ish_models 0.0.33.108 → 0.0.33.109

checksums.yaml

@@ -1,7 +1,7 @@
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data/lib/gallery.rb

@@ -110,7 +110,7 @@ class Gallery
   RENDER_TITLES = 'gallery_render_titles_const' # string b/c transmited over http
   RENDER_THUMBS = 'gallery_render_thumbs_const' # string b/c transmited over http
 
-  belongs_to :newsparent, polymorphic: true
+  belongs_to :newsparent, polymorphic: true, optional: true
 
 end
 

data/lib/ish/iron_condor.rb

@@ -0,0 +1,319 @@
+
+=begin
+
+c.update_attributes( call_sell_strike: 242, call_buy_strike: 243, put_sell_strike: 229, put_buy_strike: 228 )
+
+=end
+
+class Ish::IronCondor
+  include Mongoid::Document
+  include Mongoid::Timestamps
+
+  store_in collection: 'ish_iron_condor'
+
+  field :expires_on, type: Date
+  validates :expires_on, presence: true
+  field :n_contracts, type: Integer
+  validates :n_contracts, presence: true
+  field :ticker
+  validates :ticker, uniqueness: { scope: :expires_on }
+  validates :ticker, presence: true
+
+  #
+  # Internal, below
+  #
+
+  def created_on; created_at.to_date; end
+
+  def self.all_filled
+    where( status: :filled )
+  end
+
+  STATUSES = [ :queued, :placed, :filled, :rolling_up, :rolling_down, :rolled_up, :rolled_down, :expired ]
+  field :status
+  field :enter_price,          type: Float
+  field :call_sell_strike,     type: Float
+  field :call_buy_strike,      type: Float
+  field :put_sell_strike,      type: Float
+  field :put_buy_strike,       type: Float
+  field :new_call_sell_strike, type: Float
+  field :new_call_buy_strike,  type: Float
+  field :new_put_sell_strike,  type: Float
+  field :new_put_buy_strike,   type: Float
+
+  field :iv_annual, type: Float
+  def iv_period
+    n_days = created_on.business_days_until expires_on
+    result = iv_annual.to_f / Math.sqrt(252/n_days)
+  end
+  alias_method :period_iv, :iv_period
+
+  ## how close to a sell leg I need to be to take followup action
+  def panic_percentage
+    0.01 # 1% for QQQ
+  end
+
+  def buysell_spread
+    1 # $1 for QQQ
+  end
+
+  def get_call_sell_strike
+    result = enter_price * ( 1 - period_iv/100 )
+    result = result.ceil
+  end
+  def get_call_buy_strike
+    call_sell_strike + buysell_spread
+  end
+
+  def get_put_sell_strike
+    result = enter_price * ( 1 - period_iv/100 )
+    result = result.floor
+  end
+  def get_put_buy_strike
+    put_sell_strike - buysell_spread
+  end
+
+  def upper_panic_threshold
+    result = call_sell_strike * ( 1 - panic_percentage )
+  end
+
+  def lower_panic_threshold
+    result = put_sell_strike * ( 1 + panic_percentage )
+  end
+
+  def new_multileg_order_example_done
+    ticker = 'QQQ'
+    px = 0.08
+    account_id = ALLY_CREDS[:account_id]
+    n_contracts = 1
+    sell_strike = 237.0
+    buy_strike = 237.5
+    expiration = '2020-02-21'.to_date
+
+    tmpl = <<~AOL
+    <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
+      <NewOrdMleg TmInForce="0" Px="#{px}" OrdTyp="2" Acct="#{account_id}">
+        <Ord OrdQty="#{n_contracts}" PosEfct="O">
+          <Leg Side="2" Strk="#{sell_strike}" 
+            Mat="#{expiration.strftime('%Y-%m-%d')}T00:00:00.000-05:00" MMY="#{expiration.strftime('%y%m')}" 
+            SecTyp="OPT" CFI="OC" Sym="#{ticker}"/>
+        </Ord>
+        <Ord OrdQty="#{n_contracts}" PosEfct="O">
+          <Leg Side="1" Strk="#{buy_strike}" 
+            Mat="#{expiration.strftime('%Y-%m-%d')}T00:00:00.000-05:00" MMY="#{expiration.strftime('%y%m')}" 
