Position
   field :end_inner_price, type: :float
   field :end_inner_delta, type: :float
 
+  def begin_delta
+    strategy.send("begin_delta_#{strategy.kind}", self)
+  end
+  def end_delta
+    strategy.send("end_delta_#{strategy.kind}", self)
+  end
+
   def breakeven
-    strategy.breakeven(self)
+    strategy.send("breakeven_#{strategy.kind}", self)
   end
 
   def current_underlying_strike
@@ -87,6 +95,9 @@ class Iro::Position
   def max_loss # each
     strategy.send("max_loss_#{strategy.kind}", self)
   end
+  # def gain_loss_amount
+  #   strategy.send("gain_loss_amount_#{strategy.kind}", self)
+  # end
 
 
   field :next_delta, type: :float
@@ -94,52 +105,122 @@ class Iro::Position
   field :next_symbol
   field :next_mark
   field :next_reasons, type: :array, default: []
-  field :should_rollp, type: :float
-
-  ##
-  ## decisions
-  ##
-
-  def should_roll?
-    puts! 'shold_roll?'
-
-    update({
-      next_reasons: [],
-      next_symbol: nil,
-      next_delta: nil,
+  field :rollp, type: :float
+
+
+  ## covered call
+  # def sync
+  #   puts! [ inner_strike, expires_on, stock.ticker ], 'init sync'
+  #   out = Tda::Option.get_quote({
+  #     contractType: 'CALL',
+  #     strike: inner_strike,
+  #     expirationDate: expires_on,
+  #     ticker: stock.ticker,
+  #   })
+  #   puts! out, 'sync'
+  #   self.end_inner_price = ( out.bid + out.ask ) / 2
+  #   self.end_inner_delta = out.delta
+  # end
+
+  ## long call spread
+  # def sync
+  #   # puts! [
+  #   #   [ inner_strike, expires_on, stock.ticker ],
+  #   #   [ outer_strike, expires_on, stock.ticker ],
+  #   #  ], 'init sync inner, outer'
+  #   inner = Tda::Option.get_quote({
+  #     contractType: 'CALL',
+  #     strike: inner_strike,
+  #     expirationDate: expires_on,
+  #     ticker: stock.ticker,
+  #   })
+  #   outer = Tda::Option.get_quote({
+  #     contractType: 'CALL',
+  #     strike: outer_strike,
+  #     expirationDate: expires_on,
+  #     ticker: stock.ticker,
+  #   })
+  #   puts! [inner, outer], 'sync inner, outer'
+  #   self.end_outer_price = ( outer.bid + outer.ask ) / 2
+  #   self.end_outer_delta = outer.delta
+
+  #   self.end_inner_price = ( inner.bid + inner.ask ) / 2
+  #   self.end_inner_delta = inner.delta
+  # end
+
+  def sync
+    put_call = Iro::Strategy::LONG == strategy.long_or_short ? 'CALL' : 'PUT'
+    puts! [
+      [ inner_strike, expires_on, stock.ticker ],
+      [ outer_strike, expires_on, stock.ticker ],
+     ], 'init sync inner, outer'
+    inner = Tda::Option.get_quote({
+      contractType: put_call,
+      strike: inner_strike,
+      expirationDate: expires_on,
+      ticker: stock.ticker,
+    })
+    outer = Tda::Option.get_quote({
+      contractType: put_call,
+      strike: outer_strike,
+      expirationDate: expires_on,
+      ticker: stock.ticker,
     })
+    puts! [inner, outer], 'sync inner, outer'
+    self.end_outer_price = ( outer.bid + outer.ask ) / 2
+    self.end_outer_delta = outer.delta
 
