| Overall Statistics |
|
Total Trades 0 Average Win 0% Average Loss 0% Compounding Annual Return 0% Drawdown 0% Expectancy 0 Net Profit 0% Sharpe Ratio 0 Probabilistic Sharpe Ratio 0% Loss Rate 0% Win Rate 0% Profit-Loss Ratio 0 Alpha 0 Beta 0 Annual Standard Deviation 0 Annual Variance 0 Information Ratio 0.557 Tracking Error 0.202 Treynor Ratio 0 Total Fees $0.00 Estimated Strategy Capacity $0 Lowest Capacity Asset |
from AlgorithmImports import *
from collections import deque
import statistics as stats
import config
class PremiumThresholdAdjuster():
def __init__(self, algorithm):
self.algorithm = algorithm
self.Avg_Premium_Length = config.AVG_PREMIUM_LENGTH
self.Avg_Premium_15_Queue = deque(maxlen=self.Avg_Premium_Length)
self.Avg_Premium_20_Queue = deque(maxlen=self.Avg_Premium_Length)
self.Avg_Premium_25_Queue = deque(maxlen=self.Avg_Premium_Length)
self.Avg_Premium_30_Queue = deque(maxlen=self.Avg_Premium_Length)
self.Avg_Premium_15 = None
self.Avg_Premium_20 = None
self.Avg_Premium_25 = None
self.Avg_Premium_30 = None
def Append_15(self, premium):
self.Avg_Premium_15_Queue.appendleft(premium)
if len(self.Avg_Premium_15_Queue) == self.Avg_Premium_Length:
self.Avg_Premium_15 = sum(self.Avg_Premium_15_Queue) / len(self.Avg_Premium_15_Queue)
#self.algorithm.Debug(f"{self.algorithm.Time} 1.5% Avg Premium {self.Avg_Premium_15}")
def Append_20(self, premium):
self.Avg_Premium_20_Queue.appendleft(premium)
if len(self.Avg_Premium_20_Queue) == self.Avg_Premium_Length:
self.Avg_Premium_20 = sum(self.Avg_Premium_20_Queue) / len(self.Avg_Premium_20_Queue)
def Append_25(self, premium):
self.Avg_Premium_25_Queue.appendleft(premium)
if len(self.Avg_Premium_25_Queue) == self.Avg_Premium_Length:
self.Avg_Premium_25 = sum(self.Avg_Premium_25_Queue) / len(self.Avg_Premium_25_Queue)
def Append_30(self, premium):
self.Avg_Premium_30_Queue.appendleft(premium)
if len(self.Avg_Premium_30_Queue) == self.Avg_Premium_Length:
self.Avg_Premium_30 = sum(self.Avg_Premium_30_Queue) / len(self.Avg_Premium_30_Queue)
from AlgorithmImports import *
from collections import deque
import statistics as stats
import config
class AtrEma():
def __init__(self, algorithm, symbol):
self.algorithm = algorithm
self.symbol = symbol
self.Atr_Period = config.ATR_PERIOD
self.Ema_Period = config.EMA_PERIOD
self.Atr = NormalizedAverageTrueRange(self.Atr_Period)
self.Ema = ExponentialMovingAverage(self.Ema_Period)
self.Bar_Consolidator = TradeBarConsolidator(timedelta(days=1))
self.algorithm.SubscriptionManager.AddConsolidator(self.symbol, self.Bar_Consolidator)
self.Bar_Consolidator.DataConsolidated += self.Update_Indicators
self.Increased_Volatility = False
history_period = (self.Atr_Period + self.Ema_Period) * 2
history = self.algorithm.History[TradeBar](self.symbol, history_period, Resolution.Minute)
for bar in history:
self.Bar_Consolidator.Update(bar)
def Update_Indicators(self, sender, bar):
self.Atr.Update(bar)
if self.Atr.IsReady:
self.Ema.Update(IndicatorDataPoint(bar.EndTime, self.Atr.Current.Value))
else:
self.Increased_Volatility = False
if self.Atr.IsReady and self.Ema.IsReady:
self.Check_Condition()
else:
self.Increased_Volatility = False
def Check_Condition(self):
if self.Atr.Current.Value >= self.Ema.Current.Value:
self.Increased_Volatility = True
else:
self.Increased_Volatility = False
from AlgorithmImports import *
from collections import deque
import statistics as stats
class BarChange():
def __init__(self, algorithm, symbol):
self.algorithm = algorithm
self.symbol = symbol
self.Intraday_Bar_Consolidator = TradeBarConsolidator(timedelta(minutes=5))
self.algorithm.SubscriptionManager.AddConsolidator(self.symbol, self.Intraday_Bar_Consolidator)
self.Intraday_Bar_Consolidator.DataConsolidated += self.Calculate_Bar_Change
self.len = 42
self.List_Bar_Changes_OC = []
self.List_Bar_Changes_HL = []
self.Current_Cumulative_OC = None
self.Current_Cumulative_HL = None
self.Daily_Sums_OC = []
self.Daily_Sums_HL = []
self.Daily_Sum_Mean_OC = None
self.Daily_Sum_Mean_HL = None
self.Relative_OC = {"10":deque(maxlen=self.len), "11":deque(maxlen=self.len), "12":deque(maxlen=self.len), "13":deque(maxlen=self.len), "14":deque(maxlen=self.len), "15":deque(maxlen=self.len)}
self.Relative_HL = {"10":deque(maxlen=self.len), "11":deque(maxlen=self.len), "12":deque(maxlen=self.len), "13":deque(maxlen=self.len), "14":deque(maxlen=self.len), "15":deque(maxlen=self.len)}
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(10,0), self.Append_10)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(11,0), self.Append_11)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(12,0), self.Append_12)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(13,0), self.Append_13)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(14,0), self.Append_14)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(15,0), self.Append_15)
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(23,0), self.Reset_Lists)
def Append_10(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["10"].appendleft(sum_oc)
self.Relative_HL["10"].appendleft(sum_hl)
def Append_11(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["11"].appendleft(sum_oc)
self.Relative_HL["11"].appendleft(sum_hl)
def Append_12(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["12"].appendleft(sum_oc)
self.Relative_HL["12"].appendleft(sum_hl)
def Append_13(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["13"].appendleft(sum_oc)
self.Relative_HL["13"].appendleft(sum_hl)
def Append_14(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["14"].appendleft(sum_oc)
self.Relative_HL["14"].appendleft(sum_hl)
def Append_15(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Relative_OC["15"].appendleft(sum_oc)
self.Relative_HL["15"].appendleft(sum_hl)
def Reset_Lists(self):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
self.Daily_Sums_OC.append(sum_oc)
self.Daily_Sums_HL.append(sum_hl)
self.Daily_Sum_Mean_OC = stats.mean(self.Daily_Sums_OC)
self.Daily_Sum_Mean_HL = stats.mean(self.Daily_Sums_HL)
self.List_Bar_Changes_OC.clear()
self.List_Bar_Changes_HL.clear()
def Get_Relative_Change(self, list_sums_oc, list_sums_hl):
sum_oc = sum(self.List_Bar_Changes_OC)
sum_hl = sum(self.List_Bar_Changes_HL)
relative_oc = stats.mean(list_sums_oc)
relative_hl = stats.mean(list_sums_hl)
ratio_oc = sum_oc / relative_oc
ratio_hl = sum_hl / relative_hl
return round(sum_oc, 3), round(relative_oc, 3), round(ratio_oc, 3), round(sum_hl, 3), round(relative_hl, 3), round(ratio_hl, 3)
def Calculate_Bar_Change(self, sender, bar):
change_OC = abs((bar.Close - bar.Open) / bar.Open)
change_HL = abs((bar.High - bar.Low) / bar.Close)
self.List_Bar_Changes_OC.append(change_OC)
self.List_Bar_Changes_HL.append(change_HL)
if len(self.List_Bar_Changes_OC) >= 1:
self.Current_Cumulative_OC = sum(self.List_Bar_Changes_OC)
if len(self.List_Bar_Changes_HL) >= 1:
self.Current_Cumulative_HL = sum(self.List_Bar_Changes_HL)#region imports
from AlgorithmImports import *
#endregion
import time
USE_FOMC_MEETINGS = True
FOMC_MEETINGS = [
Time(2022, 1, 25).strftime("%Y%-m%-d"),
Time(2022, 1, 26).strftime("%Y%-m%-d"),
Time(2022, 3, 15).strftime("%Y%-m%-d"),
Time(2022, 3, 16).strftime("%Y%-m%-d"),
Time(2022, 5, 3).strftime("%Y%-m%-d"),
Time(2022, 5, 4).strftime("%Y%-m%-d"),
Time(2022, 6, 14).strftime("%Y%-m%-d"),
time(2022, 6, 15).strftime("%Y%-m%-d"),
time(2022, 7, 26).strftime("%Y%-m%-d"),
time(2022, 7, 27).strftime("%Y%-m%-d"),
time(2022, 9, 20).strftime("%Y%-m%-d"),
time(2022, 9 ,21).strftime("%Y%-m%-d"),
time(2022, 11, 1).strftime("%Y%-m%-d"),
time(2022, 11, 2).strftime("%Y%-m%-d"),
time(2022, 12, 13).strftime("%Y%-m%-d"),
time(2022, 12, 14).strftime("%Y%-m%-d"),
]
USE_FOMC_MINUTES = True
FOMC_MINUTES = [
time(2022, 2 ,16).strftime("%Y%-m%-d"),
time(2022, 4, 6).strftime("%Y%-m%-d"),
time(2022, 5, 25).strftime("%Y%-m%-d"),
time(2022, 7, 6).strftime("%Y%-m%-d"),
time(2022, 8, 17).strftime("%Y%-m%-d"),
time(2022, 10, 12).strftime("%Y%-m%-d"),
]
USE_CPI = True
CPI = [
time(2022, 1, 12).strftime("%Y%-m%-d"),