+            SecTyp="OPT" CFI="OC" Sym="#{ticker}"/>
+        </Ord>
+      </NewOrdMleg>
+    </FIXML>
+    AOL
+  end
+
+  def new_purchase_trash
+    ticker = 'AXU'
+    px = 2.06
+    account_id = ALLY_CREDS[:account_id]
+    n_contracts = 1
+    strike = 2.06
+
+    xml = <<~AOL
+      <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
+        <Order TmInForce="0" Typ="1" Side="1" Acct="#{account_id}">
+          <Instrmt SecTyp="CS" Sym="#{ticker}"/>
+          <OrdQty Qty="1"/>
+        </Order>
+      </FIXML>
+    AOL
+  end
+
+  ## https://www.ally.com/api/invest/documentation/fixml/
+  ## https://www.ally.com/api/invest/documentation/trading/
+  ## follow up, roll up
+  ## buy call to close
+  ## sell call to close
+  ## sell call to open
+  ## buy call to open
+  def rollup_xml access_token=nil, natural=nil
+    @access_token ||= access_token
+
+    new_call_sell_strike = ( natural * ( 1 + period_iv ) ).ceil
+    new_call_buy_strike = new_call_sell_strike + buysell_spread
+
+    # get the costs of the option first, to compute `Px`
+    ymd = expires_on.strftime('%y%m%d')
+    price8 = (new_call_sell_strike*1000).to_i.to_s.rjust(8, '0')
+    path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
+    puts! path, 'path sell'
+    response = @access_token.post(path, {'Accept' => 'application/json'})
+    json_sell = JSON.parse( response.body ).deep_symbolize_keys
+    json_sell_bid = json_sell[:response][:quotes][:quote][:bid].to_f
+    json_sell_ask = json_sell[:response][:quotes][:quote][:ask].to_f
+    puts! json_sell, 'json_sell'
+
+    price8 = (new_call_buy_strike*1000).to_s.rjust(8, '0')
+    path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
+    response = @access_token.post(path, {'Accept' => 'application/json'})
+    json_buy = JSON.parse( response.body ).deep_symbolize_keys
+    json_buy_bid = json_buy[:response][:quotes][:quote][:bid].to_f
+    json_buy_ask = json_buy[:response][:quotes][:quote][:ask].to_f
+    puts! json_buy, 'json_buy'
+
+    px_sell = ( json_sell_bid.to_f + json_sell_ask ) / 2
+    px_sell = px_sell # .round 2
+    px_buy = ( json_buy_bid + json_buy_ask )/ 2
+    px_buy = px_buy # .round 2
+    px = px_sell - px_buy
+    px = ( px * 20 ).round.to_f / 20 # down to nearest 0.05
+    puts! px, 'px'
+
+    update( status: :rolling_up, 
+      new_call_sell_strike: new_call_sell_strike, 
+      new_call_buy_strike: new_call_buy_strike )
+
+    rollup_tmpl =<<~AOL
+      <?xml version="1.0" encoding="UTF-8"?>
+      <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
+        <NewOrdMleg
+          OrdTyp="2"
+          Px="#{px}"
+          Acct="#{ALLY_CREDS[:account_id]}" 
+          TmInForce="0"
+        >
+          <Ord OrdQty="#{n_contracts}" PosEfct="C" >
+            <Leg 
+              AcctTyp="5" 
+              Side="1" 
+              Strk="#{call_sell_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00"
+              MMY="#{expires_on.strftime('%Y%m')}"
+              SecTyp="OPT"
+              CFI="OC"
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="C" >
+            <Leg 
+              Side="2" 
+              Strk="#{call_buy_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OC" 
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="O" >
+            <Leg 
+              Side="2" 
+              Strk="#{new_call_sell_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OC" 
