Module: IB::Strangle

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

Class Method Summary collapse

Methods included from SpreadPrototype

build, defaults, initialize_spread, optional, parameters, requirements

Class Method Details

.build(from:, **fields) ⇒ Object

Build Strangle out of an Underlying

-----------------------------------------
Needed attributes: :strike, :expiry 

Optional: :trading_class, :multiplier

 Call with 
 IB::Strangle.build from: IB::Contract, p:  a_value,  c:  a_value, expiry: yyyymm(dd)



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# File 'lib/ib/spread_prototypes/strangle.rb', line 44

def build from:, **fields
	underlying = if from.is_a?  IB::Option
								 fields[:p] = from.strike unless fields.key?(:p) || from.right == :call
								 fields[:c] = from.strike unless fields.key?(:c) || from.right == :puta
								 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, 
																  exchange: from.exchange)
																 .verify.first
																 .essential
							 else
								 from
							 end
	kind = { :p => fields.delete(:p), :c => fields.delete(:c) }
	initialize_spread( underlying ) do | the_spread |
       leg_prototype  = IB::Option.new from.attributes
         .slice( :currency, :symbol, :exchange)
         .merge(defaults)
         .merge( fields )
												
       leg_prototype.sec_type = 'FOP' if underlying.is_a?(IB::Future)
       the_spread.add_leg leg_prototype.merge( right: :put, strike: kind[:p] ).verify.first
       the_spread.add_leg leg_prototype.merge( right: :call, strike: kind[:c] ).verify.first
		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/strangle.rb', line 76

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

.fabricate(master, distance) ⇒ Object

Fabricate a Strangle from a Master-Option

-----------------------------------------
If one Leg is known, the other is build by flipping the right and adjusting the strike by distance

 Call with 
 IB::Strangle.fabricate an_option, numeric_value



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# File 'lib/ib/spread_prototypes/strangle.rb', line 15

def fabricate master, distance

	flip_right = ->(the_right){  the_right == :put ? :call : :put   }

	error "Argument must be an option" unless [:option, :futures_option].include? master.sec_type


	initialize_spread( master ) do | the_spread |
		the_spread.add_leg master
		the_spread.add_leg( master
											 .essential
											 .merge( right: flip_right[master.right],
															 strike: master.strike.to_f + distance.to_f ,
														   local_symbol: '',
														   con_id: 0 ) )
		error "Initialisation of Legs failed" if the_spread.legs.size != 2
		the_spread.description =  the_description( the_spread )
	end
end

.requirements ⇒ Object 



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

def requirements
				super.merge p: "the strike of the put option",
				c: "the strike of the call option",
			  expiry: "Expiry expressed as »yyyymm(dd)« (String or Integer) )"
end

.the_description(spread) ⇒ Object 



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# File 'lib/ib/spread_prototypes/strangle.rb', line 89

def the_description spread
     "<Strangle #{spread.symbol}(#{spread.legs.map(&:strike).join(",")})[#{Date.parse(spread.legs.first.last_trading_day).strftime("%b %Y")}]>"
end