time(2022, 2, 10).strftime("%Y%-m%-d"),
time(2022, 3, 10).strftime("%Y%-m%-d"),
time(2022, 4, 12).strftime("%Y%-m%-d"),
time(2022, 5, 11).strftime("%Y%-m%-d"),
time(2022, 6, 10).strftime("%Y%-m%-d"),
time(2022, 7, 13).strftime("%Y%-m%-d"),
time(2022, 8, 10).strftime("%Y%-m%-d"),
time(2022, 9, 13).strftime("%Y%-m%-d"),
time(2022, 10, 13).strftime("%Y%-m%-d"),
time(2022, 11, 13).strftime("%Y%-m%-d"),
time(2022, 12, 13).strftime("%Y%-m%-d"),
]
#region imports
from AlgorithmImports import *
#endregion
from datetime import*
USE_PRINT_OUT = False
PRINT_OUT = [
datetime(2022, 9, 2).strftime("%Y%-m%-d")
]
USE_LOWER_THRESHOLD = False
MINIMUM_GAP = 1
MAXIMUM_GAP = 5
LIST_OF_PERCENTAGES = [0.01, 0.02, 0.03]
LIST_OF_GAPS = [4,5,6]
USE_TIMED_PROFIT_EXIT = False
PROFIT_EXIT_TIME = 60
TIMED_PROFIT_THRESHOLD = 50
PREMIUM_MULTIPLIER = 1.5
STOP_LOSS_MULTIPLIER = 10
USE_STOP_LOSS = True
USE_SL_AT_ENTRY = True
PROFIT_THRESHOLD = 75
USE_ABSOLUTE_STOP_LOSS = True
ABSOLUTE_STOP_LOSS = 3.00
USE_VIX_SL = False
USE_ATR_EMA = False
ATR_PERIOD = 5
EMA_PERIOD = 9
USE_ADJST_PREMIUM = True
AVG_PREMIUM_LENGTH = 10
PREMIUM_INCREASE = 40
#########################HENDRIK#########################
# Minimum Premium
PREMIUM_THRESHOLD = 0.1
# Maximum Premium
MAX_PREMIUM = 111
# Enable/Disable Profit take
USE_PROFIT = True
# Enable/Disable Timed exit
USE_TIMED_EXIT = False
# Exit Time
EXIT_TIME = time(12, 0).strftime("%-H%-M")
PROFIT_PERCENT = 90
AMOUNT_OF_CONTRACTS = 10
# Minimum range from open
MINIMUM_DISTANCE = 0.025
# Maximum range from open
RANGE_MAX = 0.027
# Use ATR to lower Threshold (If ATR value is below ATR Threshold reduce range to new ranges)
USE_SMA = True
SMA_LENGTH = 200
SMA_MINIMUM_DISTANCE = 0.02
USE_ATR = True
ATR_THRESHOLD = 0.02
NEW_MINIMUM_DISTANCE = 0.02
NEW_RANGE_MAX = 0.022
USE_VIX_ATR = True
VIX_ATR_MINIMUM_DISTANCE = 0.015
VIX_ATR_RANGE_MAX = 0.017
# Use Vix to decide to take a trade or not
USE_VIX = True
VIX_THRESHOLD = 25
USE_VIX_2 = True
VIX_THRESHOLD_2 = 30
VIX_MINIMUM_RANGE = 0.03
VIX_RANGE_MAX = 0.032
PREMIUM_1_5 = 0.25
PREMIUM_2 = 0.25
PREMIUM_2_5 = 0.25
PREMIUM_3 = 0.25
#########################HENDRIK#########################
PREMIUM_RANGE_RATIO = 10
AVG_DAYS = 14
USE_5_5 = False
NEW_THRESHOLD = 0.25
ALLOW_RE_ENTER = True
MINUTES_TO_LOWER_THRESHOLD = 180
LOWERED_THRESHOLD = 0.1
USE_AVG = False
STRIKE_MAX = 5
RANGE_WEIGHT = 0.05
STRIKE_WEIGHT = 0.2
# LOOK UP
START = 1
INCREMENT = 1
END = 5
MAX_PERCENT = 0.027
USE_POWELL = True
POWELL = [
#datetime(2021, 1, 14).strftime("%Y%-m%-d"), #Powell 12:30 #
#datetime(2021, 2, 10).strftime("%Y%-m%-d"), #Powell 14:00 #
datetime(2021, 2, 23).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2021, 2, 24).strftime("%Y%-m%-d"), #Powell 10:00
#datetime(2021, 3, 4).strftime("%Y%-m%-d"), #Powell 12:05 #
datetime(2021, 3, 22).strftime("%Y%-m%-d"), #Powell 08:00
datetime(2021, 3, 23).strftime("%Y%-m%-d"), #Powell 11:00
datetime(2021, 3, 24).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2021, 4, 8).strftime("%Y%-m%-d"), #Powell 11:00
datetime(2021, 4, 14).strftime("%Y%-m%-d"), #Powell 11:00
#datetime(2021, 5, 3).strftime("%Y%-m%-d"), #Powell 13:20 #
datetime(2021, 6, 4).strftime("%Y%-m%-d"), #Powell 06:00
#datetime(2021, 6, 22).strftime("%Y%-m%-d"), #Powell 13:00 #
datetime(2021, 7, 14).strftime("%Y%-m%-d"), #Powell 11:00
datetime(2021, 7, 15).strftime("%Y%-m%-d"), #Powell 08:30
#datetime(2021, 8, 17).strftime("%Y%-m%-d"), #Powell 12:30 #
datetime(2021, 8, 27).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2021, 9, 24).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2021, 9, 28).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2021, 9, 29).strftime("%Y%-m%-d"), #Powell 09:45
datetime(2021, 10, 22).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2021, 11, 8).strftime("%Y%-m%-d"), #Powell 10:30
datetime(2021, 11, 9).strftime("%Y%-m%-d"), #Powell 9:00
# datetime(2021, 11, 29).strftime("%Y%-m%-d"), #Powell 15:05 #
datetime(2021, 11, 30).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2021, 12, 1).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2022, 1, 11).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2022, 3, 2).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2022, 3, 3).strftime("%Y%-m%-d"), #Powell 10:00
datetime(2022, 3, 21).strftime("%Y%-m%-d"), #Powell 11:00
datetime(2022, 3, 23).strftime("%Y%-m%-d"), #Powell 07:00
datetime(2022, 4, 21).strftime("%Y%-m%-d"), #Powell 10:00
# datetime(2022, 5, 17).strftime("%Y%-m%-d"), #Powell 13:00 #
datetime(2022, 5, 24).strftime("%Y%-m%-d"), #Powell 11:20
datetime(2022, 6, 17).strftime("%Y%-m%-d"), #Powell 07:45
datetime(2022, 6, 22).strftime("%Y%-m%-d"), #Powell 08:30
datetime(2022, 6, 23).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2022, 6, 29).strftime("%Y%-m%-d"), #Powell 08:00
datetime(2022, 8 ,26).strftime("%Y%-m%-d"), #Powell 09:00
datetime(2022, 9, 8).strftime("%Y%-m%-d"), #Powell 08:10
# datetime(2022, 9, 23).strftime("%Y%-m%-d"), #Powell 13:00 #
datetime(2022, 9, 27).strftime("%Y%-m%-d"), #Powell 06:30
datetime(2022, 9, 28).strftime("%Y%-m%-d"), #Powell 09:15
#datetime(2022, 11, 30).strftime("%Y%-m%-d"), #Powell 13:30 #
]
USE_POWELL_NEXTDAY = True
POWELL_NEXTDAY = [
datetime(2021, 1, 15).strftime("%Y%-m%-d"), #DayAfterPowell
datetime(2021, 2, 11).strftime("%Y%-m%-d"), #DAP
datetime(2021, 3, 5).strftime("%Y%-m%-d"), #DAP
datetime(2021, 3, 25).strftime("%Y%-m%-d"), #DAP
datetime(2021, 4, 9).strftime("%Y%-m%-d"), #DAP
datetime(2021, 4, 15).strftime("%Y%-m%-d"), #DAP
datetime(2021, 5, 4).strftime("%Y%-m%-d"), #DAP
datetime(2021, 6, 5).strftime("%Y%-m%-d"), #DAP
datetime(2021, 6, 23).strftime("%Y%-m%-d"), #DAP
datetime(2021, 7, 16).strftime("%Y%-m%-d"), #DAP
datetime(2021, 9, 30).strftime("%Y%-m%-d"), #DAP
datetime(2021, 11, 10).strftime("%Y%-m%-d"), #DAP
datetime(2021, 12, 2).strftime("%Y%-m%-d"), #DAP
datetime(2022, 1, 12).strftime("%Y%-m%-d"), #DAP
datetime(2022, 3, 4).strftime("%Y%-m%-d"), #DAP
datetime(2022, 3, 22).strftime("%Y%-m%-d"), #DAP
datetime(2022, 3, 24).strftime("%Y%-m%-d"), #DAP
datetime(2022, 4, 22).strftime("%Y%-m%-d"), #DAP
datetime(2022, 5, 17).strftime("%Y%-m%-d"), #DAP
datetime(2022, 5, 25).strftime("%Y%-m%-d"), #DAP
datetime(2022, 6, 24).strftime("%Y%-m%-d"), #DAP
datetime(2022, 8, 27).strftime("%Y%-m%-d"), #DAP
datetime(2022, 9, 9).strftime("%Y%-m%-d"), #DAP
datetime(2022, 9, 29).strftime("%Y%-m%-d"), #DAP
datetime(2022, 12, 1).strftime("%Y%-m%-d"), #DAP
]
USE_FED_INTEREST_RATE_DECISION = False
FED_INTEREST_RATE_DECISION = [
datetime(2021, 1, 27).strftime("%Y%-m%-d"),
datetime(2021, 3, 17).strftime("%Y%-m%-d"),
datetime(2021, 4, 28).strftime("%Y%-m%-d"),
datetime(2021, 6, 16).strftime("%Y%-m%-d"),
datetime(2021, 7, 28).strftime("%Y%-m%-d"),
datetime(2021, 9, 22).strftime("%Y%-m%-d"),
datetime(2021, 11, 3).strftime("%Y%-m%-d"),
datetime(2021, 12, 15).strftime("%Y%-m%-d"),
datetime(2022, 1, 26).strftime("%Y%-m%-d"),
datetime(2022, 3, 16).strftime("%Y%-m%-d"),
datetime(2022, 5, 4).strftime("%Y%-m%-d"),
datetime(2022, 6, 15).strftime("%Y%-m%-d"),
datetime(2022, 7, 27).strftime("%Y%-m%-d"),
datetime(2022, 9, 21).strftime("%Y%-m%-d"),
datetime(2022, 11, 2).strftime("%Y%-m%-d"),
datetime(2022, 12, 14).strftime("%Y%-m%-d"),
]
USE_FED_INTEREST_RATE_DECISION_NEXTDAY = False
FED_INTEREST_RATE_DECISION_NEXTDAY = [
datetime(2021, 1, 28).strftime("%Y%-m%-d"),
datetime(2021, 3, 18).strftime("%Y%-m%-d"),
datetime(2021, 4, 29).strftime("%Y%-m%-d"),
datetime(2021, 6, 17).strftime("%Y%-m%-d"),
datetime(2021, 7, 29).strftime("%Y%-m%-d"),
datetime(2021, 9, 23).strftime("%Y%-m%-d"),
datetime(2021, 11, 4).strftime("%Y%-m%-d"),
datetime(2021, 12, 16).strftime("%Y%-m%-d"),
datetime(2022, 1, 27).strftime("%Y%-m%-d"),
datetime(2022, 3, 17).strftime("%Y%-m%-d"),
datetime(2022, 5, 5).strftime("%Y%-m%-d"),
datetime(2022, 6, 17).strftime("%Y%-m%-d"),
datetime(2022, 7, 28).strftime("%Y%-m%-d"),
datetime(2022, 9, 22).strftime("%Y%-m%-d"),
datetime(2022, 11, 3).strftime("%Y%-m%-d"),
datetime(2022, 12, 15).strftime("%Y%-m%-d"),
]