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="O" >
+            <Leg 
+              Side="1" 
+              Strk="#{new_call_buy_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OC" 
+              Sym="#{ticker}" />
+          </Ord>
+        </NewOrdMleg>
+      </FIXML>
+    AOL
+  end
+
+  def rolldown_xml access_token=nil, natural=nil
+    @access_token ||= access_token
+
+    new_put_sell_strike = ( natural * ( 1 - period_iv ) ).floor
+    new_put_buy_strike = new_put_sell_strike - buysell_spread
+
+    # get the costs of the option first, to compute `Px`
+    ymd = expires_on.strftime('%y%m%d')
+    price8 = (new_put_sell_strike*1000).to_i.to_s.rjust(8, '0')
+    path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
+    puts! path, 'path sell'
+    response = @access_token.post(path, {'Accept' => 'application/json'})
+    json_sell = JSON.parse( response.body ).deep_symbolize_keys
+    json_sell_bid = json_sell[:response][:quotes][:quote][:bid].to_f
+    json_sell_ask = json_sell[:response][:quotes][:quote][:ask].to_f
+    puts! json_sell, 'json_sell'
+
+    price8 = (new_put_buy_strike*1000).to_s.rjust(8, '0')
+    path = "/v1/market/ext/quotes.json?symbols=#{ticker}#{ymd}C#{price8}"
+    response = @access_token.post(path, {'Accept' => 'application/json'})
+    json_buy = JSON.parse( response.body ).deep_symbolize_keys
+    json_buy_bid = json_buy[:response][:quotes][:quote][:bid].to_f
+    json_buy_ask = json_buy[:response][:quotes][:quote][:ask].to_f
+    puts! json_buy, 'json_buy'
+
+    px_sell = ( json_sell_bid.to_f + json_sell_ask ) / 2
+    px_sell = px_sell # .round 2
+    px_buy = ( json_buy_bid + json_buy_ask )/ 2
+    px_buy = px_buy # .round 2
+    px = px_sell - px_buy
+    px = ( px * 20 ).round.to_f / 20 # down to nearest 0.05
+    puts! px, 'px'
+
+    update( status: :rolling_down, 
+      new_put_sell_strike: new_put_sell_strike, 
+      new_put_buy_strike: new_put_buy_strike )
+
+    rollup_tmpl =<<~AOL
+      <?xml version="1.0" encoding="UTF-8"?>
+      <FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">
+        <NewOrdMleg
+          OrdTyp="2"
+          Px="#{px}"
+          Acct="#{ALLY_CREDS[:account_id]}" 
+          TmInForce="0"
+        >
+          <Ord OrdQty="#{n_contracts}" PosEfct="C" >
+            <Leg 
+              AcctTyp="5" 
+              Side="1" 
+              Strk="#{put_sell_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00"
+              MMY="#{expires_on.strftime('%Y%m')}"
+              SecTyp="OPT"
+              CFI="OP"
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="C" >
+            <Leg 
+              Side="2" 
+              Strk="#{put_buy_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OP" 
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="O" >
+            <Leg 
+              Side="2" 
+              Strk="#{new_put_sell_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OP" 
+              Sym="#{ticker}" />
+          </Ord>
+          <Ord OrdQty="#{n_contracts}" PosEfct="O" >
+            <Leg 
+              Side="1" 
+              Strk="#{new_put_buy_strike}" 
+              Mat="#{expires_on.strftime('%Y-%m-%d')}T00:00:00.000‐05:00" 
+              MMY="#{expires_on.strftime('%Y%m')}" 
+              SecTyp="OPT" 
+              CFI="OP" 
+              Sym="#{ticker}" />
+          </Ord>
+        </NewOrdMleg>
+      </FIXML>
+    AOL
+  end
+
+end

