Add option strategy generator

.github/workflows/cicd.yml

@@ -22,4 +22,5 @@ jobs:
         run: |
           source venv/bin/activate
           mypy optionsmonkey/ --ignore-missing-imports
+          black . --check --diff --color
           pytest

README.md

@@ -148,7 +148,7 @@ For options, the dictionary should contain up to 7 keys:
 
     Either "buy" or "sell". It is mandatory.
 
-- "prevpos" : float
+- "prev_pos" : float
 
     Premium effectively paid or received in a previously opened position. If positive, it means that the position remains open and the payoff calculation takes this price into account, not the current price of the option. If negative, it means that the position is closed and the difference between this price and the current price is considered in the payoff calculation.
 
@@ -174,7 +174,7 @@ For stocks, the dictionary should contain up to 4 keys:
 
     Either "buy" or "sell". It is mandatory.
 
-- "prevpos" : float
+- "prev_pos" : float
 
     Stock price effectively paid or received in a previously opened position. If positive, it means that the position remains open and the payoff calculation takes this price into account, not thecurrent price of the stock. If negative, it means that the position is closed and the difference between this price and the current price is considered in the payoff calculation.
 
@@ -188,7 +188,7 @@ For a non-determined previously opened position to be closed, which might consis
 
     It must be "closed". It is mandatory.
 
-- "prevpos" : float
+- "prev_pos" : float
 
     The total value of the position to be closed, which can be positive if it made a profit or negative if it is a loss. It is mandatory.
 

examples/.ipynb_checkpoints/strategies-checkpoint.ipynb

@@ -0,0 +1,110 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "outputs": [
+    {
+     "data": {
+      "text/plain": "{'language': 'en-US',\n 'region': 'US',\n 'quoteType': 'EQUITY',\n 'typeDisp': 'Equity',\n 'quoteSourceName': 'Delayed Quote',\n 'triggerable': True,\n 'customPriceAlertConfidence': 'HIGH',\n 'currency': 'USD',\n 'marketState': 'CLOSED',\n 'regularMarketChangePercent': -0.6149154,\n 'regularMarketPrice': 404.06,\n 'exchange': 'NMS',\n 'shortName': 'Microsoft Corporation',\n 'longName': 'Microsoft Corporation',\n 'messageBoardId': 'finmb_21835',\n 'exchangeTimezoneName': 'America/New_York',\n 'exchangeTimezoneShortName': 'EST',\n 'gmtOffSetMilliseconds': -18000000,\n 'market': 'us_market',\n 'esgPopulated': False,\n 'firstTradeDateMilliseconds': 511108200000,\n 'priceHint': 2,\n 'postMarketChangePercent': -0.17571436,\n 'postMarketTime': 1708131600,\n 'postMarketPrice': 403.35,\n 'postMarketChange': -0.70999146,\n 'regularMarketChange': -2.5,\n 'regularMarketTime': 1708117201,\n 'regularMarketDayHigh': 408.27,\n 'regularMarketDayRange': '403.53 - 408.27',\n 'regularMarketDayLow': 403.53,\n 'regularMarketVolume': 22296495,\n 'regularMarketPreviousClose': 406.56,\n 'bid': 403.2,\n 'ask': 403.5,\n 'bidSize': 10,\n 'askSize': 9,\n 'fullExchangeName': 'NasdaqGS',\n 'financialCurrency': 'USD',\n 'regularMarketOpen': 407.96,\n 'averageDailyVolume3Month': 25389093,\n 'averageDailyVolume10Day': 22286910,\n 'fiftyTwoWeekLowChange': 158.45,\n 'fiftyTwoWeekLowChangePercent': 0.6451284,\n 'fiftyTwoWeekRange': '245.61 - 420.82',\n 'fiftyTwoWeekHighChange': -16.76001,\n 'fiftyTwoWeekHighChangePercent': -0.039827026,\n 'fiftyTwoWeekLow': 245.61,\n 'fiftyTwoWeekHigh': 420.82,\n 'fiftyTwoWeekChangePercent': 59.916092,\n 'dividendDate': 1710374400,\n 'earningsTimestamp': 1706653800,\n 'earningsTimestampStart': 1713869940,\n 'earningsTimestampEnd': 1714392000,\n 'trailingAnnualDividendRate': 2.86,\n 'trailingPE': 36.500454,\n 'dividendRate': 3.0,\n 'trailingAnnualDividendYield': 0.007034632,\n 'dividendYield': 0.74,\n 'epsTrailingTwelveMonths': 11.07,\n 'epsForward': 12.38,\n 'epsCurrentYear': 10.81,\n 'priceEpsCurrentYear': 37.378353,\n 'sharesOutstanding': 7430439936,\n 'bookValue': 32.06,\n 'fiftyDayAverage': 388.6076,\n 'fiftyDayAverageChange': 15.452393,\n 'fiftyDayAverageChangePercent': 0.039763484,\n 'twoHundredDayAverage': 348.3632,\n 'twoHundredDayAverageChange': 55.696808,\n 'twoHundredDayAverageChangePercent': 0.15988144,\n 'marketCap': 3002343620608,\n 'forwardPE': 32.638126,\n 'priceToBook': 12.603243,\n 'sourceInterval': 15,\n 'exchangeDataDelayedBy': 0,\n 'averageAnalystRating': '1.7 - Buy',\n 'tradeable': False,\n 'cryptoTradeable': False,\n 'displayName': 'Microsoft',\n 'symbol': 'MSFT'}"
+     },
+     "execution_count": 7,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "from optionsmonkey.api import get_options_chain\n",
+    "from optionsmonkey.utils import get_fridays_date\n",
+    "from optionsmonkey.strategies import generate_strategies\n",
+    "\n",
+    "\n",
+    "friday_in_3_weeks = get_fridays_date(weeks_until=3)\n",
+    "options = get_options_chain('MSFT', friday_in_3_weeks)\n",
+    "options.underlying"
+   ],
+   "metadata": {
+    "collapsed": false,
+    "ExecuteTime": {
+     "end_time": "2024-02-18T21:51:38.193175Z",
+     "start_time": "2024-02-18T21:51:37.970843Z"
+    }
+   },
+   "id": "83463b241c45c82b",
+   "execution_count": 7
+  },
+  {
+   "cell_type": "code",
+   "outputs": [
+    {
+     "ename": "AttributeError",
+     "evalue": "'dict' object has no attribute 'regular_market_price'",
+     "output_type": "error",
+     "traceback": [
+      "\u001B[0;31m---------------------------------------------------------------------------\u001B[0m",
+      "\u001B[0;31mAttributeError\u001B[0m                            Traceback (most recent call last)",
+      "Cell \u001B[0;32mIn[6], line 1\u001B[0m\n\u001B[0;32m----> 1\u001B[0m strike \u001B[38;5;241m=\u001B[39m \u001B[43moptions\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43munderlying\u001B[49m\u001B[38;5;241;43m.\u001B[39;49m\u001B[43mregular_market_price\u001B[49m \u001B[38;5;241m+\u001B[39m \u001B[38;5;241m10\u001B[39m\n\u001B[1;32m      2\u001B[0m strike\n",
+      "\u001B[0;31mAttributeError\u001B[0m: 'dict' object has no attribute 'regular_market_price'"
+     ]
+    }
+   ],
+   "source": [
+    "strike = options.underlying.regular_market_price + 10\n",
+    "strike"
+   ],
+   "metadata": {
+    "collapsed": false,
+    "ExecuteTime": {
+     "end_time": "2024-02-18T21:51:16.365671Z",
+     "start_time": "2024-02-18T21:51:16.358319Z"
+    }
+   },
+   "id": "9ff9d78568685850",
+   "execution_count": 6
+  },
+  {
+   "cell_type": "markdown",
+   "source": [
+    "# covered call"
+   ],
+   "metadata": {
+    "collapsed": false
+   },
+   "id": "7af69ff8acb39e1e"
+  },
+  {
+   "cell_type": "code",
+   "outputs": [],
+   "source": [
+    "\n",
+    "\n",
+    "strategy = generate_strategies('covered-call', )"
+   ],
+   "metadata": {
+    "collapsed": true
+   },
+   "id": "initial_id",
+   "execution_count": 0
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 2
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython2",
+   "version": "2.7.6"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 5
+}

