scanner for iron condor trades matching some criteria

TOS-condorfinder-sc.py

#!/usr/bin/python

import sys,os,glob,re,csv

try:
    loglevel = int(os.environ["LOGLEVEL"])
except:
    loglevel = 1
    
def Log(s, level=1):
    if level <= loglevel:
        print s
        
def QuotesFromFile(filename = None):
    ##########################
    # Parse the file
    ##########################
    try:
        loglevel = int(os.environ["LOGLEVEL"])
    except:
        loglevel = 1

    optcsv = []
    f = open(filename, "r")
        
    for line in csv.reader(f):
        optcsv.append(line)
    f.close()
        
    optd = { "underlying" : "", "symbol" : "", "series" : {} }
    key = ""
    opts = {}
    state=0
    for line in optcsv:
        #state 0: looking for first line for quote symbol
        #state 10: looking for "UNDERLYING"
        #state 11: eating underlying header
        #state 12: taking underlying
        #state 1: looking for a date line with a () days to exp
        #state 2: store header, go to 3
        #state 3: eating lines until empty line, then end date, reset key and opts
        Log(str(line),  900)
        Log(str(state), 900)
        if state == 0:
            m = re.match(".*option quote for (\w*) on ", line[0])
            if m != None:
                optd["symbol"] = m.group(1)
                Log("\nScanning " + optd["symbol"], level = 1)
                state = 10
        elif state == 10:
            if len(line)>0 and line[0].rfind ("UNDERLYING") != -1:
                state = 11
        elif state == 11:
            state = 12
        elif state == 12:
            optd["underlying"] = float(line[0])
            Log("Quote " + str(optd["underlying"]), level = 1)
            state = 1
        elif state == 1:
            if len(line)>0:
                m = re.match("\d* ... ..  \((\d*)\)", line[0])
                if m != None:
                    key = line[0]
                    state = 2
        elif state == 2:
            if len(line) == 0:
                state = 1
            else:
                header = line
                state = 3
        elif state == 3:
            if len(line) == 0:
                optd["series"][key] = opts
                opts = {}
                key = ""
                state = 1
            else:
                if line[2] != "<empty>":
                    puts    = {}
                    calls   = {}
                    strike  = ""
                    exp     = ""
                    isCalls = True
                    #Make a dictionary based on the header instead of
                    #by csv position.  Things that come before "Strike" will get
                    #added to calls, after get added to puts
                    for i in range(0,len(header)):
                        if len(header[i]) == 0:
                            pass
                        elif header[i] == "Exp":
                            exp = line[i]
                        elif header[i] == "Strike":
                            strike  = line[i]
                            isCalls = False
                        elif isCalls:
                            calls[header[i]] = line[i]
                        else:
                            puts[header[i]] = line[i]
                            
    #            ['', '', 'Mark', 'Volume', 'Open.Int', 'Prob.ITM', 'Delta', 'BID', 'BX', 'ASK', 'AX', 'Exp', 'Strike', 'BID', 'BX', 'ASK', 'AX', 'Mark', 'Volume', 'Open.Int', 'Prob.ITM', 'Delta', '', '']
    #             0    1   2        3         4          5            6        7      8    9      10    11     12        13     14     15    16    17       18       19           20          21     22   23
                    try:
                        st = float(strike)
                        cm = float(calls["Mark"])
                        cp = float(calls["Prob.ITM"].replace("%",""))
                        co = int(calls["Open.Int"].replace(",", ""))
                        cv = int(calls["Volume"].replace(",", ""))
                        if (co > cv): cv = co
                        pm = float(puts["Mark"])
                        pp = float(puts["Prob.ITM"].replace("%",""))
                        po = int(puts["Open.Int"].replace(",", ""))
                        pv = int(puts["Volume"].replace(",", ""))
                        if (po > pv): pv = po
                        opts[st] = { 
                            "strike"   : st, 
                            "callmark" : cm, 
                            "probcall" : cp,
                            "callvol"  : cv, 
                            "putmark"  : pm, 
                            "probput"  : pp,
                            "putvol"   : pv
                        }
                    except:
                        Log("conversion error",1)

