AddLegsAdjustment

[tibkiss]

Add Leg Adjustment enables users to add a Leg after the position is initiated.
The flexibility of adding a leg must be similar to the flexibility present at trade initiation:

• Expiration should be selected to either match previous legs or target new expirations (support of rolling)
• Strikes should be selected using the StrikeSelector component
• AbortConditions should be added so that it is possible to abort entry in unfavorable conditions (e.g. leg price too high)
• AddLegAdjustment should be combined with a MoveLeg and/or RemoveLeg Adjustment

    "ConditionalAdjustments": {
      "pos_delta > 40": {
        "MoveLegAdjustment": null,
        "RemoveLegAdjustment": null,
        "AddLegAdjustment": {
          "LegName": "to_be_added",
          "Qty": "1",
          "Expiration": {
            "Name": "exp2",
            "DTE": "expiration_exp1_dte",
            "Min": null,
            "Max": null,
            "Roots": null
          },
          "OptionType": "Call",
          "StrikeSelector": {
            "Delta": "12"
          },
          "AbortConditions": [
             "leg_to_be_added_price > 2"
          ]
        }
      }
    },
    "MaxAdjustmentCount": null
  },

[tibkiss]

Delivered with v2.7

[tibkiss]

The final version's Job Definition allows creating multiple legs and leverages Legs and Expirations structures within AddLegsAdjustment:

 "ConditionalAdjustments": {
      "open_trades_cnt == 1": {
        "MoveLegAdjustment": null,
        "RemoveLegAdjustment": null,
        "AddLegsAdjustment": {
          "Legs": [
            {
              "Name": "pds_short",
              "Qty": "-1",
              "ExpirationName": "exp2",
              "StrikeSelector": {
                "Min": 5,
                "Max": 15,
                "BidPrice": null,
                "AskPrice": null,
                "MidPrice": null,
                "Delta": "10",
                "Gamma": null,
                "Theta": null,
                "Vega": null,
                "WVega": null,
                "Rho": null,
                "IV": null,
                "Statement": null
              },
              "OptionType": "Put"
            },
            {
              "Name": "pds_long",
              "Qty": "1",
              "ExpirationName": "exp2",
              "StrikeSelector": {
                "Min": 10,
                "Max": 20,
                "BidPrice": null,
                "AskPrice": null,
                "MidPrice": null,
                "Delta": "15",
                "Gamma": null,
                "Theta": null,
                "Vega": null,
                "WVega": null,
                "Rho": null,
                "IV": null,
                "Statement": null
              },
              "OptionType": "Put"
            }
          ],
          "Expirations": [
            {
              "Name": "exp2",
              "DTE": "expiration_exp1_dte + 100",
              "Min": null,
              "Max": null,
              "Roots": null
            }
          ],
          "AbortConditions": null
        }
      }