examples/call_spread.ipynb

@@ -221,7 +221,7 @@
     }
    ],
    "source": [
-    "s,pl_total=st.getPL()\n",
+    "s,pl_total=st.get_pl()\n",
     "zeroline=zeros(s.shape[0])\n",
     "plt.xlabel(\"Stock price\")\n",
     "plt.ylabel(\"Profit/Loss\")\n",
@@ -381,7 +381,7 @@
     }
    ],
    "source": [
-    "s,pl_total=st.getPL()\n",
+    "s,pl_total=st.get_pl()\n",
     "zeroline=zeros(s.shape[0])\n",
     "plt.xlabel(\"Stock price\")\n",
     "plt.ylabel(\"Profit/Loss\")\n",

examples/covered_call.ipynb

@@ -113,7 +113,7 @@
    "cell_type": "markdown",
    "metadata": {},
    "source": [
-    "Profit/loss profiles for each leg and the overall strategy are obtained by calling the *getPL()* method and plotted at the option's maturity."
+    "Profit/loss profiles for each leg and the overall strategy are obtained by calling the *get_pl()* method and plotted at the option's maturity."
    ]
   },
   {
@@ -145,11 +145,11 @@
     }
    ],
    "source": [
-    "s,pl_total=st.getPL()\n",
+    "s,pl_total=st.get_pl()\n",
     "leg=[]\n",
     "\n",
     "for i in range(len(strategy)):\n",
-    "    leg.append(st.getPL(i)[1])\n",
+    "    leg.append(st.get_pl(i)[1])\n",
     "    \n",
     "zeroline=zeros(s.shape[0])\n",
     "plt.xlabel(\"Stock price\")\n",

optionsmonkey/api.py

@@ -1,16 +1,9 @@
 import datetime as dt
-from dataclasses import dataclass
-from typing import Any
 
 import pandas as pd
 from yfinance import Ticker
 
-
-@dataclass
-class OptionsChain:
-    calls: pd.DataFrame
-    puts: pd.DataFrame
-    underlying: dict[str, Any]  # TODO: pydantic model
+from optionsmonkey.models import OptionsChain
 
 
 def get_options_chain(ticker: str, expiration_date: dt.date) -> OptionsChain: