wco_models 3.1.0.265 → 3.1.0.267

checksums.yaml

@@ -1,7 +1,7 @@
 ---
 SHA256:
-  metadata.gz: 327c2ab838cce926d5afd9e979b7acb2979aa8e78d1745470ea29ccac2e81197
-  data.tar.gz: 42615e28beeb55afbdf91eb592c58b22dae4a89d168e2ba17ce9046a7ac68857
+  metadata.gz: a1f54c396bd801b8243d24de86159a104d390d1b74ce79bd12c3bde3bda2d682
+  data.tar.gz: 137492819d59dc6cffb3a220f74f4352970dd69a3d8a01a585e3f17c7260dd1c
 SHA512:
-  metadata.gz: 9ca18a2f3190d96d1c8a2d9b62823886b8bb77870b22246a4af13f1f55081c65dd8bfc7b15e0db9fd232d0efc0968c7c4dd0ac8c9e0da1063c486b08fe2c5d9c
-  data.tar.gz: 8c4c8a85bcd9087b837e6c70b42082967c9b2d502c9cc12651a946cceab10c6d85ca1d18646fa18f6b56862b51cd8436e9071a7eaa8bda059dbd6a1252cd65b3
+  metadata.gz: b8b9b3d27b172ad9094d5231865e2864881696718bb014a4ae7c73405a5e58eb4df313ef1340a14bbc6109293b1656e060493d0127eb00988bb9f8400ac92d7f
+  data.tar.gz: cc019d6173c28f78dd506300a8bd692086d9d84752e2744dfa547d03d61dc3a47513af1be09653e588200ed444d0528bf5c940294d3c65e2b7e64a8d17a3139e

data/app/assets/stylesheets/wco/application.scss

@@ -37,9 +37,6 @@ $enable-important-utilities: false;
   border-bottom: 1px solid gray;
   border-left: 1px solid gray;
 
-  // border-top: 2px solid white;
-  // border-left: 2px solid white;
-
   display: flex;
 
   margin-top: 1em;

data/app/models/iro/option.rb

@@ -10,17 +10,10 @@ class Iro::Option
 
   belongs_to :stock, class_name: 'Iro::Stock', inverse_of: :strategies
   def ticker; stock.ticker; end
-  # field :ticker
-  # validates :ticker, presence: true
 
   CALL = 'CALL'
   PUT  = 'PUT'
 
-  ## for now, recompute every time
-  # field :symbol
-  ## each option can be a leg in a position, no uniqueness
-  # validates :symbol, uniqueness: true, presence: true
-
   field :put_call, type: :string # 'PUT' or 'CALL'
   validates :put_call, presence: true
 
@@ -29,11 +22,6 @@ class Iro::Option
   field :strike, type: :float
   validates :strike, presence: true
 
-  def to_s
-    "#{symbol} :: #{expires_on.strftime('%Y-%m-%d')} #{put_call} #{strike}"
-  end
-
-
   field :expires_on, type: :date
   validates :expires_on, presence: true
   def self.expirations_list full: false, n: 5
@@ -70,38 +58,41 @@ class Iro::Option
 
