iron_warbler 2.0.7.25 → 2.0.7.26

data/app/models/iro/position.rb

@@ -5,11 +5,18 @@ class Iro::Position
   include Mongoid::Paranoia
   store_in collection: 'iro_positions'
 
+  field :prev_gain_loss_amount, type: :float
   attr_accessor :next_gain_loss_amount
+  def prev_gain_loss_amount
+    out  = autoprev.outer.end_price - autoprev.inner.end_price
+    out += inner.begin_price - outer.begin_price
+  end
 
   STATUS_ACTIVE   = 'active'
   STATUS_PROPOSED = 'proposed'
-  STATUSES = [ nil, 'active', 'inactive', 'proposed' ]
+  STATUS_CLOSED   = 'closed'
+  STATUS_PENDING  = 'pending'
+  STATUSES = [ nil, STATUS_ACTIVE, STATUS_PROPOSED, STATUS_CLOSED, STATUS_PENDING ]
   field :status
   validates :status, presence: true
   scope :active, ->{ where( status: 'active' ) }
@@ -17,27 +24,40 @@ class Iro::Position
   belongs_to :purse,    class_name: 'Iro::Purse',    inverse_of: :positions
   index({ purse_id: 1, ticker: 1 })
 
-  belongs_to :prev,    class_name: 'Iro::Position',    inverse_of: :nxt
-  has_one :nxt, class_name: 'Iro::Position', inverse_of: :prev
-
   belongs_to :stock,   class_name: 'Iro::Stock',    inverse_of: :positions
-  def ticker
-    stock&.ticker || '-'
-  end
+  delegate :ticker, to: :stock
 
   belongs_to :strategy, class_name: 'Iro::Strategy', inverse_of: :positions
+  field :long_or_short
+
+  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
 
-  # field :ticker
-  # validates :ticker, presence: true
+  belongs_to :prev, class_name: 'Iro::Position', inverse_of: :nxt, optional: true
+  belongs_to :autoprev, class_name: 'Iro::Position', inverse_of: :autonxt, optional: true
+  ## there are many of these, for viewing on the 'roll' view
+  has_many :nxt,     class_name: 'Iro::Position', inverse_of: :prev
+  has_one :autonxt, class_name: 'Iro::Position', inverse_of: :autoprev
+
+  ## Options
 
-  belongs_to :outer, class_name: 'Iro::Option', inverse_of: :outer
   belongs_to :inner, class_name: 'Iro::Option', inverse_of: :inner
+  belongs_to :outer, class_name: 'Iro::Option', inverse_of: :outer
+  accepts_nested_attributes_for :inner, :outer
 
   field     :outer_strike, type: :float
   # validates :outer_strike, presence: true
 
   field     :inner_strike, type: :float
-  validates :inner_strike, presence: true
+  # validates :inner_strike, presence: true
 
   field :expires_on
   validates :expires_on, presence: true
@@ -47,18 +67,8 @@ class Iro::Position
   def q; quantity; end
 
   field :begin_on
-  field :begin_outer_price, type: :float
-  field :begin_outer_delta, type: :float
-
-  field :begin_inner_price, type: :float
-  field :begin_inner_delta, type: :float
 
   field :end_on
-  field :end_outer_price, type: :float
-  field :end_outer_delta, type: :float
-
-  field :end_inner_price, type: :float
-  field :end_inner_delta, type: :float
 
   def begin_delta
     strategy.send("begin_delta_#{strategy.kind}", self)
@@ -86,7 +96,7 @@ class Iro::Position
       end_delta: out[:delta],
       end_price: out[:last],
     })
-    print '_'
+    print '^'
   end
 
   def net_percent
@@ -101,237 +111,172 @@ 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
-  field :next_outcome, type: :float
-  field :next_symbol
-  field :next_mark
-  field :next_reasons, type: :array, default: []
-  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
-
-    self.end_inner_price = ( inner.bid + inner.ask ) / 2
-    self.end_inner_delta = inner.delta
+    inner.sync
+    outer.sync
   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
 
-    self.end_inner_price = ( inner.bid + inner.ask ) / 2
-    self.end_inner_delta = inner.delta
-  end
 
   ##
   ## decisions
   ##
 
+  field :next_reasons, type: :array, default: []
+  field :rollp, type: :float
+
+  ## should_roll?
   def calc_rollp
     self.next_reasons = []
-    self.next_symbol = nil
-    self.next_delta = nil
+    # 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
-
-
-  ## expires_on = cc.expires_on ; nil
-  def can_roll?
-    ## only if less than 7 days left
-    ( expires_on.to_date - Time.now.to_date ).to_i < 7
   end
 