    return optd
    
def BestMatchBuyPut(series, putstrike, width):
    bestmatch = 1000000000.0
    beststrike = None
    for key in series.keys():
        if key < putstrike:
            if abs(putstrike - (key + width)) < bestmatch:
                bestmatch = abs(putstrike - (key + width))
                if bestmatch == 0.0:
                    return key
                beststrike = key
    if bestmatch < width * 2.0:
        return beststrike
    else:
        return None
    
def BestMatchBuyCall(series, callstrike, width):
    bestmatch = 1000000000.0
    beststrike = None
    for key in series.keys():
        if key > callstrike:
            if abs(callstrike - (key - width)) < bestmatch:
                bestmatch = abs(callstrike - (key - width))
                if bestmatch == 0.0:
                    return key
                beststrike = key
    if bestmatch < width * 2.0:
        return beststrike
    else:
        return None

def BestCallMatch(series, putprob, totalprob=30.0):
    strikes = series.keys()
    strikes.sort()
    bestdiff = 1000000.0
    callmatch = None
    for key in strikes:
        diff = totalprob - (putprob + series[key]["probcall"])
        if abs(diff) < bestdiff:
            bestdiff = abs(diff)
            callmatch = key
    return callmatch

def LogMatch(putb=0.0, puts=0.0, callb=0.0, calls=0.0, width=0.0, prob=0.0, credit=0.0, pricediff=0.0, underlying=None, header=False):
    if header:
        print "%8s %8s %8s %8s %8s %8s %8s %8s %-11s" % ("+put", "-put", "-call", "+call", "$wide", "ITM prob", "credit", "$-risk", "tilt")
    else:
        ulstr = ""
        if underlying != None:
            diff = int(9.0 * (calls - underlying) / (calls - puts))
            ulstr = "[" + "-"*(8-diff) + "|" + "-"*diff + "]"
        print "%8.2f %8.2f %8.2f %8.2f %8.2f %7.2f%% %8.2f %8.2f %11s" % (putb, puts, calls, callb, width, prob, credit, pricediff, ulstr)
        

def FindIronCondors(series, underlying=None):
    strikes = series.keys()
    strikes.sort()
    widths = [1.0, 2.0, 3.0, 4.0]
    LogMatch(header=True)
    for width in widths:
        for key in strikes:
            putprob = series[key]['probput']
            if putprob > 5.0 and putprob < 30:
                try:
                    putsell   = series[key]
                    callsell  = series[BestCallMatch(series, putprob)]
                    putbuy    = series[BestMatchBuyPut(series, key, width)]
                    callbuy   = series[BestMatchBuyCall(series, callsell["strike"], width)]
                    totalprob = putprob + callsell["probcall"]
                    credit    = putsell["putmark"] + callsell["callmark"] - (putbuy["putmark"] + callbuy["callmark"])
                    riskdiff  = credit - ((totalprob/100.0) * width)
                    LogMatch(putbuy["strike"], putsell["strike"], callbuy["strike"], callsell["strike"], width, totalprob, credit, riskdiff, underlying)
                except:
                    pass
      

def ProcessData(info):
    for key in info["series"].keys():
        m = re.match("\d* ... ..  \((\d*)\)", key)
        if int(m.group(1)) > 75:  #skip far away options
            continue
        print "Processing %s (%.02f) - %s" % (info["symbol"], info["underlying"], key)
        FindIronCondors(info["series"][key],info["underlying"])
        print

if len(sys.argv) == 1:
    scandir = os.path.abspath(os.path.expanduser("~/Desktop"))
else:
    scandir = os.path.abspath(os.path.expanduser(sys.argv[1]))

files = glob.glob(scandir+"/*.csv")
for f in files:
    info = QuotesFromFile(f)
    ProcessData(info)