   field :last, type: :float
 
-  ## for TDA
-  ## "COST_030626C1030"
-  def symbol_old
-    if !self[:symbol]
-      p_c_ = put_call == 'PUT' ? 'P' : 'C'
-      strike_ = strike.to_i == strike ? strike.to_i : strike
-      sym = "#{stock.ticker}_#{expires_on.strftime("%m%d%y")}#{p_c_}#{strike_}" # XYZ_011819P45
-      self[:symbol] = sym
-      save
-    end
-    self[:symbol]
-  end
-
-  ## for schwab
+  ## for schwab, eg:
   ## "COST  260306C01030000"
   def symbol
     p_c_ = put_call == 'PUT' ? 'P' : 'C'
     strike_ = format("%08d", (strike.to_f * 1000).round)
     sym = "#{stock.ticker.ljust(6)}#{expires_on.strftime("%y%m%d")}#{p_c_}#{strike_}"
   end
+
 =begin
-  def symbol_trash ## it persists - which I dont do right now
-    if !self[:symbol]
-      p_c_ = put_call == 'PUT' ? 'P' : 'C'
-      strike_ = format("%08d", (strike.to_f * 1000).round)
-      sym = "#{stock.ticker.ljust(6)}#{expires_on.strftime("%y%m%d")}#{p_c_}#{strike_}"
-      self[:symbol] = sym
-      save
+  symbol = "META  260424P00500000"
+=end
+  def self.symbol_to_h symbol
+    ticker = symbol[0,6].strip
+    date_str = symbol[6,6]
+    type = symbol[12] == 'P' ? 'PUT' : 'CALL'
+    strike_str = symbol[13,8]
+    expires_on = Date.strptime(date_str, "%y%m%d")
+    strike = strike_str.to_i / 1000.0
+    return {
+      ticker: ticker,
+      strike: strike,
+      put_call: type,
+      expires_on: expires_on,
+    }
+  end
+
+  def matches_h h
+    if h[:put_call] == put_call &&
+       h[:strike] == strike &&
+       h[:expires_on] == expires_on
+      return true
+    else
+      return false
     end
-    self[:symbol]
   end
-=end
 
   # before_save :sync, if: ->() { !Rails.env.test? } ## do not sync in test
   def sync
@@ -117,65 +108,7 @@ class Iro::Option
     self.save! ## 2026-02-19 this must be present.
   end
 
-  def self.max_pain hash
-    outs = {}
-
-    %w| put call |.each do |contractType|
-      dates = hash["#{contractType}ExpDateMap"]
-      dates.each do |_date, strikes| ## _date="2023-02-10:5"
-        date = _date.split(':')[0].to_date.to_s
-        outs[date] ||= {
-          'all'  => {},
-          'call' => {},
-          'put'  => {},
-          'summary' => {},
-        }
-
-        strikes.each do |_strike, _v| ## _strike="18.5"
-          strike = _strike.to_f
-
-          ## calls
-          mem_c = 0
-          strikes.keys.reverse.each do |_key|
-            if _key == _strike
-              break
-            end
-            key = _key.to_f
-            tmp = hash["callExpDateMap"][_date][_key][0]['openInterest'] * ( key - strike )
-            mem_c += tmp
-          end
-          outs[date]['call'][_strike] = mem_c
-
-          ## puts
-          mem_p = 0
-          strikes.keys.each do |_key|
-            if _key == _strike
-              break
-            end
-            key = _key.to_f
-            tmp = hash["putExpDateMap"][_date][_key][0]['openInterest'] * ( strike - key )
-            mem_p += tmp
-          end
-          outs[date]['put'][_strike] = mem_p
-          outs[date]['all'][_strike] = mem_c + mem_p
-
-        end
-      end
-    end
-
-    ## compute summary
-    outs.each do |date, types|
-      all = types['all']
-      outs[date]['summary'] = { 'value' => all.keys[0] }
-      all.each do |strike, amount|
-        if amount < all[ outs[date]['summary']['value'] ]
-          outs[date]['summary']['value'] = strike
-        end
-      end
-    end
-
-    return outs
+  def to_s
+    "#{symbol} :: #{expires_on.strftime('%Y-%m-%d')} #{put_call} #{strike}"
   end
-
-
 end

data/app/models/iro/option.rb-bk

@@ -0,0 +1,62 @@
+
+
+  def self.max_pain hash
+    outs = {}
+
+    %w| put call |.each do |contractType|
+      dates = hash["#{contractType}ExpDateMap"]
+      dates.each do |_date, strikes| ## _date="2023-02-10:5"
+        date = _date.split(':')[0].to_date.to_s
+        outs[date] ||= {
+          'all'  => {},
+          'call' => {},
+          'put'  => {},
+          'summary' => {},
+        }
+
+        strikes.each do |_strike, _v| ## _strike="18.5"
+          strike = _strike.to_f
+
+          ## calls
+          mem_c = 0
+          strikes.keys.reverse.each do |_key|
+            if _key == _strike
+              break
+            end
+            key = _key.to_f
+            tmp = hash["callExpDateMap"][_date][_key][0]['openInterest'] * ( key - strike )
+            mem_c += tmp
+          end
+          outs[date]['call'][_strike] = mem_c
+
+          ## puts
+          mem_p = 0
+          strikes.keys.each do |_key|
+            if _key == _strike
+              break
+            end
+            key = _key.to_f
+            tmp = hash["putExpDateMap"][_date][_key][0]['openInterest'] * ( strike - key )
+            mem_p += tmp
+          end
+          outs[date]['put'][_strike] = mem_p
+          outs[date]['all'][_strike] = mem_c + mem_p
+
+        end
+      end
+    end
+
+    ## compute summary
+    outs.each do |date, types|
+      all = types['all']
+      outs[date]['summary'] = { 'value' => all.keys[0] }
+      all.each do |strike, amount|
+        if amount < all[ outs[date]['summary']['value'] ]
+          outs[date]['summary']['value'] = strike
+        end
+      end
+    end
+
+    return outs
+  end
+