data/lib/ish/iron_condor_watcher.rb

@@ -0,0 +1,83 @@
+
+# result = @access_token.get('/v1/accounts.json', {'Accept' => 'application/json'})
+# json = JSON.parse result.body
+
+
+class ::Ish::IronCondorWatcher
+
+  def initialize
+    @consumer = OAuth::Consumer.new ALLY_CREDS[:consumer_key], ALLY_CREDS[:consumer_secret], { :site => 'https://api.tradeking.com' }
+    @access_token = OAuth::AccessToken.new(@consumer, ALLY_CREDS[:access_token], ALLY_CREDS[:access_token_secret])
+  end
+
+
+  def new_order
+    condor = ::Ish::IronCondor.all.first
+    xml = condor.new_multileg_order_example
+    print! xml, 'xml'
+    path = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders.xml"
+    # path = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders/preview.xml"
+    response = @access_token.post(path, xml)
+    print! response.body, 'response'
+  end
+
+  def watch_once
+    condors = ::Ish::IronCondor.all_filled
+    condors.each do |condor|
+      puts! condor.ticker, 'Watching this condor'
+
+      path = "/v1/market/ext/quotes.json?symbols=#{condor.ticker}"
+      response = @access_token.get(path, {'Accept' => 'application/json'})
+      json = JSON.parse( response.body ).deep_symbolize_keys
+      bid = json[:response][:quotes][:quote][:bid].to_f
+      ask = json[:response][:quotes][:quote][:ask].to_f
+      natural = ( bid + ask ) / 2
+
+      puts! [ bid, ask ], 'bid, ask'
+      puts! [ condor.upper_panic_threshold, condor.lower_panic_threshold ], 'upper/lower panic'
+
+      ## upper panic
+      if bid > condor.upper_panic_threshold
+        xml = condor.rollup_xml access_token=@access_token, natural=natural
+        print! xml, 'xml'
+
+        IshManager::ApplicationMailer.condor_followup_alert( condor, { action: :rollup } ).deliver_later
+        
+        ## place order
+        path_preview = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders/preview.xml"
+        response = @access_token.post( path_preview, xml )
+        print! response.body
+        # path_order   = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders.xml"
+        # response = @access_token.post( path_order, xml )
+        # print! response.body
+      end
+
+      ## lower panic
+      if ask < condor.lower_panic_threshold
+        xml = condor.rolldown_xml access_token=@access_token, natural=natural
+        print! xml, 'xml'
+
+        IshManager::ApplicationMailer.condor_followup_alert( condor, { action: :rolldown } ).deliver_later
+        
+        ## place order
+        path_preview = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders/preview.xml"
+        response = @access_token.post( path_preview, xml )
+        print! response.body
+        # path_order   = "/v1/accounts/#{ALLY_CREDS[:account_id]}/orders.xml"
+        # response = @access_token.post( path_order, xml )
+        # print! response.body
+      end
+
+    end
+  end
+
+end
+
+
+
+
+
+
+
+
+

data/lib/ish_models.rb

@@ -33,16 +33,18 @@ require 'gameui/premium_purchase.rb'
 
 require 'ish/crawler.rb'
 require 'ish/gallery_name.rb'
+require 'ish/iron_condor.rb'
+require 'ish/iron_condor_watcher.rb'
 require 'ish/payment.rb'
 require 'ish/stock_action.rb'
 require 'ish/stock_option.rb'
 require 'ish/stock_watch.rb'
-require 'ish/yahoo_stockwatcher.rb'
 # require 'ish/alphavantage_stockwatcher.rb'
 require 'ish/invoice.rb'
 require 'ish/lead.rb'
 require 'ish/campaign.rb'
 require 'ish/issue.rb'
+require 'ish/yahoo_stockwatcher.rb'
 
 # obsolete, use `ish` namespace now
 require 'ish_models/cache_key.rb' # this is really obsolete? _vp_ 20180123

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: ish_models
 version: !ruby/object:Gem::Version
-  version: 0.0.33.108
+  version: 0.0.33.109
 platform: ruby
 authors:
 - piousbox
@@ -124,6 +124,8 @@ files:
 - lib/ish/crawler.rb
 - lib/ish/gallery_name.rb
 - lib/ish/invoice.rb
+- lib/ish/iron_condor.rb
+- lib/ish/iron_condor_watcher.rb
 - lib/ish/issue.rb
 - lib/ish/lead.rb
 - lib/ish/payment.rb