USE_FOMC_MEETINGS_FIRSTDAY = False
FOMC_MEETINGS_FIRSTDAY = [
datetime(2021, 1, 26).strftime("%Y%-m%-d"),
datetime(2021, 3, 16).strftime("%Y%-m%-d"),
datetime(2021, 4, 27).strftime("%Y%-m%-d"),
datetime(2021, 6, 16).strftime("%Y%-m%-d"),
datetime(2021, 7, 27).strftime("%Y%-m%-d"),
datetime(2021, 9, 21).strftime("%Y%-m%-d"),
datetime(2021, 11, 2).strftime("%Y%-m%-d"),
datetime(2021, 12, 14).strftime("%Y%-m%-d"),
datetime(2022, 1, 25).strftime("%Y%-m%-d"),
datetime(2022, 3, 15).strftime("%Y%-m%-d"),
datetime(2022, 5, 3).strftime("%Y%-m%-d"),
datetime(2022, 6, 14).strftime("%Y%-m%-d"),
datetime(2022, 7, 26).strftime("%Y%-m%-d"),
datetime(2022, 9, 20).strftime("%Y%-m%-d"),
datetime(2022, 11, 1).strftime("%Y%-m%-d"),
datetime(2022, 12, 13).strftime("%Y%-m%-d"),
]
USE_FOMC_MEETINGS = True
FOMC_MEETINGS = [
datetime(2021, 1, 27).strftime("%Y%-m%-d"),
datetime(2021, 3, 17).strftime("%Y%-m%-d"),
datetime(2021, 4, 28).strftime("%Y%-m%-d"),
datetime(2021, 6, 15).strftime("%Y%-m%-d"),
datetime(2021, 7, 28).strftime("%Y%-m%-d"),
datetime(2021, 9, 22).strftime("%Y%-m%-d"),
datetime(2021, 11, 3).strftime("%Y%-m%-d"),
datetime(2021, 12, 15).strftime("%Y%-m%-d"),
datetime(2022, 1, 26).strftime("%Y%-m%-d"),
datetime(2022, 3, 16).strftime("%Y%-m%-d"),
datetime(2022, 5, 4).strftime("%Y%-m%-d"),
datetime(2022, 6, 15).strftime("%Y%-m%-d"),
datetime(2022, 7, 27).strftime("%Y%-m%-d"),
datetime(2022, 9 ,21).strftime("%Y%-m%-d"),
datetime(2022, 11, 2).strftime("%Y%-m%-d"),
datetime(2022, 12, 14).strftime("%Y%-m%-d"),
]
USE_FOMC_MINUTES = False
FOMC_MINUTES = [
datetime(2021, 1 ,6).strftime("%Y%-m%-d"),
datetime(2021, 2 ,17).strftime("%Y%-m%-d"),
datetime(2021, 4 ,7).strftime("%Y%-m%-d"),
datetime(2021, 5 ,19).strftime("%Y%-m%-d"),
datetime(2021, 7 ,7).strftime("%Y%-m%-d"),
datetime(2021, 8 ,18).strftime("%Y%-m%-d"),
datetime(2021, 10 ,13).strftime("%Y%-m%-d"),
datetime(2021, 11 ,24).strftime("%Y%-m%-d"),
datetime(2022, 1 ,5).strftime("%Y%-m%-d"),
datetime(2022, 2 ,16).strftime("%Y%-m%-d"),
datetime(2022, 4, 6).strftime("%Y%-m%-d"),
datetime(2022, 5, 25).strftime("%Y%-m%-d"),
datetime(2022, 7, 6).strftime("%Y%-m%-d"),
datetime(2022, 8, 17).strftime("%Y%-m%-d"),
datetime(2022, 10, 12).strftime("%Y%-m%-d"),
datetime(2022, 11, 23).strftime("%Y%-m%-d"),
]
USE_CPI = True
CPI = [
datetime(2021, 1, 13).strftime("%Y%-m%-d"),
datetime(2021, 2, 10).strftime("%Y%-m%-d"),
datetime(2021, 3, 10).strftime("%Y%-m%-d"),
datetime(2021, 4, 13).strftime("%Y%-m%-d"),
datetime(2021, 5, 12).strftime("%Y%-m%-d"),
datetime(2021, 6, 10).strftime("%Y%-m%-d"),
datetime(2021, 7, 13).strftime("%Y%-m%-d"),
datetime(2021, 8, 11).strftime("%Y%-m%-d"),
datetime(2021, 9, 14).strftime("%Y%-m%-d"),
datetime(2021, 10, 13).strftime("%Y%-m%-d"),
datetime(2021, 11, 10).strftime("%Y%-m%-d"),
datetime(2021, 12, 10).strftime("%Y%-m%-d"),
datetime(2022, 1, 12).strftime("%Y%-m%-d"),
datetime(2022, 2, 10).strftime("%Y%-m%-d"),
datetime(2022, 3, 10).strftime("%Y%-m%-d"),
datetime(2022, 4, 12).strftime("%Y%-m%-d"),
datetime(2022, 5, 11).strftime("%Y%-m%-d"),
datetime(2022, 6, 10).strftime("%Y%-m%-d"),
datetime(2022, 7, 13).strftime("%Y%-m%-d"),
datetime(2022, 8, 10).strftime("%Y%-m%-d"),
datetime(2022, 9, 13).strftime("%Y%-m%-d"),
datetime(2022, 10, 13).strftime("%Y%-m%-d"),
datetime(2022, 11, 10).strftime("%Y%-m%-d"),
datetime(2022, 12, 13).strftime("%Y%-m%-d"),
]
USE_CPI_NEXTDAY = True
CPI_NEXTDAY = [
datetime(2021, 1, 14).strftime("%Y%-m%-d"),
datetime(2021, 2, 11).strftime("%Y%-m%-d"),
datetime(2021, 3, 11).strftime("%Y%-m%-d"),
datetime(2021, 4, 14).strftime("%Y%-m%-d"),
datetime(2021, 5, 13).strftime("%Y%-m%-d"),
datetime(2021, 6, 11).strftime("%Y%-m%-d"),
datetime(2021, 7, 14).strftime("%Y%-m%-d"),
datetime(2021, 8, 12).strftime("%Y%-m%-d"),
datetime(2021, 9, 15).strftime("%Y%-m%-d"),
datetime(2021, 10, 14).strftime("%Y%-m%-d"),
datetime(2021, 11, 11).strftime("%Y%-m%-d"),
datetime(2021, 12, 11).strftime("%Y%-m%-d"),
datetime(2022, 1, 13).strftime("%Y%-m%-d"),
datetime(2022, 2, 11).strftime("%Y%-m%-d"),
datetime(2022, 3, 11).strftime("%Y%-m%-d"),
datetime(2022, 4, 13).strftime("%Y%-m%-d"),
datetime(2022, 5, 12).strftime("%Y%-m%-d"),
datetime(2022, 6, 11).strftime("%Y%-m%-d"),
datetime(2022, 7, 14).strftime("%Y%-m%-d"),
datetime(2022, 8, 11).strftime("%Y%-m%-d"),
datetime(2022, 9, 14).strftime("%Y%-m%-d"),
datetime(2022, 10, 14).strftime("%Y%-m%-d"),
datetime(2022, 11, 11).strftime("%Y%-m%-d"),
datetime(2022, 12, 14).strftime("%Y%-m%-d"),
]from AlgorithmImports import *
class HighestHighLowestLow():
def __init__(self, algorithm, symbol):
self.algorithm = algorithm
self.symbol = symbol
self.HH = None
self.LL = None
self.CB = None
self.CS = None
self.PS = None
self.PB = None
self.Check_Range = False
self.Yesterday_High = None
self.Yesterday_Low = None
self.Weekly_High = None
self.Weekly_Low = None
self.Bar_Consolidator = TradeBarConsolidator(timedelta(minutes=1))
self.algorithm.SubscriptionManager.AddConsolidator(self.symbol, self.Bar_Consolidator)
self.Bar_Consolidator.DataConsolidated += self.Update_HH_LL
self.Opening_Vix = None
self.Opening_Atr = None
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.BeforeMarketClose(self.symbol, -10), self.Reset)
self.algorithm.Schedule.On(self.algorithm.DateRules.WeekStart(), self.algorithm.TimeRules.BeforeMarketClose(self.symbol, -10), self.Reset_Weekly)
def Reset_Weekly(self):
self.Weekly_High = None
self.Weekly_Low = None
def Reset(self):
if self.Check_Range:
close = self.algorithm.Securities[self.symbol].Close
outside = "Inside of Range"
if self.HH > self.CS:
outside = "Outside of Range"
if self.LL < self.PS:
outside = "Outside of Range"
#self.algorithm.Debug(f"{self.algorithm.Time} Close {close} (High {self.HH} {round(self.CS, 2)} CS) / (Low {self.LL} {round(self.PS, 2)} PS) / VIX {round(self.Opening_Vix, 2)} ATR {round(self.Opening_Atr, 2)} {outside}")
#self.algorithm.Debug(f"{self.algorithm.Time} Weekly High {self.Weekly_High} Weekly Low {self.Weekly_Low} Yesterday High {self.Yesterday_High} Yesterday Low {self.Yesterday_Low}")
self.Yesterday_High = self.HH
self.Yesterday_Low = self.LL
if self.Weekly_High is None:
self.Weekly_High = self.Yesterday_High
if self.Yesterday_High > self.Weekly_High:
self.Weekly_High = self.Yesterday_High
if self.Weekly_Low is None:
self.Weekly_Low = self.Yesterday_Low
if self.Yesterday_Low < self.Weekly_Low:
self.Weekly_Low = self.Yesterday_Low
self.HH = None
self.LL = None
self.CB = None
self.CS = None
self.PS = None
self.PB = None
self.Check_Range = False
def Update_HH_LL(self, sender, bar):
high = bar.High
low = bar.Low
if self.HH is None:
self.HH = high
if self.LL is None:
self.LL = low
if high > self.HH:
self.HH = high
if low < self.LL:
self.LL = low
#region imports
from AlgorithmImports import *
from collections import deque
#endregion
import config
class Iron_Condor():
def __init__(self, algorithm, put_buy, put_sell, call_buy, call_sell, open_call_range, open_put_range):
self.algorithm = algorithm
self.Put_Buy = put_buy
self.Put_Sell = put_sell
self.Call_Buy = call_buy
self.Call_Sell = call_sell
self.Sent_Already = False
self.Premium = None
self.Entry_Premium = None
self.Entry_Fees = None
self.Lowest_Premium = None
self.Scanned_Already = False
self.Entry_Time = None
self.Reached_Threshold = False
self.Profit = None
self.Stopped_Out = False
self.Profit_Taken = False
self.Current_Profit = None
self.Margin_Required = None
self.open_call_range = open_call_range
self.open_put_range = open_put_range
self.Sent_Open_Range = False
self.Highest_Premium = -1000000
self.Weight = 0
self.Entered_Increments = []
#self.Avg_Down_Type = config.AVG_DOWN_TYPE
#self.Underlying_Increment = config.UNDERLYING_PERCENT_MOVE_INCREMENT/100
self.Premium_Increase = 1 + (config.PREMIUM_INCREASE/100)
self.Pivot_Queue = deque(maxlen=3)
def Calculate_Premium(self, pb_premium, ps_premium, cb_premium, cs_premium):
call_premium = cs_premium - cb_premium
put_premium = ps_premium - pb_premium
list_of_ba = [-pb_premium, ps_premium, -cb_premium, cs_premium]
self.Premium = sum(list_of_ba)