data/app/models/iro/position.rb

@@ -7,7 +7,6 @@ class Iro::Position
 
   field :next_gain_loss_amount, type: :float
 
-
   STATUS_ACTIVE   = 'active'
   STATUS_CLOSED   = 'closed'
   STATUS_PREPARE  = 'prepare'
@@ -17,14 +16,31 @@ class Iro::Position
   STATUSES = [ nil, STATUS_CLOSED, STATUS_ACTIVE, STATUS_PREPARE, STATUS_PROPOSED, STATUS_PENDING ]
   field :status
   validates :status, presence: true
-  scope :active, ->{ where( status: 'active' ) }
-  field :schwab_status
+  scope :active,   ->{ where( status: 'active' ) }
+  scope :proposed, ->{ where( status: 'proposed' ) }
+
+  def status_label st
+    labels = {}
+    labels[STATUS_PROPOSED] = 'Selected.'
+    return labels[st] || st
+  end
+
+  INTENT_CLOSE = 'close.'
+  INTENTS = [ nil, INTENT_CLOSE ]
+  field :intent
 
   belongs_to :purse, class_name: 'Iro::Purse',    inverse_of: :positions
   index({ purse_id: 1, ticker: 1 })
 
   belongs_to :stock, class_name: 'Iro::Stock',    inverse_of: :positions
-  delegate :ticker, to: :stock
+  field :ticker
+  def ticker
+    if !self[:ticker]
+      self[:ticker] = stock.ticker
+      self.save
+    end
+    self[:ticker]
+  end
 
   belongs_to :strategy, class_name: 'Iro::Strategy', inverse_of: :positions
   delegate :long_or_short,   to: :strategy
@@ -77,6 +93,7 @@ class Iro::Position
   field :end_on
 
   field :schwab_order_id, type: :integer
+  field :schwab_status
 
   def begin_delta
     strategy.send("begin_delta_#{strategy.kind}", self)
@@ -126,6 +143,23 @@ class Iro::Position
     print '^'
   end
 
+
+  field :pending_price
+
+  ## credit spread only
+  def close_price
+    pos = self
+    out = pos.outer.end_price - pos.inner.end_price
+    return out.round(2)
+  end
+
+  ## place2 = credit-spread
+  def place2_price
+    pos = self
+    out = pos.inner.begin_price - pos.outer.begin_price
+    return out.round(2)
+  end
+
   def roll_price
     pos = self
     out = pos.autoprev.outer.end_price - pos.autoprev.inner.end_price + pos.inner.begin_price - pos.outer.begin_price
@@ -188,8 +222,6 @@ class Iro::Position
   def calc_rollp
     pos = self
     pos.next_reasons = []
-    # pos.next_symbol  = nil
-    # pos.next_delta   = nil
 
     out = strategy.send("calc_rollp_#{strategy.kind}", pos )
 

data/app/models/iro/purse.rb

@@ -28,10 +28,7 @@ class Iro::Purse
   field :n_next_positions, type: :integer, default: 5
 
   field :available_amount, type: :float
-  validates :available_amount, presence: true
-  def available
-    available_amount
-  end
+  # validates :available_amount, presence: true
 
