wco_models 3.1.0.266 → 3.1.0.267

checksums.yaml

@@ -1,7 +1,7 @@
 ---
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+  data.tar.gz: cc019d6173c28f78dd506300a8bd692086d9d84752e2744dfa547d03d61dc3a47513af1be09653e588200ed444d0528bf5c940294d3c65e2b7e64a8d17a3139e

data/app/models/iro/option.rb

@@ -66,6 +66,34 @@ class Iro::Option
     sym = "#{stock.ticker.ljust(6)}#{expires_on.strftime("%y%m%d")}#{p_c_}#{strike_}"
   end
 
+=begin
+  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
+  end
+
   # before_save :sync, if: ->() { !Rails.env.test? } ## do not sync in test
   def sync
     out = Tda::Option.get_quote({

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'
@@ -20,6 +19,15 @@ class Iro::Position
   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 })
@@ -138,6 +146,13 @@ class Iro::Position
 
   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
@@ -207,8 +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/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/tda/order.rb

@@ -66,6 +66,39 @@ class Tda::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",
@@ -96,6 +129,30 @@ 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,
+    })
+    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
@@ -180,26 +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,
-    })
-    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
-
 end

metadata

@@ -1,7 +1,7 @@
 --- !ruby/object:Gem::Specification
 name: wco_models
 version: !ruby/object:Gem::Version
-  version: 3.1.0.266
+  version: 3.1.0.267
 platform: ruby
 authors:
 - Victor Pudeyev