-    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
+    self.end_inner_price = ( inner.bid + inner.ask ) / 2
+    self.end_inner_delta = inner.delta
+  end
+  def sync_short_debit_put_spread
+    puts! [
+      [ inner_strike, expires_on, stock.ticker ],
+      [ outer_strike, expires_on, stock.ticker ],
+     ], 'init sync inner, outer'
+    inner = Tda::Option.get_quote({
+      contractType: 'PUT',
+      strike: inner_strike,
+      expirationDate: expires_on,
+      ticker: stock.ticker,
+    })
+    outer = Tda::Option.get_quote({
+      contractType: 'PUT',
+      strike: outer_strike,
+      expirationDate: expires_on,
+      ticker: stock.ticker,
+    })
+    puts! [inner, outer], 'sync inner, outer'
+    self.end_outer_price = ( outer.bid + outer.ask ) / 2
+    self.end_outer_delta = outer.delta
 
-    else
-      out = 0.0
-    end
+    self.end_inner_price = ( inner.bid + inner.ask ) / 2
+    self.end_inner_delta = inner.delta
+  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,
-    })
+  ##
+  ## decisions
+  ##
 
-    puts! next_reasons, 'next_reasons'
-    puts! out, 'out'
-    return out > 0.5
+  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
+
+    # 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,
+    # })
   end
 
 
@@ -149,19 +230,6 @@ class Iro::Position
     ( expires_on.to_date - Time.now.to_date ).to_i < 7
   end
 
-  ## If I'm near below water
-  ##
-  ## expires_on = cc.expires_on ; strategy = cc.strategy ; strike = cc.strike ; nil
-  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
-
   ## strike = cc.strike ; strategy = cc.strategy ; nil
   def near_below_water?
     strike < current_underlying_strike + strategy.buffer_above_water

data/app/models/iro/purse.rb

@@ -2,6 +2,7 @@
 class Iro::Purse
   include Mongoid::Document
   include Mongoid::Timestamps
+  include Mongoid::Paranoia
   store_in collection: 'iro_purses'
 
   field :slug
@@ -10,12 +11,22 @@ class Iro::Purse
 
   has_many :positions, class_name: 'Iro::Position', inverse_of: :purse
 
-  field :unit,             type: :integer
-  field :height,           type: :integer
-  field :mark_every_n_usd, type: :float
+  belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
+
+  field :unit,             type: :integer, default: 10
+  # field :height,           type: :integer, default: 100
+  field :mark_every_n_usd, type: :float, default: 1
+  field :n_next_positions, type: :integer, default: 5
+  ## with unit 10, sum_scale .001
+  ## with unit 100, sum_scale .0001
+  field :summary_scale,    type: :float, default: 0.001
+
+  field :available_amount, type: :float
 
   def to_s
     slug
   end
-
+  def self.list
+    [[nil,nil]] + all.map { |p| [p, p.id] }
+  end
 end

data/app/models/iro/stock.rb

@@ -2,6 +2,7 @@
 class Iro::Stock
   include Mongoid::Document
   include Mongoid::Timestamps
+  include Mongoid::Paranoia
   store_in collection: 'iro_stocks'
 
   STATUS_ACTIVE   = 'active'
@@ -17,9 +18,11 @@ class Iro::Stock
   index({ ticker: -1 }, { unique: true })
 
   field :last, type: :float
+  field :options_price_increment, type: :float
 
   has_many :positions,  class_name: 'Iro::Position', inverse_of: :stock
   has_many :strategies, class_name: 'Iro::Strategy', inverse_of: :stock
+  has_many :purses,     class_name: 'Iro::Purse',    inverse_of: :stock
 
   def to_s
     ticker

data/app/models/iro/strategy.rb

@@ -2,6 +2,7 @@
 class Iro::Strategy
   include Mongoid::Document
   include Mongoid::Timestamps
+  include Mongoid::Paranoia
   store_in collection: 'iro_strategies'
 
   field :slug
@@ -20,7 +21,7 @@ class Iro::Strategy
 
   KIND_COVERED_CALL = 'covered_call'
   KIND_LONG_DEBIT_CALL_SPREAD = 'long_debit_call_spread'
-  KIND_SHORT_DEBIT_PUT_SPREAD = 'long_debit_call_spread'
+  KIND_SHORT_DEBIT_PUT_SPREAD = 'short_debit_put_spread'
   KINDS = [ nil,
     KIND_COVERED_CALL,
     KIND_LONG_DEBIT_CALL_SPREAD,
@@ -42,27 +43,31 @@ class Iro::Strategy
   end
 
   field :buffer_above_water, type: :float
-  field :next_max_inner_delta, type: :float
-  field :next_max_outer_delta, type: :float
-  field :next_min_strike, type: :float
   field :threshold_delta, type: :float
   field :threshold_netp, type: :float
 
+  field :next_inner_delta, type: :float
+  field :next_outer_delta, type: :float
+  field :next_inner_strike, type: :float
+  field :next_outer_strike, type: :float
+  field :next_spread_amount, type: :float # e.g. $20 for a $2000 NVDA spread
+
+
   def self.for_ticker ticker
     where( ticker: ticker )
   end
 
-  def breakeven p
-    p.inner_strike - p.begin_outer_price + p.begin_inner_price
-  end
-
-  def breakeven p
+  def breakeven_covered_call p
     p.inner_strike + p.begin_inner_price
   end
+  def breakeven_long_debit_call_spread p
+    p.inner_strike - p.max_gain # p.begin_outer_price + p.begin_inner_price
+  end
+  alias_method :breakeven_short_debit_put_spread, :breakeven_long_debit_call_spread
 
   def max_gain_covered_call p
     # return p.begin_inner_price
-    p.begin_inner_price * 100 - 0.66
+    p.begin_inner_price * 100 - 0.66 # @TODO: is this *100 really?
   end
   def max_gain_long_debit_call_spread p
     ## 100 * disalloed for gameui
@@ -73,40 +78,130 @@ class Iro::Strategy
     ( p.outer_strike - p.inner_strike - p.begin_outer_price + p.begin_inner_price ) # - 2*0.66
   end
 
+  def net_amount_covered_call p
+    ( p.begin_inner_price - p.end_inner_price )
+  end
+  def net_amount_long_debit_call_spread p
+    outer = p.end_outer_price - p.begin_outer_price
+    inner = p.begin_inner_price - p.end_inner_price
+    out = ( outer + inner )
+  end
+  alias_method :net_amount_short_debit_put_spread, :net_amount_long_debit_call_spread
+
   def max_loss_covered_call p
-    return 'infinity'
+    p.begin_inner_price*10 # just suppose 10,000%
   end
   def max_loss_long_debit_call_spread p
-    out = 100 * ( p.outer_strike - p.inner_strike )
+    out = p.outer_strike - p.inner_strike
   end
-  def max_loss_short_debit_put_spread p
-    out = -100 * ( p.outer_strike - p.inner_strike )
+  def max_loss_short_debit_put_spread p # different
+    out = p.inner_strike - p.outer_strike
   end
 
-  def net_amount_covered_call p
-    ( p.begin_inner_price - p.end_inner_price ) * 100
+  def begin_delta_covered_call p
+    p.begin_inner_delta
   end
-  def net_amount_long_debit_call_spread p
-    outer = p.end_outer_price - p.begin_outer_price
-    inner = p.begin_inner_price - p.end_inner_price
-    out = ( outer + inner ) * 100
+  def begin_delta_long_debit_call_spread p
+    p.begin_outer_delta - p.begin_inner_delta
   end
-  alias_method :net_amount_short_debit_put_spread, :net_amount_long_debit_call_spread
+  alias_method :begin_delta_short_debit_put_spread, :begin_delta_long_debit_call_spread
 
+  def end_delta_covered_call p
+    p.end_inner_delta
+  end
+  def end_delta_long_debit_call_spread p
+    p.end_outer_delta - p.end_inner_delta
+  end
+  alias_method :end_delta_short_debit_put_spread, :end_delta_long_debit_call_spread
 
-  def net_amount_long_debit_call_spread p
-    outer = p.end_outer_price - p.begin_outer_price
-    inner = p.begin_inner_price - p.end_inner_price
-    out = ( outer + inner ) * 100
+
+
+  ##
+  ## decisions
+  ##
+
+  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.end_inner_delta < threshold_delta
+      return [ 0.61, "Delta #{p.end_inner_delta} is lower than #{threshold_delta} threshold." ]
+    end
+
+    if 1 - p.end_inner_price/p.begin_inner_price > threshold_netp
+      return [ 0.51, "made enough #{'%.0f' % [(1 - p.end_inner_price/p.begin_inner_price )*100]}% profit" ]
+    end
+
+    return [ 0.33, '-' ]
   end
 
+  ## @TODO
+  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.end_inner_delta < threshold_delta
+      return [ 0.79, "Delta #{p.end_inner_delta} is lower than #{threshold_delta} threshold." ]
+    end
+
+    if 1 - p.end_inner_price/p.begin_inner_price > threshold_netp
+      return [ 0.51, "made enough #{'%.0f' % [(1 - p.end_inner_price/p.begin_inner_price )*100]}% profit" ]
+    end
+
+    return [ 0.33, '-' ]
+  end
+
+  ## @TODO
+  def calc_rollp_short_debit_put_spread 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' % [stock.last - p.inner_strike - buffer_above_water]} " +
+          "above #{'%.2f' % [p.inner_strike + buffer_above_water]} water" ]
+    end
+
+    if p.end_inner_delta < threshold_delta
+      return [ 0.79, "Delta #{p.end_inner_delta} is lower than #{threshold_delta} threshold." ]
+    end
+
+    if 1 - p.end_inner_price/p.begin_inner_price > threshold_netp
+      return [ 0.51, "made enough #{'%.0f' % [(1 - p.end_inner_price/p.begin_inner_price )*100]}% profit" ]
+    end
+
+    return [ 0.33, '-' ]
+  end
+
+
 
 
   def to_s
-    slug
+    "#{stock} #{kind_short} #{slug}"
   end
   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.slug, ttt.id ] }
+    [[nil,nil]] + these.map { |ttt| [ ttt, ttt.id ] }
   end
 end

data/app/models/tda/option.rb

@@ -68,7 +68,7 @@ class Tda::Option
   ## 2023-02-06 _vp_ :: Continue.
   ##
   def self.get_quotes params
-    puts! params, 'Tda::Option#get_quotes'
+    # puts! params, 'Tda::Option#get_quotes'
     opts = {}
 
     #
@@ -98,7 +98,7 @@ class Tda::Option
     end
 
     query = { apikey: ::TD_AMERITRADE[:apiKey] }.merge opts
-    puts! query, 'input opts'
+    # puts! query, 'input opts'
 
     path = "/v1/marketdata/chains"
     out = self.get path, { query: query }
@@ -120,7 +120,7 @@ class Tda::Option
       end
     end
 
-    puts! outs, 'outs'
+    # puts! outs, 'outs'
     return outs
   end
 

data/app/views/iro/_main_header.haml

@@ -1,24 +1,35 @@
 
-.application-main-header.main-header
+.application--main-header.main-header.iro--main-header{ class: "#{ENV['RAILS_ENV']} #{ENV['RAILS_ENV'][0...3]=="dev" ? "development" : ''}" }
   .maxwidth
 
     %i.fa.fa-compress.collapse-expand#collapseHeaderTrading
-      Iron Warbler
+      Wco Trading
+    .a
+      .d-flex
+        %ul{ style: "margin-top: 2em;" }
+          %li
+            = link_to "Stocks (#{Iro::Stock.all.length})", stocks_path
+            = link_to '[re]', refresh_stocks_path
+          -# %li= link_to 'Options', options_path
+          -# %li Max Pain
+          %li
+            = link_to "Alerts (#{Iro::Alert.all.length})", alerts_path
+          %li
+            = link_to "Purses (#{Iro::Purse.all.length})", purses_path
+          %li
+            = render '/iro/strategies/header'
 
-    -# .header.collapse-expand#IroMenu
-    -#   %h5.title Iron Warbler
-
-    %ul
-      %li= link_to 'ROOT', root_path
-      %li
-        = link_to "Stocks (#{Iro::Stock.all.length})", stocks_path
-      -# %li= link_to 'Options', options_path
-      -# %li Max Pain
-      %li
-        = link_to "Alerts (#{Iro::Alert.all.length})", alerts_path
-      %li
-        = link_to "Purses (#{Iro::Purse.all.length})", purses_path
-      %li
-        = render '/iro/strategies/header'
+        .a
+          = link_to 'Purses', purses_path
+          %ul
+            - @purses.each do |p|
+              %li= link_to p, purse_path(p)
+        .a
+          = link_to 'Strategies', strategies_path
+          %ul
+            - @strategies.each do |s|
+              %li
+                = link_to s, strategy_path(s)
+                = link_to '[~]', edit_strategy_path(s)
 
