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BasketTrading

Introduction

This is an environment for running an algorithm over a collection of instruments. Positions are maintained day to day.

  • BasketTrading - main file for gui and starting the process
  • PanelBasketTradingMain - GUI container for buttons, BasketTrading assigns the event handlers
  • PanelPortfolioStats - GUI container for presenting elementary P/L during session
  • MasterPortfolio - Maintains instances of ManageStrategy
  • ManageStrategy - Instance created for each primary instrument chosen - header & 'using' chooses combo style
  • SymbolSelection - Determines instruments to be traded by MasterPortfolio

Currently designed to test a collar strategy (not yet complete) on weekly options.

Option Strategy Descriptions: https://www.fidelity.com/learning-center/investment-products/options/options-strategy-guide/overview

To run, you'll need to:

  • Approximately weekly, Sunday night is best:
    • IQFeedMarketSymbols: obtain latest market symbols, which includes OPRA option symbols
    • Weeklies (weekly options list) [not currently required in this flavour]:
  • When just starting out, run IQFeedGetHistory with 0 for daily bars, this will load all available daily bars for the common US exchanges
  • On a daily basis, run IQFeedGetHistory late at night, or first thing in the morning with 10 for daily bars, to load the latest
  • BasketTrading can then be started prior to market hours
    • In the run directory, create a file called BasketTrading.cfg with two entries:
      • date_history = yyyy-mm-dd // this is the last day for a daily history bar
      • date_trading = yyyy-mm-dd // this is th date for trading for use by DailyTradeTimeFrames
    • Use Symbols -> Load List to load symbol list, it may take a little while, and wait for it to complete
    • Click 'Turn On' for IQF and IB, both need to be running, IQF for the data stream, and IB for execution (be sure to use paper trading to start)
    • Use Manage -> Load to select and load symbols
    • When playing around, delete ./x64/debug/BasketTrading.db to reset trades and lists

If you have problems, let me know. I need to re-run to be sure I havn't broken anything.

A BasketTrading.cfg is required with content similar to:

date_history = 2022-04-07  # last day of daily history bars
date_trading = 2022-04-07  # start of trading day - date the market opens
days_front = 3             # minimum number of days to front month chain
days_back = 30             # minimum number of days to back month chain
symbol = @ESM22            # underlying symbol
ib_client_id = 6           # client id for simultaneous interactive brokers api