Python strike selection based on premium

 

def finc_closest_Ce(price_dict, target_premium):

    closest_ce_symbol = None
    closest_ce_premium = float('-inf')
    for price in price_dict:
        ce_premium = price_dict[price]["CEPREMIUM"]
        if ce_premium < target_premium and ce_premium > closest_ce_premium:
            closest_ce_premium = ce_premium
            closest_ce_symbol = price_dict[price]["CESymbol"]

    return closest_ce_symbol

def generatepricedictce_buy(price, step, distance,BaseSymbol,formatted_date):
    start_price = price
    end_price = price + (step * distance)
    price_list = [start_price + i * distance for i in range((end_price - start_price) // distance + 1)]
    print("price_list: ",price_list)
    price_dict = {price: {"CESymbol": f"{BaseSymbol}{formatted_date}{price}CE", "CEPREMIUM": "PRE"} for price in price_list}
    for price in price_dict:
        ce_symbol = price_dict[price]["CESymbol"]
        params = {'Symbol': BaseSymbol, 'CESymbol': ce_symbol,"Strike":price}
        price_dict[price]["CEPREMIUM"] = AngelIntegration.get_ltp(segment="NFO", symbol=params['CESymbol'],
                                                                  token=get_token(params['CESymbol']))
    return price_dict

def genertaepricedictpe_sell(price, step, distance,BaseSymbol,formatted_date):
    start_price = price
    end_price =  price + (step * distance)
    price_list = [start_price + i * distance for i in range((end_price - start_price) // distance + 1)]
    price_dict = {price: {"PESymbol": f"{BaseSymbol}{formatted_date}{price}PE", "PEPREMIUM": "PRE"} for price in
                  price_list}
    for price in price_dict:
        pe_symbol = price_dict[price]["PESymbol"]
        params = {'Symbol': BaseSymbol,  'PESymbol': pe_symbol,"Strike":price}
        price_dict[price]["PEPREMIUM"] = AngelIntegration.get_ltp(segment="NFO", symbol=params['PESymbol'],
                                                                  token=get_token(params['PESymbol']))

    return price_dict


def genertaepricedictpe_buy(price, step, distance,BaseSymbol,formatted_date):
    start_price = price - (step * distance)
    end_price = price
    price_list = [start_price + i * distance for i in range((end_price - start_price) // distance + 1)]
    price_dict = {price: {"PESymbol": f"{BaseSymbol}{formatted_date}{price}PE", "PEPREMIUM": "PRE"} for price in
                  price_list}
    for price in price_dict:
        pe_symbol = price_dict[price]["PESymbol"]
        params = {'Symbol': BaseSymbol,  'PESymbol': pe_symbol,"Strike":price}
        price_dict[price]["PEPREMIUM"] = AngelIntegration.get_ltp(segment="NFO", symbol=params['PESymbol'],
                                                                  token=get_token(params['PESymbol']))

    return price_dict

Function Calling 

SpotLtp=AngelIntegration.get_ltp(segment="NFO", symbol=params['Symbol'],
                                                  token=get_token(params['Symbol']))
print(SpotLtp)
params['BuyrangeValue'] =SpotLtp*params['BuyPercentage']*0.01
params['BuyrangeValue']= SpotLtp+params['BuyrangeValue']
params['SellrangeVale']=SpotLtp*params['SellPercentage']*0.01
params['SellrangeVale']=SpotLtp-params['SellrangeVale']
print("BuyrangeValue: ",params['BuyrangeValue'])
print("SellrangeVale: ", params['SellrangeVale'])
OrderLog = f"{timestamp} BuyrangeValue : {params['BuyrangeValue']} @ SellrangeVale: {params['SellrangeVale']}"
print(OrderLog)
write_to_order_logs(OrderLog)
date_obj = datetime.strptime(params["TradeExpiery"], "%d-%b-%y")
formatted_date = date_obj.strftime("%d%b%y").upper()
targetbuystrike= round_to_nearest(number=params['BuyrangeValue'], nearest=params['StepSize'])
targetsellstrike = round_to_nearest(number=params['SellrangeVale'], nearest=params['StepSize'])
CallStrikeListBuy=generatepricedictce_buy(price=targetbuystrike, step=params['StepNumberBUYCE'],
                                          distance=params['StepSize'],BaseSymbol=params['BaseSymbol'],
                                          formatted_date=formatted_date)
CallStrikeListSell=generatepricedictce_sell(price=targetbuystrike, step=params['StepNumberSELLCE'],
                                          distance=params['StepSize'],BaseSymbol=params['BaseSymbol'],
                                          formatted_date=formatted_date)

PutStrikeListBuy=genertaepricedictpe_buy(price=targetsellstrike, step=params['StepNumberBUYPE'],
                                         distance=params['StepSize'],BaseSymbol=params['BaseSymbol'],formatted_date=formatted_date)
PutStrikeListSell=genertaepricedictpe_sell(price=targetsellstrike, step=params['StepNumberSELLPE'],
                                         distance=params['StepSize'],BaseSymbol=params['BaseSymbol'],formatted_date=formatted_date)

params['Initial_Buy_Ce']= finc_closest_Ce(CallStrikeListBuy, target_premium=params['BuyPremium_CE'])
params['Initial_Buy_Pe']= finc_closest_Pe( PutStrikeListBuy , target_premium=params['BuyPremium_PE'])
params['Initial_Sell_Ce']= finc_closest_Ce(CallStrikeListSell, target_premium=params['SellPremium_CE'])
params['Initial_Sell_Pe']= finc_closest_Pe(PutStrikeListSell, target_premium=params['SellPremium_PE'])