Module: IB::Vertical

Extended by:
SpreadPrototype
Defined in:
lib/ib/spread_prototypes/vertical.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::Straddle.build from: IB::Contract, buy: a_strike,  sell: a_stike, right: {put or call}, expiry: yyyymmm(dd)



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# File 'lib/ib/spread_prototypes/vertical.rb', line 39

def build from:, **fields
	underlying = if from.is_a?  IB::Option
								 fields[:right] = from.right unless fields.key?(:right) 
								 fields[:sell] = from.strike unless fields.key(:sell)
								 fields[:buy] = from.strike unless fields.key?(:buy)
								 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 = { :buy => fields.delete(:buy), :sell => fields.delete(:sell) }
	error "Specification of :buy and :sell necessary, got: #{kind.inspect}" if kind.values.any?(nil)
	initialize_spread( underlying ) do | the_spread |
		leg_prototype  = Option.new underlying.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(strike: kind[:sell]).verify.first, action: :sell
       the_spread.add_leg  leg_prototype.merge(strike: kind[:buy] ).verify.first, action: :buy
		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/vertical.rb', line 71

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

.fabricate(master, buy: 0, sell: 0) ⇒ Object

Fabricate a Vertical 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::Vertical.fabricate  an_option, buy: {another_strike},  (or) , :sell{another_strike}



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

def fabricate master, buy: 0, sell: 0

	error "Argument must be an option" unless [:option, :futures_option].include? master.sec_type
	error "Unable to fabricate Vertical. Either :buy or :sell must be specified " if buy.zero? && sell.zero?

	buy =  master.strike if buy.zero? 
	sell =  master.strike if sell.zero? 
	initialize_spread( master ) do | the_spread |
       the_spread.add_leg master.merge(strike: sell).verify.first, action: :sell
       the_spread.add_leg master.merge(strike: buy).verify.first, action: :buy
		error "Initialisation of Legs failed" if the_spread.legs.size != 2
		the_spread.description =  the_description( the_spread )
	end
end

.the_description(spread) ⇒ Object 



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# File 'lib/ib/spread_prototypes/vertical.rb', line 77

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