self.Pivot_Queue.appendleft(self.Premium)
return self.Premium
def Calculate_Pivot(self):
if self.Entry_Premium is not None:
if len(self.Pivot_Queue) == 3:
if self.Premium > (self.Entry_Premium * self.Premium_Increase):
self.algorithm.Debug("PIVOT POINT")
return True
else:
return False
else:
return False
#def Calculate_Underlying_Re_Entry(self):
#iffrom AlgorithmImports import *
from itertools import count
from collections import deque
from QuantConnect.Securities.Option import OptionPriceModels
import config
import statistics as stats
import requests
import time
from bar_change import BarChange
from ironcondor import Iron_Condor
from hhll import HighestHighLowestLow
from adjust_premium import PremiumThresholdAdjuster
from sl_at_entry import SlAtEntry
from rolling_hhll import RollingHighestHighLowestLow
from atr_ema import AtrEma
class SmoothFluorescentYellowCaribou(QCAlgorithm):
def Initialize(self):
self.SetStartDate(2022, 1, 1)
self.SetEndDate(2022, 12, 31)
self.SetCash(1000000)
#self.Settings.DataSubscriptionLimit = 300
self.Spy = self.AddEquity("SPY", Resolution.Minute, extendedMarketHours=False).Symbol
self.VIX = self.AddIndex("VIX", Resolution.Minute).Symbol
self.option = self.AddOption(self.Spy, Resolution.Minute)
self.option.SetLeverage(1.0)
self.Atr_Ema = AtrEma(self, self.Spy)
self.HH_LL = HighestHighLowestLow(self, self.Spy)
self.Premium_Adjuster = PremiumThresholdAdjuster(self)
self.SL_At_Entry = SlAtEntry(self)
self.Rolling_hl = RollingHighestHighLowestLow(self, self.VIX)
self.Bar_Change = BarChange(self, self.Spy)
self.Premium_Multiplier = config.PREMIUM_MULTIPLIER
self.List_Of_Perentages = config.LIST_OF_PERCENTAGES
self.List_Of_Gaps = config.LIST_OF_GAPS
self.option_symbol = self.option.Symbol
self.option.PriceModel = OptionPriceModels.CrankNicolsonFD()
self.atr_5 = NormalizedAverageTrueRange(5)
self.atr_14 = NormalizedAverageTrueRange(14)
self.atr_21 = NormalizedAverageTrueRange(21)
self.atr_42 = NormalizedAverageTrueRange(42)
self.atr_63 = NormalizedAverageTrueRange(63)
self.Bar_Consolidator = TradeBarConsolidator(timedelta(days=1))
self.SubscriptionManager.AddConsolidator(self.Spy, self.Bar_Consolidator)
self.Bar_Consolidator.DataConsolidated += self.Update_ATRs
self.HOD = 0
self.LOD = 0
history = self.History[TradeBar](self.Spy, 200, Resolution.Daily)
for bar in history:
self.Bar_Consolidator.Update(bar)
self.Start_Time = time.perf_counter()
self.option.SetFilter(self.UniverseFunc)
self.Iron_Condor_Counter = 0
self.Friday_Window = False
self.Wednesday_Window = True
self.Monday_Window = False
self.Indicator_Average_Call_Deque = deque(maxlen=10)
self.Indicator_Average_Put_Deque = deque(maxlen=10)
self.Indicator_Average_Call = 0
self.Indicator_Average_Put = 0
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.At(9, 30), self.Open_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.At(15, 59), self.Close_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.At(9, 30), self.Open_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.At(15, 59), self.Close_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Wednesday), self.TimeRules.At(9, 30), self.Open_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Wednesday), self.TimeRules.At(15, 59), self.Close_Window)
self.Schedule.On(self.DateRules.On(2022, 2, 23), self.TimeRules.AfterMarketOpen("SPY", 1), self.Close_It)
# POWELL
self.Schedule.On(self.DateRules.On(2021, 1, 14), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 2, 10), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 3, 4), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 5, 3), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 6, 22), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 8, 17), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 11, 29), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 5, 17), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 9, 23), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 11, 30), self.TimeRules.At(12,0), self.Close_Trading_Window)
# FED INTEREST RATE
self.Schedule.On(self.DateRules.On(2021, 1, 27), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 3, 17), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 4, 28), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 6, 16), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 7, 28), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 9, 22), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 11, 3), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 12, 15), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 1, 26), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 3, 16), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 5, 4), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 6, 15), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 7, 27), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 9, 21), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 11, 2), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 12, 4), self.TimeRules.At(12,0), self.Close_Trading_Window)
# FOMC MINUTES
self.Schedule.On(self.DateRules.On(2021, 1, 6), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 2, 17), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 4, 7), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 5, 19), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 7, 7), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 8, 18), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 10, 13), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2021, 11, 24), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 1, 5), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 2, 16), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 4, 6), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 5, 25), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 7, 6), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 8, 17), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 10, 12), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.On(2022, 11, 23), self.TimeRules.At(12,0), self.Close_Trading_Window)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen("SPY", 1), self.Get_Open_Price)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Tuesday), self.TimeRules.AfterMarketOpen("SPY", 1), self.Get_Open_Price)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Wednesday), self.TimeRules.AfterMarketOpen("SPY", 1), self.Get_Open_Price)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Thursday), self.TimeRules.AfterMarketOpen("SPY", 1), self.Get_Open_Price)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.AfterMarketOpen("SPY", 1), self.Get_Open_Price)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.AfterMarketOpen("SPY", 2), self.Get_Open_Price_2)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Wednesday), self.TimeRules.AfterMarketOpen("SPY", 2), self.Get_Open_Price_2)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.AfterMarketOpen("SPY", 2), self.Get_Open_Price_2)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Monday), self.TimeRules.BeforeMarketClose("SPY", 1), self.Check_At_Loss)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Wednesday), self.TimeRules.BeforeMarketClose("SPY", 1), self.Check_At_Loss)
self.Schedule.On(self.DateRules.Every(DayOfWeek.Friday), self.TimeRules.BeforeMarketClose("SPY", 1), self.Check_At_Loss)
self.Schedule.On(self.DateRules.EveryDay(), self.TimeRules.AfterMarketOpen("SPY", 5), self.Get_Average)
self.Traded_Today = False
self.Minimum_Gap = config.MINIMUM_GAP
self.Maximum_Gap = config.MAXIMUM_GAP
self.Premium_Threshold = config.PREMIUM_THRESHOLD
self.Range_Dictionary = {}
self.Iron_Condors = {}
self.Counter = 0
self.Put_Buy_Strike = None
self.Put_Sell_Strike = None
self.Call_Buy_Strike = None
self.Call_Sell_Strike = None
self.Schedule.On(self.DateRules.EveryDay(),
self.TimeRules.Every(timedelta(minutes=31)),
self.Reset_Counter)
self.List_Of_Len = []
self.Previous_Len = 0
self.Stop_Loss_Multiplier = config.STOP_LOSS_MULTIPLIER