-  ## strike = cc.strike ; strategy = cc.strategy ; nil
-  def near_below_water?
-    strike < current_underlying_strike + strategy.buffer_above_water
-  end
-
-
-
-  ## 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[:strikePrice], p[:delta] ] }
-  ##
-  def next_position
-    return @next_position if @next_position
-    return {} if ![ STATUS_ACTIVE, STATUS_PROPOSED ].include?( status )
+  def calc_nxt
+    pos = self
 
     ## 7 days ahead - not configurable so far
-    out = Tda::Option.get_quotes({
-      ticker: ticker,
+    outs = Tda::Option.get_quotes({
+      contractType: pos.put_call,
       expirationDate: next_expires_on,
-      contractType: 'CALL',
+      ticker: ticker,
     })
+    outs_bk = outs.dup
+
+    # byebug
 
-    ## above_water
-    if strategy.buffer_above_water.present?
-      out = out.select do |i|
-        i[:strikePrice] > current_underlying_strike + strategy.buffer_above_water
+    ## 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
-      # next_reasons.push "buffer_above_water above #{current_underlying_strike + strategy.buffer_above_water}"
     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'
 
-    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
+    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
 
-      ## 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 ]
+      autonxt.sync
+      autonxt.save!
 
     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'
+      throw 'zmq - should not happen'
     end
-
-    @next_position = out[0] || {}
   end
 
-  ## @TODO: Test this. _vp_ 2023-04-01
+
+
+  ## ok
   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
+    out = expires_on.to_datetime.next_occurring(:monday).next_occurring(:friday)
+    if !out.workday?
+      out = Time.previous_business_day(out )
     end
     return out
   end
 
+  ## ok
+  def self.long
+    where( long_or_short: Iro::Strategy::LONG )
+  end
+
+  ## ok
+  def self.short
+    where( long_or_short: Iro::Strategy::SHORT )
+  end
+
   def to_s
     out = "#{stock} (#{q}) #{expires_on.to_datetime.strftime('%b %d')} #{strategy.kind_short} ["
-    if outer_strike
-      out = out + "$#{outer_strike}->"
+    if Iro::Strategy::LONG == long_or_short
+      if outer.strike
+        out = out + "$#{outer.strike}->"
+      end
+      out = out + "$#{inner.strike}"
+    else
+      out = out + "$#{inner.strike}"
+      if outer.strike
+        out = out + "<-$#{outer.strike}"
+      end
     end
-    out = out + "$#{inner_strike}] "
+    out += "] "
     return out
   end
 end
+
+

data/app/models/iro/purse.rb

@@ -1,4 +1,7 @@
 
+require 'distribution'
+N = Distribution::Normal
+
 class Iro::Purse
   include Mongoid::Document
   include Mongoid::Timestamps
@@ -9,23 +12,50 @@ class Iro::Purse
   validates :slug, presence: true, uniqueness: true
   index({ slug: -1 }, { unique: true })
 
-  has_many :positions, class_name: 'Iro::Position', inverse_of: :purse
+  has_many :positions,  class_name: 'Iro::Position', inverse_of: :purse
+
+  has_and_belongs_to_many :strategies, class_name: 'Iro::Strategy', inverse_of: :purses
 
   belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
 
   field :unit,             type: :integer, default: 10
+  ## with unit 10,  .001
+  ## with unit 100, .0001
+  field :summary_unit,    type: :float, default: 0.001
 
   ## for rolling only:
   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 delta_wt_avg( begin_end, long_short, inner_outer )
+    max_loss_total = 0
+
+    out = positions.send( long_short ).map do |pos|
+      max_loss_total += pos.max_loss * pos.q
+      pos.max_loss * pos.q * pos.send( inner_outer ).send( "#{begin_end}_delta" )
+    end
+    puts! out, 'delta_wt_avg 1'
+    out = out.reduce( &:+ ) / max_loss_total rescue 0
+    puts! out, 'delta_wt_avg 2'
+    return out
+  end
+  ## delta to plot percentage
+  ## convert to normal between 0 and 3 std
+  def delta_to_plot_p( *args )
+    x = delta_wt_avg( *args ).abs
+    if x < 0.5
+      y = 1
+    else
+      y = 2 - 1/( 1.5 - x )
+    end
+    y_ = "#{ (y*100) .to_i}%"
+    return y_
+  end
+
   def to_s
     slug
   end