Module: IB::Calendar

Extended by:
SpreadPrototype
Defined in:
lib/ib/spread_prototypes/calendar.rb

Class Method Summary collapse

Methods included from SpreadPrototype

build, defaults, initialize_spread, optional, parameters, requirements

Class Method Details

.build(from:, **fields) ⇒ Object

Build Vertical out of an Underlying

-----------------------------------------
Needed attributes: :strikes, :expiry, right

Optional: :trading_class, :multiplier

 Call with 
 IB::Calendar.build from: IB::Contract,	front: an_expiry,  back: an_expiry,

right: or call, strike: a_strike



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# File 'lib/ib/spread_prototypes/calendar.rb', line 38

def build from:, **fields
	underlying = if from.is_a?  IB::Option
								 fields[:right] = from.right unless fields.key?(:right) 
								 fields[:front] = from.expiry unless fields.key(:front)
								 fields[:strike] = from.strike unless fields.key?(:strike)
								 fields[:expiry] = from.expiry unless fields.key?(:expiry)
								 fields[:trading_class] = from.trading_class unless fields.key?(:trading_class) || from.trading_class.empty?
								 fields[:multiplier] = from.multiplier unless fields.key?(:multiplier) || from.multiplier.to_i.zero?
                    details = from.verify.first.contract_detail 
								 IB::Contract.new( con_id: details.under_con_id, 
																	currency: from.currency).verify.first.essential
							 else
								 from
							 end
	kind = { :front => fields.delete(:front), :back => fields.delete(:back) }
	error "Specifiaction of :front and :back expiries necessary, got: #{kind.inspect}" if kind.values.any?(nil)
	initialize_spread( underlying ) do | the_spread |
       leg_prototype  = IB::Option.new underlying.attributes
         .slice( :currency, :symbol, :exchange)
         .merge(defaults)
         .merge( fields )
		kind[:back] = IB::Spread.transform_distance kind[:front], kind[:back]
		leg_prototype.sec_type = 'FOP' if underlying.is_a?(IB::Future)
       leg1 =  leg_prototype.merge(expiry: kind[:front] ).verify.first
       leg2 = leg_prototype.merge(expiry: kind[:back] ).verify.first
       unless leg2.is_a? IB::Option
         leg2_trading_class = ''
         leg2 = leg_prototype.merge(expiry: kind[:back] ).verify.first

       end
       the_spread.add_leg leg1 , action: :buy
       the_spread.add_leg leg2 , action: :sell
		error "Initialisation of Legs failed" if the_spread.legs.size != 2
		the_spread.description =  the_description( the_spread )
	end
end

.defaults ⇒ Object 



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# File 'lib/ib/spread_prototypes/calendar.rb', line 75

def defaults
super.merge expiry: IB::Symbols::Futures.next_expiry, 
			right: :put
end

.fabricate(master, the_other_expiry) ⇒ Object

Fabricate a Calendar-Spread from a Master-Option

-----------------------------------------
If one Leg is known, the other is build by just changing the expiry
The second leg is always SOLD !

 Call with 
 IB::Calendar.fabricate  an_option, the_other_expiry



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# File 'lib/ib/spread_prototypes/calendar.rb', line 16

def fabricate master, the_other_expiry

	error "Argument must be a IB::Future or IB::Option" unless  [:option, :future_option, :future ].include? master.sec_type
     m = master.verify.first
     the_other_expiry =  the_other_expiry.values.first if the_other_expiry.is_a?(Hash)
     back = IB::Spread.transform_distance m.expiry, the_other_expiry
     calendar =  m.roll expiry: back
     error "Initialisation of Legs failed" if calendar.legs.size != 2
	calendar.description =  the_description( calendar )
     calendar  #  return fabricated spread
end

.the_description(spread) ⇒ Object 



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# File 'lib/ib/spread_prototypes/calendar.rb', line 81

def the_description spread
x= [ spread.combo_legs.map(&:weight) , spread.legs.map( &:last_trading_day )].transpose
"<Calendar #{spread.symbol} #{spread.legs.first.right}(#{spread.legs.first.strike})[#{x.map{|w,l_t_d| "#{w} :#{Date.parse(l_t_d).strftime("%b %Y")} "}.join( '|+|' )} >"
end