Option Strategy: Jelly Roll & Ladder #8092
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LouisSzeto
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Martin-Molinero
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Jun 25, 2024
Common/Securities/Option/StrategyMatcher/OptionStrategyDefinitions.cs
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Common/Securities/Option/StrategyMatcher/OptionStrategyDefinitions.cs
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Common/Securities/Option/OptionStrategyPositionGroupBuyingPowerModel.cs
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Mind sharing where the option strategy definitions were sourced from, given they are not in the core IB list |
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Please rebase from master, the regression test interface was changed & a unit test CI bug was shipped |
I've updated the description now 😄 |
Martin-Molinero
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Jun 26, 2024
Common/Securities/Option/OptionStrategyPositionGroupBuyingPowerModel.cs
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| /// </summary> | ||
| /// <param name="canonicalOption">Option symbol</param> | ||
| /// <param name="higherStrike">The strike price of the long put</param> | ||
| /// <param name="middleStrike">The strike price of the short put with higher strike price</param> |
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docs are off, same for the rest, please re review all 🙏
The "middle strike" instead of "with higher/lower" to match the parameter description with name.
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Description
Add new abstraction helper method and universe filter for option strategy Long/Short Jelly Roll, Bear/Bull Call/Put Ladder
Definition:
Jelly Roll
https://fincyclopedia.net/derivatives/l/long-jelly-roll
https://www.sec.gov/files/rules/sro/phlx/2022/34-94293-ex5.pdf
Ladder:
https://en.wikipedia.org/wiki/Ladder_(option_combination)
https://zerodha.com/varsity/chapter/bear-call-ladder/
https://www.investopedia.com/terms/l/ladderoption.asp
margin requirement from IB:
Long Jelly Roll
Short Jelly Roll
Bear Call Ladder
Bear Put Ladder
Bull Call Ladder
Bull Put Ladder
Related Issue
Motivation and Context
no helper method for them
Requires Documentation Change
Add new section in Option Strategy
How Has This Been Tested?
Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>