self.Profit_Percent = 1 - (config.PROFIT_PERCENT/100)
self.Amount_Of_Contracts = config.AMOUNT_OF_CONTRACTS
self.Invested_Condor = None
self.Previous_Fees = None
self.Max_Unrealized_Loss = 0
self.Max_Loss_Dollar = 0
self.Unrealized_Losses = {}
self.List_Of_Max_Unrealized = []
self.List_Of_Losses = []
self.Max_Loss = 0
self.Avg_Loss = 0
self.One_Five_Premium = None
self.Two_Premium = None
self.Two_Five_Premium = None
self.Three_Premium = None
self.Entered = False
self.Launched_After_Open = False
self.Open_Price = None
self.Allow_Getting_Average = False
self.Populated_List = False
self.Len_List = None
self.Average_Premium = None
self.Premium_At_Open = None
self.Premium_List = deque(maxlen=config.AVG_DAYS)
self.Current_Average = None
self.Appended_Today = False
self.Ran_Universe_Func_Today = False
self.Put_Combinations = {}
self.Call_Combinations = {}
self.Created_Combinations_Today = False
self.Previous_Average = None
self.Monday_Premium_Queue = deque(maxlen=5)
self.Wednesday_Premium_Queue = deque(maxlen=5)
self.Friday_Premium_Queue = deque(maxlen=5)
self.Dont_Enter = False
self.all_iv = 0
self.Premium_At_Open_2 = None
self.Appended_Today_2 = False
self.List_To_Look_Up = []
self.Allow_Re_enter = config.ALLOW_RE_ENTER
self.Entered_With_PT = False
self.Condor_List = []
self.Sorted_Today = False
self.Averaged_Down = False
self.Avg_Down_Time = None
self.VIX_Open = None
self.Trade_Counter = 0
self.Print_Out = False
self.Minimum_Distance = config.MINIMUM_DISTANCE
self.Range_Max = config.RANGE_MAX
def Close_Trading_Window(self):
if self.Portfolio.Invested:
self.Liquidate(tag="Close_Trading_Window")
self.Monday_Window = False
self.Wednesday_Window = False
self.Friday_Window = False
def Update_ATRs(self, sender, bar):
self.atr_5.Update(bar)
self.atr_14.Update(bar)
self.atr_21.Update(bar)
self.atr_42.Update(bar)
self.atr_63.Update(bar)
def Get_Average(self):
self.Allow_Getting_Average = True
def Check_At_Loss(self):
if self.Invested_Condor is not None:
if self.Securities[self.Spy].High+0.1 >= self.Invested_Condor.Call_Sell.Strike:
self.Liquidate(tag="Check at Loss")
elif self.Securities[self.Spy].Low-0.1 <= self.Invested_Condor.Put_Sell.Strike:
self.Liquidate(tag="Check at Loss")
def Get_Open_Price(self):
if config.USE_PRINT_OUT and self.Time.strftime("%Y%-m%-d") in config.PRINT_OUT:
self.Print_Out = True
self.Open_Price = self.Securities[self.Spy].Open
self.HH_LL.Opening_Atr = self.atr_21.Current.Value
self.HH_LL.Opening_Vix = self.Securities[self.VIX].Open
def Get_Open_Price_2(self):
if self.Open_Price is None:
self.Open_Price = self.Securities[self.Spy].Open
def Close_It(self):
self.Monday_Window = False
self.Wednesday_Window = False
self.Friday_Window = False
def Record_Premium_At_Open(self, premium):
if self.Time.weekday() == 0:
self.Monday_Premium_Queue.appendleft(premium)
elif self.Time.weekday() == 2:
self.Wednesday_Premium_Queue.appendleft(premium)
elif self.Time.weekday() == 4:
self.Friday_Premium_Queue.appendleft(premium)
def Reset_Counter(self):
for x in self.Iron_Condors.keys():
condor = self.Iron_Condors[x]
condor.Sent_Already = False
condor.Scanned_Already = False
self.Counter = 0
def Open_Window(self):
self.Appended_Today = False
self.Put_Buy_Strike = None
self.Put_Sell_Strike = None
self.Call_Buy_Strike = None
self.Call_Sell_Strike = None
self.Call_Strike = None
self.Put_Strike = None
self.Monday_Window = True
self.Previous_Fees = self.Portfolio.TotalFees
self.Invested_Condor = None
self.Traded_Today = False
self.Previous_AccountValue = self.Portfolio.TotalPortfolioValue
if config.USE_FOMC_MINUTES:
if self.Time.strftime("%Y%-m%-d") in config.FOMC_MINUTES:
self.Dont_Enter = True
if config.USE_FOMC_MEETINGS:
if self.Time.strftime("%Y%-m%-d") in config.FOMC_MEETINGS:
self.Dont_Enter = True
if config.USE_CPI:
if self.Time.strftime("%Y%-m%-d") in config.CPI:
self.Dont_Enter = True
if config.USE_CPI_NEXTDAY:
if self.Time.strftime("%Y%-m%-d") in config.CPI_NEXTDAY:
self.Dont_Enter = True
if config.USE_POWELL:
if self.Time.strftime("%Y%-m%-d") in config.POWELL:
self.Dont_Enter = True
if config.USE_POWELL_NEXTDAY:
if self.Time.strftime("%Y%-m%-d") in config.POWELL_NEXTDAY:
self.Dont_Enter = True
if config.USE_FED_INTEREST_RATE_DECISION:
if self.Time.strftime("%Y%-m%-d") in config.FED_INTEREST_RATE_DECISION:
self.Dont_Enter = True
if config.USE_FED_INTEREST_RATE_DECISION_NEXTDAY:
if self.Time.strftime("%Y%-m%-d") in config.FED_INTEREST_RATE_DECISION_NEXTDAY:
self.Dont_Enter = True
if config.USE_FOMC_MEETINGS_FIRSTDAY:
if self.Time.strftime("%Y%-m%-d") in config.FOMC_MEETINGS_FIRSTDAY:
self.Dont_Enter = True
def Close_Window(self):
if self.One_Five_Premium is None:
one_five = None
else:
one_five = self.One_Five_Premium.Highest_Premium
self.Premium_Adjuster.Append_15(one_five)
if self.Two_Premium is None:
two = None
else:
two = self.Two_Premium.Highest_Premium
self.Premium_Adjuster.Append_20(two)
if self.Two_Five_Premium is None:
two_five = None
else:
two_five = self.Two_Five_Premium.Highest_Premium
self.Premium_Adjuster.Append_25(two_five)
if self.Three_Premium is None:
three = None
else:
three = self.Three_Premium.Highest_Premium
self.Premium_Adjuster.Append_30(three)
#self.Debug(f"{self.Time} 1.5% {one_five} 2% {two} 2.5% {two_five} 3% {three}")
self.One_Five_Premium = None
self.Two_Premium = None
self.Two_Five_Premium = None
self.Three_Premium = None
self.Print_Out = False
self.Entered = False
self.Averaged_Down = False
time = self.Time.strftime("%y %b %d %a")
string_1 = str(self.Max_Unrealized_Loss)
string_2 = str(self.Max_Loss_Dollar)
string_3 = string_1 + "/" + string_2
self.Unrealized_Losses[time] = string_3
self.Monday_Window = False
self.Sent_Already = []
self.Iron_Condors.clear()
self.List_Of_Max_Unrealized.append(self.Max_Loss_Dollar)
self.Max_Unrealized_Loss = 0
self.Max_Loss_Dollar = 0
account_value = self.Portfolio.TotalPortfolioValue
pnl = account_value - self.Previous_AccountValue
close_price = self.Securities[self.Spy].Close
if self.Open_Price is None:
start_time = self.Time - timedelta(minutes=350)
end_time = self.Time - timedelta(minutes=330)
history = self.History[TradeBar](self.Spy, start_time, end_time, Resolution.Minute)
for bar in history:
self.Debug(f" wtf {bar.Open}")
self.Open_Price = bar.Open
if self.Open_Price is not None:
range_today = (self.Open_Price - close_price) / self.Open_Price
range_today = round(range_today, 3)
else:
range_today = 0
atr_5 = self.atr_5.Current.Value
atr_14 = self.atr_14.Current.Value
atr_21 = self.atr_21.Current.Value
atr_42 = self.atr_42.Current.Value
atr_63 = self.atr_63.Current.Value
self.all_iv = 0
self.Premium_At_Open_2 = None
self.Appended_Today_2 = False
self.Len_List = None
self.Average_Premium = None
self.Populated_List = False
self.Open_Price = None
self.Premium_At_Open = None
self.Ran_Universe_Func_Today = False
self.Put_Combinations.clear()
self.Call_Combinations.clear()
self.Created_Combinations_Today = False
self.Dont_Enter = False
self.Entered_With_PT = False
self.Sorted_Today = False
self.Condor_List.clear()
self.List_To_Look_Up.clear()
self.HOD = 0
self.LOD = 0
if pnl < 0:
self.List_Of_Losses.append((pnl, time))
def Get_Max_Unrealized_Loss(self, current_profit):
if self.Max_Unrealized_Loss == 0:
if self.Invested_Condor.Profit == 0:
return
if current_profit > self.Invested_Condor.Profit:
self.Max_Unrealized_Loss = abs(current_profit)/self.Invested_Condor.Profit
if self.Max_Unrealized_Loss != 0:
x = abs(current_profit)/self.Invested_Condor.Profit
if x > self.Max_Unrealized_Loss:
self.Max_Unrealized_Loss = x
self.Max_Loss_Dollar = abs(current_profit) - self.Invested_Condor.Profit
def Profit_Taker(self):
if self.Invested_Condor.Current_Profit <= self.Profit_Percent * self.Invested_Condor.Entry_Premium:
if self.Portfolio.Invested:
self.Liquidate(tag="PROFIT TAKER")
self.Entered_With_PT = False
self.Invested_Condor.Profit_Taken = True
def Stop_Loss(self):
if self.Invested_Condor is not None:
pnl = self.Invested_Condor.Current_Profit
max_loss = (self.Invested_Condor.Entry_Premium * self.Stop_Loss_Multiplier)
