140 lines
5.4 KiB
Bash
Executable File
140 lines
5.4 KiB
Bash
Executable File
#!/bin/bash
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set -x
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set -e
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IFS=$'\0'
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myPID=$$
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. helpers.sh
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marketOpen=$([[ $(./getMarketHours.sh | jq '.option[].isOpen' | grep true | wc -l) -ne 0 ]] && echo true || echo false)
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if [[ ${marketOpen} == false ]]; then
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throw "The market is closed, exiting." info 2
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fi
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inputFile="$1"
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if [[ "" == "$inputFile" ]]; then
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inputFile=temp/orderInputFile.$$.json
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./getOptionChain.sh '$SPX' fromDate $(date "+%Y-%m-%d" -d "+1 days") toDate $(date "+%Y-%m-%d" -d "+4 days") > "${inputFile}"
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fi
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if [[ ! -f "${inputFile}" ]]; then
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throw "ERROR: Input file _${inputFile}_ does not exist." err 1
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fi
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dateKey=$(jq -r '.putExpDateMap | keys | .[]' "${inputFile}" | head -n 1)
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log "Date-Key: _${dateKey}_" debug
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underlyingPrice=$(jq ".underlyingPrice" "${inputFile}")
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log "Underlying Price: _${underlyingPrice}_" debug
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atmStrike=$(jq -r '.callExpDateMap[]|keys[]' "${inputFile}" | sort -n | awk -e '{lastStrike=$1; if ($1 > '${underlyingPrice}') {print $1; exit } }')
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optionRoot=SPXW #I only want the PM expiry (SPX without the W is AM expiry)
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jq '.putExpDateMap."'${dateKey}'"[]|map({symbol,delta,strikePrice,bid,ask,optionRoot}) |.[] | select(.optionRoot == "'${optionRoot}'" and .strikePrice=='${atmStrike}') ' "${inputFile}" | tail -n 8 > temp/shortLegP.json
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shortStrikeP=$(jq -r '.strikePrice' < temp/shortLegP.json)
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shortBidP=$(jq -r '.bid' < temp/shortLegP.json)
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shortAskP=$(jq -r '.ask' < temp/shortLegP.json)
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shortSymbolP=$(jq -r '.symbol' < temp/shortLegP.json)
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log "Short Put Symbol: _${shortSymbolP}_ Strike: _${shortStrikeP}_ Bid: _${shortBidP}_ Ask: _${shortAskP}_}" info
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jq '.callExpDateMap."'${dateKey}'"[]|map({symbol,delta,strikePrice,bid,ask,optionRoot}) |.[] | select(.optionRoot == "'${optionRoot}'" and .strikePrice=='${atmStrike}') ' "${inputFile}" | tail -n 8 > temp/shortLegC.json
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shortStrikeC=$(jq -r '.strikePrice' < temp/shortLegC.json)
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shortBidC=$(jq -r '.bid' < temp/shortLegC.json)
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shortAskC=$(jq -r '.ask' < temp/shortLegC.json)
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shortSymbolC=$(jq -r '.symbol' < temp/shortLegC.json)
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log "Short Call Symbol: _${shortSymbolC}_ Strike: _${shortStrikeC}_ Bid: _${shortBidC}_ Ask: _${shortAskC}_" info
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jq '.putExpDateMap."'${dateKey}'"[]|map({symbol,delta,strikePrice,bid,ask,optionRoot}) | .[] | select(.optionRoot == "'${optionRoot}'" and .strikePrice >= '${shortStrikeP}'-5 and .strikePrice < '${shortStrikeP}')' "${inputFile}" | head -n 8 > temp/longLegP.json
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longStrikeP=$(jq -r '.strikePrice' < temp/longLegP.json)
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longBidP=$(jq -r '.bid' < temp/longLegP.json)
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longAskP=$(jq -r '.ask' < temp/longLegP.json)
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longSymbolP=$(jq -r '.symbol' < temp/longLegP.json)
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log "Long Symbol: _${longSymbolP}_ Strike: _${longStrikeP}_ Bid: _${longBidP}_ Ask: _${longAskP}_" info
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#Check if this order has already been submitted.
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jq '.callExpDateMap."'${dateKey}'"[]|map({symbol,delta,strikePrice,bid,ask,optionRoot}) | .[] | select(.optionRoot == "'${optionRoot}'" and .strikePrice >= '${shortStrikeC}'+5 and .strikePrice > '${shortStrikeP}')' "${inputFile}" | head -n 8 > temp/longLegC.json
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longStrikeC=$(jq -r '.strikePrice' < temp/longLegC.json)
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longBidC=$(jq -r '.bid' < temp/longLegC.json)
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longAskC=$(jq -r '.ask' < temp/longLegC.json)
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longSymbolC=$(jq -r '.symbol' < temp/longLegC.json)
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log "Long Symbol: _${longSymbolC}_ Strike: _${longStrikeC}_ Bid: _${longBidC}_ Ask: _${longAskC}_" info
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#Check if this order has already been submitted.
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./getOrders.sh -daysBack 1 | (grep '\(WORKING\|FILLED\),'${longSymbolC:0:12} || true) > temp/existingOrders.${myPID}
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if [[ $(wc -l < temp/existingOrders.${myPID}) -eq 0 ]];then
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log "Not Yet traded, continuing" info
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else
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throw "Already traded, exiting" info
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fi
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priceOffset=0.00 # try to get a little better price
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#For SPX we need to submit orders at the closest 5cent price
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#To find the closest 5cent price the mathematical solution is
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# 1) Multiply by 20
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# 2) Round to the Coloses full number
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# 3) Divide by 20
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priceOpen=$(echo "scale=2; exact=((${shortBidC}+${shortAskC})/2) + ((${shortBidP}+${shortAskP})/2) - ((${longBidC}+${longAskC})/2) - ((${longBidP}+${longAskP})/2) + ${priceOffset}; scale=0; round5=exact*20/1; scale=2; round5/20" | bc)
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priceOpen=4.75 # All nice calculating a price, but I want those to be filled and reasonably, changing to 475 as 480 failed me on 2024-12-03
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orderJson=$(jq -c <<-EOM
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{
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"orderType": "NET_CREDIT",
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"session": "NORMAL",
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"price": ${priceOpen},
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"duration": "GOOD_TILL_CANCEL",
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"orderStrategyType": "SINGLE",
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"quantity": 1,
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"orderLegCollection": [
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{
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"instruction": "SELL_TO_OPEN",
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"quantity": 1,
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"instrument": {
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"symbol": "${shortSymbolP}",
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"assetType": "OPTION"
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}
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},
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{
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"instruction": "SELL_TO_OPEN",
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"quantity": 1,
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"instrument": {
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"symbol": "${shortSymbolC}",
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"assetType": "OPTION"
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}
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},
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{
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"instruction": "BUY_TO_OPEN",
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"quantity": 1,
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"instrument": {
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"symbol": "${longSymbolP}",
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"assetType": "OPTION"
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}
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},
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{
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"instruction": "BUY_TO_OPEN",
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"quantity": 1,
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"instrument": {
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"symbol": "${longSymbolC}",
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"assetType": "OPTION"
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}
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}
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]
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}
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EOM
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)
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log "Order: _${orderJson}_" debug
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if [[ "${noconfirm}" != "true" ]]; then
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echo ${orderJson} | jq
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echo Enter to continue, Ctrl+C to cancel _${noconfirm}_
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read
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fi
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curl -s -X POST \
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"https://api.schwabapi.com/trader/v1/accounts/$(./getAccountNumbers.sh Regular)/orders" \
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-H "Authorization: Bearer $(./getNewAccessToken.sh)" \
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-H 'accept: */*' \
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-H 'Content-Type: application/json' \
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-d "${orderJson}"
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