   def to_s
     slug

data/app/models/iro/stock.rb

@@ -73,12 +73,43 @@ class ::Iro::Stock
 
 =end
   field :volatility, type: :float
+  field :volatility_annual
+  field :volatility_monthly
+  field :volatility_daily
   def volatility duration: 1.year, recompute: false
     if self[:volatility]
       if !recompute
         return self[:volatility]
       end
     end
+    stock = self
+    begin_on = Time.now - duration
+    points = ::Iro::Datapoint.where( kind: 'STOCK', symbol: stock.ticker,
+      :date.gte => begin_on,
+    ).order_by( date: :asc )
+
+    returns = []
+    points.each_cons(2) do |prev, curr|
+      returns << Math.log(curr.value / prev.value)
+    end
+    # puts! returns, 'returns'
+
+    mean = returns.sum / returns.size
+    variance = returns.sum { |r| (r - mean) ** 2 } / (returns.size - 1)
+
+    daily_vol   = Math.sqrt(variance)
+    monthly_vol = daily_vol * Math.sqrt(21)
+    annual_vol  = daily_vol * Math.sqrt(252)
+
+    self.update(volatility_annual: annual_vol, volatility_monthly: monthly_vol, volatility_daily: daily_vol)
+    annual_vol
+  end
+  def volatility_old duration: 1.year, recompute: false
+    if self[:volatility]
+      if !recompute
+        return self[:volatility]
+      end
+    end
 
     stock = self
     begin_on = Time.now - duration - 1.day
@@ -107,10 +138,8 @@ class ::Iro::Stock
 
     # n_periods = begin_on.to_date.business_days_until( Date.today )
     out = Math.sqrt( sum_of_sq )*sqrt( n )
-    adjustment = 2.0
-    out = out * adjustment
     puts! out, 'volatility (adjusted)'
-    self.update volatility: out
+    self.update( volatility: out, volatility_annual: out )
     return out
   end
 
@@ -147,7 +176,7 @@ class ::Iro::Stock
     date_from ||= Time.now - 1.year - 1.week
     date_to   ||= date_from + 180.days
     date_from = date_from.strftime('%Y-%m-%d')
-    date_to = date_to.strftime('%Y-%m-%d')
+    date_to   = date_to.strftime('%Y-%m-%d')
     puts! [ticker, date_from, date_to], "ticker,date_from,date_to"
     outs = HTTParty.get("https://api.stockdata.org/v1/data/eod?symbols=#{ticker}&date_from=#{date_from}&date_to=#{date_to}&api_token=#{STOCKDATA_ORG_KEY}")
     outs['data'].each do |datum|

data/app/models/iro/strategy.rb

@@ -364,9 +364,6 @@ class Iro::Strategy
   end
 
 
-  # def slug
-  #   "#{kind} #{stock}"
-  # end
   def to_s
     "#{kind} #{stock} #{descr}"
   end

data/app/models/tda/order.rb

@@ -18,7 +18,7 @@ class Tda::Order
       },
     })
     puts! results, 'results'
-    return results
+    return results.deep_symbolize_keys
   end
 
   ## not used - the hash is stored
@@ -33,6 +33,126 @@ class Tda::Order
     puts! results, 'results'
   end
 
+  def self.get_orders
+    profile = Wco::Profile.pi
+    today = Time.now.strftime("%Y-%m-%d")
+    results = self.get("/accounts/#{profile.schwab_account_hash}/orders", {
+      headers: {
+        accept:        'application/json',
+        Authorization: "Bearer #{profile[:schwab_exec_access_token]}",
+      },
+      query: {
+        fromEnteredTime: "#{today}T00:00:00Z",
+        toEnteredTime: "#{today}T23:59:59Z",
+      },
+    })
+    puts! results, 'get_orders() results'
+    puts! results.code, 'results.code'
+    return results
+  end
+
+  def self.cancel_order!( id )
+    profile = Wco::Profile.pi
+    results = self.delete("/accounts/#{profile.schwab_account_hash}/orders/#{id}", {
+      headers: {
+        accept:        'application/json',
+        Authorization: "Bearer #{profile[:schwab_exec_access_token]}",
+      },
+    })
+    puts! results, 'cancel_order!() results'
+    puts! results.code, 'results.code'
+    # if !results.code == '200'
+    #   throw 'could not cancel order'
+    # end
+  end
+
+
+  def self.close_credit_spread_q pos
+    query = {
+      orderType: pos.pending_price > 0 ? "NET_CREDIT" : "NET_DEBIT",
+      session: "NORMAL",
+      duration: "DAY",
+      price: pos.pending_price.abs,
+      orderStrategyType: "SINGLE",
+      orderLegCollection: [
+        ## close
+        {
+          instruction: "BUY_TO_CLOSE",
+          quantity: pos.q,
+          instrument: {
+            symbol: pos.inner.symbol,
+            assetType: "OPTION",
+          },
+        },
+        {
+          instruction: "SELL_TO_CLOSE",
+          quantity: pos.q,
+          instrument: {
+            symbol: pos.outer.symbol,
+            assetType: "OPTION",
+          },
+        },
+
+      ],
+    }
+    return query
+  end
+
+  ## open credit spread?!
+  def self.credit_spread_q pos
+    query = {
+      orderType: pos.place2_price > 0 ? "NET_CREDIT" : "NET_DEBIT",
+      session: "NORMAL",
+      duration: "DAY",
+      price: pos.pending_price,
+      orderStrategyType: "SINGLE",
+      orderLegCollection: [
+        ## open
+        {
+          instruction: "BUY_TO_OPEN",
+          quantity: pos.q,
+          instrument: {
+            symbol: pos.outer.symbol,
+            assetType: "OPTION",
+          },
+        },
+        {
+          instruction: "SELL_TO_OPEN",
+          quantity: pos.q,
+          instrument: {
+            symbol: pos.inner.symbol,
+            assetType: "OPTION",
+          },
+        },
+      ],
+    }
+    return query
+  end
+
+
+  def self.place_order! query
+    # puts! query, '#place_order'
+
+    profile = Wco::Profile.pi
+    results = self.post("/accounts/#{profile.schwab_account_hash}/orders", {
+      headers: {
+        'content-type' => 'application/json',
+        accept:        'application/json',
+        Authorization: "Bearer #{profile[:schwab_exec_access_token]}",
+      },
+      body: query.to_json,
+    })
+    puts! results, 'place_order!() results'
+    puts! results.code, 'results.code'
+    # if 201 != results.code
+    #   throw results
+    # end
+    order_id = results.headers['location'].split('/').last
+    # response = JSON.parse results.body
+    return { schwab_order_id: order_id, schwab_status: 'WORKING' }
+  end
+
+
   ## obsolete, I don't do covered calls anymore?
   def self.roll_covered_call_q pos
     roll_price = pos.inner.begin_price - pos.autoprev.inner.end_price
@@ -117,20 +237,4 @@ class Tda::Order
     return query
   end
 
-  def self.place_order query
-    puts! query, '#place_order'
-
-    profile = Wco::Profile.pi
-    results = self.post("/accounts/#{profile.schwab_account_hash}/orders", {
-      headers: {
-        'content-type' => 'application/json',
-        accept:        'application/json',
-        Authorization: "Bearer #{profile[:schwab_exec_access_token]}",
-      },
-      body: query.to_json,
-    })
-    order_id = results.headers['location'].split('/').last
-    return order_id
-  end
-
 end

metadata

@@ -1,14 +1,14 @@
 --- !ruby/object:Gem::Specification
 name: wco_models
 version: !ruby/object:Gem::Version
-  version: 3.1.0.265
+  version: 3.1.0.267
 platform: ruby
 authors:
 - Victor Pudeyev
 autorequire:
 bindir: bin
 cert_chain: []
-date: 2026-04-07 00:00:00.000000000 Z
+date: 2026-04-08 00:00:00.000000000 Z
 dependencies:
 - !ruby/object:Gem::Dependency
   name: ahoy_matey
@@ -477,6 +477,7 @@ files:
 - app/models/iro/datapoint.rb
 - app/models/iro/date.rb
 - app/models/iro/option.rb
+- app/models/iro/option.rb-bk
 - app/models/iro/option_black_scholes.rb-bk
 - app/models/iro/position.rb
 - app/models/iro/priceitem.rb