105 lines
3.5 KiB
Bash
Executable File
105 lines
3.5 KiB
Bash
Executable File
#!/bin/bash
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set -x
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IFS=$'\0'
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. helpers.sh
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marketOpen=$([[ $(./getMarketHours.sh | jq '.option[].isOpen' | grep true | wc -l) -ne 0 ]] && echo true || echo false)
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if [[ ${marketOpen} == false ]]; then
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throw "The market is closed, exiting." info 2
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fi
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daysOutMin=87
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daysOutMax=91
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deltaMin=0.35
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deltaMax=0.40
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marketOpen=$([[ $(./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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latestFile="$(ls data/`date +%Y-%m-%d`/*SPY* | sort | tail -n 1)"
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log "Latest File: _${latestFile}_" debug
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inputFile=temp/orderInputFile.json
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bzip2 -dc < "${latestFile}" > "${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=$(jq -r '.callExpDateMap | keys | .[]' "${inputFile}" | sort -r -t ":" +2 | awk -F ":" -e '{theDay=$2; if (theDay < '${daysOutMin}') { print lastDay; exit; } else { lastDay=$0; } }')
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log "Date-Key: _${dateKey}_" debug
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daysOut=$(cut -d : -f 2 <<< ${dateKey})
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if [[ ${daysOut} -gt ${daysOutMax} ]]; then
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throw "This option is too far in the future. _${daysOut}_ is bigger than the max days in the future is _${daysOutMax}_. Exiting." info
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fi
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#Looking for leg, between the specified deltas
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# JTR - the "floor" is to only find the prices at the integer strikes, but I changed my mind about that...
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#jq '.callExpDateMap."'${dateKey}'"[]|map({symbol, delta, strikePrice,bid,ask}) | .[] | select(.delta >= '${deltaMin}' and .delta <= '${deltaMax}') | select( (.strikePrice | floor) == .strikePrice)' "${inputFile}" | tail -n 7 > temp/longLeg.json
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jq '.callExpDateMap."'${dateKey}'"[]|map({symbol, delta, strikePrice,bid,ask}) | .[] | select(.delta >= '${deltaMin}' and .delta <= '${deltaMax}')' "${inputFile}" | tail -n 7 > temp/longLeg.json
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numLinesInLeg=$(wc -l temp/longLeg.json | cut -c1)
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if [[ 7 -ne ${numLinesInLeg} ]]; then
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throw "No suitable long leg found - exiting." warning 1
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fi
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longStrike=$(jq -r '.strikePrice' < temp/longLeg.json)
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longBid=$(jq -r '.bid' < temp/longLeg.json)
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longAsk=$(jq -r '.ask' < temp/longLeg.json)
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longSymbol=$(jq -r '.symbol' < temp/longLeg.json)
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log "Long Symbol: _${longSymbol}_ Strike: _${longStrike}_ Bid: _${longBid}_ Ask: _${longAsk}_" info
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#Check if this order has already been submitted.
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./getOrders.sh | grep '\(WORKING\|FILLED\),'"${longSymbol:0:12}" > temp/existingOrders.$$
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if [[ $(wc -l < temp/existingOrders.$$) -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=0.0
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# Get the Middle price...
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price=$(echo "scale=2; ((${longBid}+${longAsk})/2) + ${priceOffset}" | bc)
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orderJson=$(jq -c <<-EOM
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{
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"orderType": "LIMIT",
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"session": "NORMAL",
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"price": ${price},
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"duration": "DAY",
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"orderStrategyType": "SINGLE",
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"quantity": 1,
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"orderLegCollection": [
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{
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"instruction": "BUY_TO_OPEN",
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"quantity": 1,
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"instrument": {
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"symbol": "${longSymbol}",
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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 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 Roth)/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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log "Result: _$?_" debug
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