 

data/app/views/iro/application/home.haml

@@ -1,2 +1,7 @@
 
-Hello, Iro Wor!
+.maxwidth
+  Hello, Iro Wor!
+
+  %br
+  %br
+  %br

data/app/views/iro/positions/_form.haml

@@ -7,8 +7,7 @@
     .d-flex
       .field
         %label Purse
-        -# = f.select :purse_id, options_for_select( @
-        = f.text_field :purse_id
+        = f.select :purse_id, options_for_select( @purses_list, selected: position.purse_id )
 
         %label Status
         = f.select :status, options_for_select( Iro::Position::STATUSES, selected: position.status )

data/app/views/iro/positions/_gameui_covered_call.haml

@@ -2,7 +2,7 @@
 - pos   = position
 - stock = pos.stock
 - nearest_strike = stock.last.round
-- u = @unit # pixels per dollar
+- u = pos.purse.unit # pixels per dollar
 
 .collapse-expand.d-flex{ id: "gameui-pos-#{pos.id}" }
   [<>]
@@ -10,32 +10,29 @@
 .a
   = render "/iro/positions/header_#{pos.strategy.kind}", pos: pos
   .StockCoordinatesW
-    .StockCoordinates{ style: "height: #{pos.purse.height}px " }
-      = render "/iro/stocks/grid_#{pos.strategy.long_or_short}", stock: stock
+    .StockCoordinates{ style: "height: #{pos.q() * u}px " }
+      .grid= render "/iro/stocks/grid_#{pos.strategy.long_or_short}", stock: stock, position: pos
 
       .Origin{ style: "left: #{ ( nearest_strike - stock.last )* u}px" }
         .label Last: #{pp_amount stock.last}
-        .c
 
-        -## Good, remove trash, leave as implemented.
-        -# - left  = "#{ (stock.last - position.inner_strike - position.begin_inner_price) * u}px"
-        -# - width = "#{ position.begin_inner_price * u}px"
         - left  = "#{ (stock.last - pos.inner_strike) * u}px"
         - width = "0px"
-        .PositionW{ style: "left: #{left} ; width: #{width} " }
+        .PositionW{ class: pos.strategy.kind, style: "left: #{left} ; width: #{width} " }
           .Position
+            .RollGuide
             .PositionC
 
-            - if position.net_amount >= 0
-              .Net.NetPositive{ style: "width: #{ (position.net_amount / 100) * u }px; right: 0" }
+            - if pos.net_amount >= 0
+              .Net.NetPositive{ style: "width: #{ (pos.net_amount / 100) * u }px; right: 0" }
                 .label
                   net
-                  = pp_amount position.net_amount
+                  = pp_amount pos.net_amount
             - else
-              .Net.NetNegative{ style: "width: #{ (-1 * position.net_amount / 100) * u }px; left: 100%" }
+              .Net.NetNegative{ style: "width: #{ (-1 * pos.net_amount / 100) * u }px; left: 100%" }
                 .label
                   net
-                  = pp_amount position.net_amount
+                  = pp_amount pos.net_amount
 
             .Breakeven{ style: "width: #{ pos.begin_inner_price * u }px" }
               .label

data/app/views/iro/positions/_gameui_covered_call.haml-bk

@@ -1,4 +1,12 @@
 
+
+-## Good, remove trash, leave as implemented.
+-# - left  = "#{ (stock.last - pos.inner_strike - pos.begin_inner_price) * u}px"
+-# - width = "#{ pos.begin_inner_price * u}px"
+
+
+
+
 - unit = u = 50 # pixels per dollar
 - grid_size = 100 # dollars to each side of origin
 .purses-gameui.padded