if pnl >= max_loss:
if self.Portfolio.Invested:
self.Liquidate(tag=f"STOP LOSS {pnl} {max_loss} {self.Invested_Condor.Profit} {self.Invested_Condor.Entry_Premium} {self.Invested_Condor.Current_Profit}")
self.Invested_Condor.Stopped_Out = True
def Update_Highest_Premiums(self):
if self.Two_Premium is not None:
premium = self.Two_Premium.Calculate_Premium(self.Securities[self.Two_Premium.Put_Buy.Symbol].AskPrice, self.Securities[self.Two_Premium.Put_Sell.Symbol].BidPrice, self.Securities[self.Two_Premium.Call_Buy.Symbol].AskPrice, self.Securities[self.Two_Premium.Call_Sell.Symbol].BidPrice)
if premium > self.Two_Premium.Highest_Premium:
self.Two_Premium.Highest_Premium = premium
if self.Two_Five_Premium is not None:
premium = self.Two_Five_Premium.Calculate_Premium(self.Securities[self.Two_Five_Premium.Put_Buy.Symbol].AskPrice, self.Securities[self.Two_Five_Premium.Put_Sell.Symbol].BidPrice, self.Securities[self.Two_Five_Premium.Call_Buy.Symbol].AskPrice, self.Securities[self.Two_Five_Premium.Call_Sell.Symbol].BidPrice)
if premium > self.Two_Five_Premium.Highest_Premium:
self.Two_Five_Premium.Highest_Premium = premium
if self.One_Five_Premium is not None:
premium = self.One_Five_Premium.Calculate_Premium(self.Securities[self.One_Five_Premium.Put_Buy.Symbol].AskPrice, self.Securities[self.One_Five_Premium.Put_Sell.Symbol].BidPrice, self.Securities[self.One_Five_Premium.Call_Buy.Symbol].AskPrice, self.Securities[self.One_Five_Premium.Call_Sell.Symbol].BidPrice)
if premium > self.One_Five_Premium.Highest_Premium:
self.One_Five_Premium.Highest_Premium = premium
if self.Three_Premium is not None:
premium = self.Three_Premium.Calculate_Premium(self.Securities[self.Three_Premium.Put_Buy.Symbol].AskPrice, self.Securities[self.Three_Premium.Put_Sell.Symbol].BidPrice, self.Securities[self.Three_Premium.Call_Buy.Symbol].AskPrice, self.Securities[self.Three_Premium.Call_Sell.Symbol].BidPrice)
if premium > self.Three_Premium.Highest_Premium:
self.Three_Premium.Highest_Premium = premium
def OnData(self, data: Slice):
Price = self.Securities[self.Spy].Price
if self.Time.month == 9 and self.Time.day == 2 and self.Time.year == 2022:
if self.Invested_Condor is not None:
p = self.Invested_Condor.Calculate_Premium(self.Securities[self.Invested_Condor.Put_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Put_Sell.Symbol].BidPrice, self.Securities[self.Invested_Condor.Call_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Call_Sell.Symbol].BidPrice)
#self.Debug(f"{self.Time} Premium {p}")
self.Update_Highest_Premiums()
if Price > self.HOD:
self.HOD = Price
if self.LOD == 0:
self.LOD = Price
if Price < self.LOD:
self.LOD = Price
vix = self.Securities[self.VIX].Price
if self.Portfolio.Invested:
if self.Invested_Condor.Profit is None:
fees = self.Portfolio.TotalFees - self.Previous_Fees
initial_profit = (self.Invested_Condor.Entry_Premium * 100) * self.Amount_Of_Contracts
self.Invested_Condor.Profit = initial_profit - fees
fees = self.Portfolio.TotalFees - self.Previous_Fees
current_premium = self.Invested_Condor.Calculate_Premium(self.Securities[self.Invested_Condor.Put_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Put_Sell.Symbol].BidPrice, self.Securities[self.Invested_Condor.Call_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Call_Sell.Symbol].BidPrice)
current_premium = current_premium
self.Invested_Condor.Current_Profit = current_premium
if self.Invested_Condor.Entry_Fees is None:
self.Invested_Condor.Entry_Fees = fees
self.Get_Max_Unrealized_Loss(self.Invested_Condor.Current_Profit)
if config.USE_PROFIT:
self.Profit_Taker()
if config.USE_STOP_LOSS:
self.Stop_Loss()
if config.USE_SL_AT_ENTRY:
if self.Invested_Condor is not None and not self.Invested_Condor.Stopped_Out:
if self.SL_At_Entry.Calculate_Exit(self.Invested_Condor):
self.Liquidate(tag=f"STOP LOSS AT ENTRY")
self.Debug(f"{self.Time} SL AT ENTRY")
self.Invested_Condor.Stopped_Out = True
if config.USE_ABSOLUTE_STOP_LOSS:
if self.Invested_Condor is not None and not self.Invested_Condor.Stopped_Out:
if self.SL_At_Entry.Calculate_Absolute_Stop_Loss(self.Invested_Condor):
self.Liquidate(tag=f"ABSOLUTE STOP LOSS")
self.Debug(f"{self.Time} ABSOLUTE STOP LOSS")
self.Invested_Condor.Stopped_Out = True
if config.USE_TIMED_PROFIT_EXIT:
if self.Invested_Condor is not None and not self.Invested_Condor.Stopped_Out:
if self.SL_At_Entry.Calculate_Timed_Profit_Exit(self.Invested_Condor):
self.Liquidate(tag=f"TIMED PROFIT EXIT")
self.Debug(f"{self.Time} TIMED PROFIT EXIT")
self.Invested_Condor.Stopped_Out = True
if config.USE_VIX_SL:
if self.Invested_Condor is not None and not self.Invested_Condor.Stopped_Out:
if self.Rolling_hl.Weekly_High is not None:
if vix >= self.Rolling_hl.Weekly_High:
self.Liquidate(tag=f"VIX SL")
self.Debug(f"{self.Time} VIX SL")
self.Invested_Condor.Stopped_Out = True
if self.Portfolio.Invested and self.Print_Out:
x = self.Invested_Condor.Calculate_Premium(self.Securities[self.Invested_Condor.Put_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Put_Sell.Symbol].BidPrice, self.Securities[self.Invested_Condor.Call_Buy.Symbol].AskPrice, self.Securities[self.Invested_Condor.Call_Sell.Symbol].BidPrice)
percent_range = self.Invested_Condor.open_put_range
if self.Portfolio["SPY"].Invested:
self.Liquidate("SPY")
if config.USE_TIMED_EXIT and self.Time.strftime("%-H%-M") >= config.EXIT_TIME:
if self.Portfolio.Invested:
self.Liquidate(tag="USE TIMED EXIT")
return
if (self.Portfolio.Invested and not self.Allow_Re_enter) or (self.Dont_Enter): return
for i in data.OptionChains:
if i.Key != self.option_symbol: continue
optionchain = i.Value
if (data.OptionChains.Count == 0):
return
Price = self.Securities[self.Spy].Price
Price = math.floor(Price)
if self.Friday_Window or self.Wednesday_Window or self.Monday_Window:
if self.Open_Price is None:
self.Open_Price = self.Securities[self.Spy].Open
expiry_date = "TODAY"
if not self.Created_Combinations_Today:
List_Of_Distances = []
put_3_expiry = [x for x in optionchain if x.Right == OptionRight.Put and ((x.Expiry - self.Time).days) == -1 and (x.Strike - Price) < 1]
call_3_expiry = [x for x in optionchain if x.Right == OptionRight.Call and ((x.Expiry - self.Time).days) == -1 and (Price - x.Strike) < 1]
put_3_min_distance = Price*1
put_3_min_distance = math.floor(put_3_min_distance)
put_3_min_distances_sell = [x for x in put_3_expiry]
put_3_min_distances_buy = [x for x in put_3_expiry]
call_3_min_distance = Price*1
call_3_min_distance = math.ceil(call_3_min_distance)
call_3_min_distances_sell = [x for x in call_3_expiry]
call_3_min_distances_buy = [x for x in call_3_expiry]
put_3_min_distances_sorted_sell = sorted(put_3_min_distances_sell, key=lambda x: x.Strike, reverse=True)
call_3_min_distances_sorted_sell = sorted(call_3_min_distances_sell, key=lambda x: x.Strike, reverse=False)
put_3_min_distances_sorted_buy = sorted(put_3_min_distances_buy, key=lambda x: x.Strike, reverse=True)
call_3_min_distances_sorted_buy = sorted(call_3_min_distances_buy, key=lambda x: x.Strike, reverse=False)
put_list = []
call_list = []
for x in put_3_min_distances_sorted_sell:
for y in put_3_min_distances_sorted_buy:
strike_diff = x.Strike - y.Strike
if x.Strike > y.Strike and strike_diff >= 6 and strike_diff <= 6:
combo = (x, y)
put_list.append(combo)
for x in call_3_min_distances_sorted_sell:
for y in call_3_min_distances_sorted_buy:
strike_diff = y.Strike - x.Strike
if y.Strike > x.Strike and strike_diff >= 6 and strike_diff <= 6:
combo = (x, y)
call_list.append(combo)
if config.USE_VIX_ATR and self.atr_21.Current.Value/100 <= config.ATR_THRESHOLD and vix <= config.VIX_THRESHOLD:
self.Minimum_Distance = config.VIX_ATR_MINIMUM_DISTANCE
self.Range_Max = config.VIX_ATR_RANGE_MAX
self.Premium_Threshold = config.PREMIUM_1_5
if config.USE_ADJST_PREMIUM and self.Premium_Adjuster.Avg_Premium_15 is not None and self.Premium_Adjuster.Avg_Premium_15 >= 0.05:
self.Premium_Threshold = self.Premium_Adjuster.Avg_Premium_15
#self.Plot("Range Used", "Range", config.VIX_ATR_MINIMUM_DISTANCE)
elif config.USE_ATR and self.atr_21.Current.Value/100 <= config.ATR_THRESHOLD:
self.Minimum_Distance = config.NEW_MINIMUM_DISTANCE
self.Range_Max = config.NEW_RANGE_MAX
#self.Plot("Range Used", "Range", config.NEW_MINIMUM_DISTANCE)
self.Premium_Threshold = config.PREMIUM_2
if config.USE_ADJST_PREMIUM and self.Premium_Adjuster.Avg_Premium_20 is not None and self.Premium_Adjuster.Avg_Premium_20 >= 0.05:
self.Premium_Threshold = self.Premium_Adjuster.Avg_Premium_20
elif config.USE_VIX and vix <= config.VIX_THRESHOLD:
self.Minimum_Distance = config.NEW_MINIMUM_DISTANCE
self.Range_Max = config.NEW_RANGE_MAX
#self.Plot("Range Used", "Range", config.NEW_MINIMUM_DISTANCE)
self.Premium_Threshold = config.PREMIUM_2
if config.USE_ADJST_PREMIUM and self.Premium_Adjuster.Avg_Premium_20 is not None and self.Premium_Adjuster.Avg_Premium_20 >= 0.05:
self.Premium_Threshold = self.Premium_Adjuster.Avg_Premium_20
else:
self.Minimum_Distance = config.MINIMUM_DISTANCE
self.Range_Max = config.RANGE_MAX
#self.Plot("Range Used", "Range", config.MINIMUM_DISTANCE)
self.Premium_Threshold = config.PREMIUM_2_5
if config.USE_ADJST_PREMIUM and self.Premium_Adjuster.Avg_Premium_25 is not None and self.Premium_Adjuster.Avg_Premium_25 >= 0.05:
self.Premium_Threshold = self.Premium_Adjuster.Avg_Premium_25
if config.USE_VIX_2 and vix >= config.VIX_THRESHOLD_2:
self.Minimum_Distance = config.VIX_MINIMUM_RANGE
self.Range_Max = config.VIX_RANGE_MAX
#self.Plot("Range Used", "Range", config.VIX_MINIMUM_RANGE)
self.Premium_Threshold = config.PREMIUM_3
if config.USE_ADJST_PREMIUM and self.Premium_Adjuster.Avg_Premium_30 is not None and self.Premium_Adjuster.Avg_Premium_30 >= 0.05:
self.Premium_Threshold = self.Premium_Adjuster.Avg_Premium_30
if config.USE_ATR_EMA and self.Atr_Ema.Increased_Volatility:
self.Minimum_Distance += 0.005
self.Range_Max += 0.005
self.Plot("Range Used", "Range", self.Minimum_Distance)
if self.Minimum_Distance == 0.015:
self.HH_LL.Check_Range = True
self.HH_LL.CS = self.Open_Price * (1.015)
self.HH_LL.PS = self.Open_Price * (0.985)
self.Plot("Premium Used", "Premium", self.Premium_Threshold)
for ps, pb in put_list:
for cs, cb in call_list:
p_diff = ps.Strike - pb.Strike
c_diff = cb.Strike - cs.Strike
if cs.Strike > ps.Strike and p_diff == c_diff:
Strikes = f"{pb.Strike} {ps.Strike} {cs.Strike} {cb.Strike}"
if Strikes not in self.Iron_Condors and self.Open_Price is not None:
open_call_range = ((cs.Strike - self.Open_Price) / self.Open_Price)
open_put_range = abs((ps.Strike - self.Open_Price) / self.Open_Price)
self.Iron_Condors[Strikes] = Iron_Condor(self, pb, ps, cb, cs, open_call_range, open_put_range)
if self.Minimum_Distance <= open_call_range <= self.Range_Max and self.Minimum_Distance <= open_put_range <= self.Range_Max:
self.List_To_Look_Up.append(Strikes)
if not self.Appended_Today_2:
condor = self.Iron_Condors[Strikes]
premium = self.Iron_Condors[Strikes].Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
self.Premium_At_Open_2 = premium
self.Appended_Today_2 = True
weight = self.Assign_Weighting(open_call_range, open_put_range, p_diff)
self.Iron_Condors[Strikes].Weight = weight
if open_call_range >= 0.024 and open_call_range <= 0.027 and open_put_range >= 0.024 and open_put_range <= 0.027:
condor = self.Iron_Condors[Strikes]
premium = self.Iron_Condors[Strikes].Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
if self.Two_Five_Premium is None:
self.Two_Five_Premium = condor
if not self.Appended_Today:
self.Premium_At_Open = premium
self.Premium_List.appendleft(premium)
self.Appended_Today = True
self.Record_Premium_At_Open(premium)
iv_cs = cs.ImpliedVolatility
iv_cb = cb.ImpliedVolatility
iv_ps = ps.ImpliedVolatility
iv_pb = pb.ImpliedVolatility
iv_list = [iv_cs, iv_cb, iv_ps, iv_pb]
self.all_iv = stats.mean(iv_list)
if open_call_range >= 0.02 and open_call_range <= 0.022 and open_put_range >= 0.02 and open_put_range <= 0.022:
condor = self.Iron_Condors[Strikes]
premium = self.Iron_Condors[Strikes].Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
if self.Two_Premium is None:
self.Two_Premium = condor
if open_call_range >= 0.03 and open_call_range <= 0.032 and open_put_range >= 0.03 and open_put_range <= 0.032:
condor = self.Iron_Condors[Strikes]
premium = self.Iron_Condors[Strikes].Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
if self.Three_Premium is None:
self.Three_Premium = condor
if open_call_range >= 0.015 and open_call_range <= 0.017 and open_put_range >= 0.015 and open_put_range <= 0.017:
condor = self.Iron_Condors[Strikes]
premium = self.Iron_Condors[Strikes].Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
if self.One_Five_Premium is None:
self.One_Five_Premium = condor
for x in self.Iron_Condors.keys():
condor = self.Iron_Condors[x]
self.Condor_List.append((condor.Weight, condor))
self.Condor_List.sort(key=lambda x: x[0], reverse = True)
for x in self.Condor_List:
condor = x[1]
if condor.Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice) >= 0.07:
self.Indicator_Average_Call_Deque.appendleft(condor.open_call_range)
self.Indicator_Average_Put_Deque.appendleft(condor.open_put_range)
if len(self.Indicator_Average_Call_Deque) == 10 and len(self.Indicator_Average_Put_Deque) == 10:
self.Indicator_Average_Call = sum(self.Indicator_Average_Call_Deque) / len(self.Indicator_Average_Call_Deque)
self.Indicator_Average_Put = sum(self.Indicator_Average_Put_Deque) / len(self.Indicator_Average_Put_Deque)
break
self.Created_Combinations_Today = True
put_list.clear()
call_list.clear()
put_3_expiry.clear()
call_3_expiry.clear()
put_3_min_distances_buy.clear()
put_3_min_distances_sell.clear()
put_3_min_distances_sorted_buy.clear()
put_3_min_distances_sorted_sell.clear()
call_3_min_distances_buy.clear()
call_3_min_distances_sell.clear()
call_3_min_distances_sorted_buy.clear()
call_3_min_distances_sorted_sell.clear()
premium_list = []
if len(self.Premium_List) == config.AVG_DAYS:
self.Current_Average = stats.mean(self.Premium_List)
if not self.Portfolio.Invested or (self.Portfolio.Invested and self.Allow_Re_enter and not self.Averaged_Down):
if not self.Entered_With_PT and not self.Portfolio.Invested or (self.Portfolio.Invested and self.Allow_Re_enter and not self.Averaged_Down):
for x in self.List_To_Look_Up:
condor = self.Iron_Condors[x]
if not condor.Sent_Already:
condor_distance_put = self.Securities[self.Spy].Price - condor.Put_Sell.Strike
condor_distance_call = condor.Call_Sell.Strike - self.Securities[self.Spy].Price
put_call_distance = abs(condor_distance_put - condor_distance_call)
strike_Gap = condor.Call_Buy.Strike - condor.Call_Buy.Strike
percentage_call = ((condor.Call_Sell.Strike - self.Securities[self.Spy].Price) / self.Securities[self.Spy].Price)
percentage_put = ((self.Securities[self.Spy].Price - condor.Put_Sell.Strike) / condor.Put_Sell.Strike)
percentage = ((abs(self.Securities[self.Spy].Price - condor.Put_Sell.Strike) / self.Securities[self.Spy].Price) + (abs(self.Securities[self.Spy].Price - condor.Call_Sell.Strike) / self.Securities[self.Spy].Price)) / 2
if config.USE_5_5:
if self.Time.weekday() == 0 and len(self.Monday_Premium_Queue) == 5:
premiums = self.Premium_List + self.Monday_Premium_Queue
self.Current_Average = stats.mean(premiums)
elif self.Time.weekday() == 2 and len(self.Wednesday_Premium_Queue) == 5:
premiums = self.Premium_List + self.Wednesday_Premium_Queue
self.Current_Average = stats.mean(premiums)
elif self.Time.weekday() == 4 and len(self.Friday_Premium_Queue) == 5:
premiums = self.Premium_List + self.Friday_Premium_Queue
self.Current_Average = stats.mean(premiums)
if self.Current_Average != 0 and self.Current_Average is not None:
self.Previous_Average = self.Current_Average
if config.USE_AVG:
if self.Current_Average is not None and self.Premium_At_Open is not None:
if self.Premium_At_Open > self.Current_Average:
if self.Current_Average != 0 and self.Premium_At_Open != 0:
premium_higher_by = (abs(self.Premium_At_Open-self.Current_Average)) / self.Current_Average
elif self.Current_Average == 0 and self.Premium_At_Open != 0:
premium_higher_by = (abs(self.Premium_At_Open-self.Previous_Average)) / self.Previous_Average
elif self.Premium_At_Open == 0:
premium_higher_by = 0.0000001
distance_increase_factor = 1 + (abs(premium_higher_by) / config.PREMIUM_RANGE_RATIO)
self.Minimum_Distance = min((self.Minimum_Distance * distance_increase_factor),0.034)
else:
self.Minimum_Distance = config.MINIMUM_DISTANCE
if self.Avg_Down_Time is not None and (self.Avg_Down_Time + timedelta(minutes=config.MINUTES_TO_LOWER_THRESHOLD)) >= self.Time:
self.Premium_Threshold = config.LOWERED_THRESHOLD
strike_Gap = condor.Call_Buy.Strike - condor.Call_Sell.Strike
ssss = condor.Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice)
if strike_Gap <= 5 and config.MAX_PREMIUM >= condor.Calculate_Premium(self.Securities[condor.Put_Buy.Symbol].AskPrice, self.Securities[condor.Put_Sell.Symbol].BidPrice, self.Securities[condor.Call_Buy.Symbol].AskPrice, self.Securities[condor.Call_Sell.Symbol].BidPrice) >= self.Premium_Threshold and condor.open_call_range >= self.Minimum_Distance and condor.open_put_range >= self.Minimum_Distance and not self.Dont_Enter:
percentage_call_ = ((condor.Call_Sell.Strike - self.Securities[self.Spy].Price) / self.Securities[self.Spy].Price)
percentage_put_ = ((self.Securities[self.Spy].Price - condor.Put_Sell.Strike) / condor.Put_Sell.Strike)
percentage_call_ = round(percentage_call_, 3)
percentage_put_ = round(percentage_put_, 3)
Breakeven_Price_Call = condor.Call_Sell.Strike + condor.Premium
Breakeven_Price_Put = condor.Put_Sell.Strike - condor.Premium
id_ = "-723291833"
message__ = f" THIS IS AN ALERT USING RANGE FROM OPEN \n PUT RANGE %{condor.open_put_range} FROM OPEN \n CALL RANGE %{condor.open_call_range} FROM OPEN \n Action Expiry Strike Type \n Sell {(condor.Put_Sell.Expiry).strftime('%b%d%-y')} ${condor.Put_Sell.Strike} Put \n Buy {(condor.Put_Buy.Expiry).strftime('%b%d%-y')} ${condor.Put_Buy.Strike} Put \n Buy {(condor.Call_Buy.Expiry).strftime('%b%d%-y') } ${condor.Call_Buy.Strike} Call \n Sell {(condor.Call_Sell.Expiry).strftime('%b%d%-y')} ${condor.Call_Sell.Strike} Call \n \n \n \n Price ${self.Securities[self.Spy].Price} \n Premium {condor.Premium} \n Strike diff ${abs(condor.Put_Sell.Strike - condor.Put_Buy.Strike)} \n Breakeven Price Call {Breakeven_Price_Call} \n Breakeven Price Put {Breakeven_Price_Put} \n Current Call %{percentage_call_} \n Current Put %{percentage_put_} \n expiry {expiry_date}"
token_ = "5616527268:AAGkUitVosgYOntpLb_JU5HK_SSXm86GsVs"
if not condor.Stopped_Out:
if not condor.Profit_Taken or self.Allow_Re_enter:
if not self.Traded_Today or self.Allow_Re_enter:
if not self.Entered_With_PT and not self.Portfolio.Invested or self.Allow_Re_enter:
if self.Portfolio.Invested:
if condor != self.Invested_Condor:
continue
else:
self.Averaged_Down = True
self.Trade_Counter += 1
self.MarketOrder(condor.Put_Buy.Symbol, self.Amount_Of_Contracts, tag =f"{percentage_put_} Strike {condor.Put_Buy.Strike} pm {condor.Premium} Price {Price}")
self.MarketOrder(condor.Put_Sell.Symbol, -self.Amount_Of_Contracts, tag =f"{percentage_put_} Strike {condor.Put_Sell.Strike} pm {condor.Premium} Price {Price}")
self.MarketOrder(condor.Call_Buy.Symbol, self.Amount_Of_Contracts, tag =f"{percentage_call_} Strike {condor.Call_Buy.Strike} pm {condor.Premium} Price {Price}")
self.MarketOrder(condor.Call_Sell.Symbol, -self.Amount_Of_Contracts, tag =f"{percentage_call_} Strike {condor.Call_Sell.Strike} pm {condor.Premium} Price {Price}")
self.Avg_Down_Time = self.Time
self.Put_Buy_Strike = condor.Put_Buy.Strike
self.Put_Sell_Strike = condor.Put_Sell.Strike
self.Call_Buy_Strike = condor.Call_Buy.Strike
self.Call_Sell_Strike = condor.Call_Sell.Strike
self.Invested_Condor = condor
condor.Entry_Premium = condor.Premium
condor.Margin_Required = ((condor.Put_Buy.Strike - condor.Put_Sell.Strike) * 100) * self.Amount_Of_Contracts
self.Traded_Today = True
self.Counter = self.Counter + 1
self.Iron_Condor_Counter = self.Iron_Condor_Counter + 1
self.Invested_Condor.Entry_Time = self.Time
self.Entered = True
if self.Averaged_Down:
break
if self.Allow_Re_enter:
self.Entered_With_PT = True
def Assign_Weighting(self, open_call_range, open_put_range, strike_diff):
call_range_diff = open_call_range - config.RANGE_MAX
put_range_diff = open_put_range - config.RANGE_MAX
call_put_diff = abs(open_call_range - open_put_range)
call_put_diff = math.ceil(call_put_diff)
call_range_diff = round(call_range_diff, 3)
put_range_diff = round(put_range_diff, 3)
call_range_diff = (call_range_diff * 10)
put_range_diff = (put_range_diff * 10)
if call_put_diff != 0:
range_weight = ((call_range_diff * config.RANGE_WEIGHT) + (put_range_diff * config.RANGE_WEIGHT)) / call_put_diff
else:
range_weight = ((call_range_diff * config.RANGE_WEIGHT) + (put_range_diff * config.RANGE_WEIGHT))
weight = range_weight
return weight
def UniverseFunc(self, universe):
Price = self.Securities[self.Spy].Price
ATM = self.Securities[self.Spy].Price * 0.06
return universe.IncludeWeeklys().Strikes(-ATM, ATM).Expiration(TimeSpan.FromDays(0),TimeSpan.FromDays(0))
from AlgorithmImports import *
from collections import deque
import statistics as stats
import config
class ReEntry():
def __init__(self, algorithm, symbol):
self.algorithm = algorithm
self.symbol = symbol
self.Avg_Down_Type = config.AVG_DOWN_TYPE
self.Underlying_Increment = config.UNDERLYING_PERCENT_MOVE_INCREMENT/100
self.Premium_Increase = config.PREMIUM_INCREASE/100
def Check_Conditions(self, invested_condor, open_price, range_today):
increment_count = range_today / self.Underlying_Increment
from AlgorithmImports import *
from collections import deque
class RollingHighestHighLowestLow():
def __init__(self, algorithm, symbol):
self.algorithm = algorithm
self.symbol = symbol
self.HH = None
self.LL = None
self.CB = None
self.CS = None
self.PS = None
self.PB = None
self.Check_Range = False
self.Yesterday_High = None
self.Yesterday_Low = None
self.Weekly_High_Queue = deque(maxlen=5)
self.Weekly_Low_Queue = deque(maxlen=5)
self.Weekly_High = None
self.Weekly_Low = None
self.Bar_Consolidator = TradeBarConsolidator(timedelta(minutes=1))
self.algorithm.SubscriptionManager.AddConsolidator(self.symbol, self.Bar_Consolidator)
self.Bar_Consolidator.DataConsolidated += self.Update_HH_LL
self.Opening_Vix = None
self.Opening_Atr = None
def Update_HH_LL(self, sender, bar):
high = bar.High
low = bar.Low
self.Weekly_High_Queue.appendleft(high)
self.Weekly_Low_Queue.appendleft(low)
if len(self.Weekly_High_Queue) == 5:
self.Weekly_High = max(self.Weekly_High_Queue)
self.Weekly_Low = min(self.Weekly_Low_Queue)
from AlgorithmImports import *
from collections import deque
import statistics as stats
import config
class SlAtEntry():
def __init__(self, algorithm):
self.algorithm = algorithm
self.Profit_Threshold = 1 - (config.PROFIT_THRESHOLD/100)
self.Reached = False
self.Absolute_Stop_Loss = config.ABSOLUTE_STOP_LOSS
self.algorithm.Schedule.On(self.algorithm.DateRules.EveryDay(), self.algorithm.TimeRules.At(9,0), self.Reset)
self.Profit_Exit_Time = config.PROFIT_EXIT_TIME
self.Timed_Profit_Threshold = 1 - (config.TIMED_PROFIT_THRESHOLD/100)
def Reset(self):
self.Reached = False
def Calculate_Exit(self, invested_condor):
if invested_condor.Current_Profit <= self.Profit_Threshold * invested_condor.Entry_Premium:
self.Reached = True
else:
return False
if invested_condor.Reached_Threshold or self.Reached:
if invested_condor.Current_Profit >= invested_condor.Entry_Premium:
return True
else:
return False
else:
return False
def Calculate_Timed_Profit_Exit(self, invested_condor):
if self.algorithm.Time <= invested_condor.Entry_Time + timedelta(minutes=self.Profit_Exit_Time):
if invested_condor.Current_Profit <= self.Timed_Profit_Threshold * invested_condor.Entry_Premium:
return True
else:
return False
else:
return False
def Calculate_Absolute_Stop_Loss(self, invested_condor):
if invested_condor.Current_Profit - invested_condor.Entry_Premium >= self.Absolute_Stop_Loss:
return True
else:
return False