Allow specifying a minimum order price

To avoid orders where the commission exceeds the order credit, we can
set a minimum order price, which we default to $0.05. This lets us avoid
1 or 2 penny orders where the commission is more than the credit
received from the order itself.

Also did some refactorings and fixed typings.

thetagang.toml

@@ -63,6 +63,11 @@ exchange = "SMART"
 # midpoint price if `symbol.<symbol>.adjust_midpoint_after_delay = true`.
 price_update_delay = [30, 60]
 
+# Set a minimum order price, to avoid orders where the credit (or debit) is so
+# low that it doesn't even cover broker commission. We default to $0.05, but you
+# can set this to 0.0 (or comment it out) if you want to permit any order price.
+minimum_price = 0.05
+
 [orders.algo]
 # By default we use adaptive orders with patient priority which gives reasonable
 # results. You can also experiment with TWAP or other options, however the

thetagang/config.py

@@ -84,6 +84,7 @@ def validate_config(config):
                 Optional("exchange"): And(str, len),
                 Optional("algo"): algo_settings,
                 Optional("price_update_delay"): And([int], lambda p: len(p) == 2),
+                Optional("minimum_price"): And(float, lambda n: 0 <= n),
             },
             "option_chains": {
                 "expirations": And(int, lambda n: 1 <= n),

thetagang/config_defaults.py

@@ -5,6 +5,7 @@
     "orders": {
         "exchange": "SMART",
         "price_update_delay": [30, 60],
+        "minimum_price": 0.0,
         "algo": {
             "strategy": "Adaptive",
             "params": [["adaptivePriority", "Patient"]],

thetagang/portfolio_manager.py

@@ -5,7 +5,7 @@
 from typing import Optional
 
 import numpy as np
-from ib_insync import Ticker, Trade, util
+from ib_insync import PortfolioItem, Position, Ticker, Trade, util
 from ib_insync.contract import ComboLeg, Contract, Index, Option, Stock
 from ib_insync.order import LimitOrder
 from more_itertools import partition
@@ -23,6 +23,7 @@
     count_short_option_positions,
     get_higher_price,
     get_lower_price,
+    get_minimum_price,
     get_strike_limit,
     get_target_calls,
     get_target_delta,
@@ -83,7 +84,7 @@ def get_calls(self, portfolio_positions):
     def get_puts(self, portfolio_positions):
         return self.get_options(portfolio_positions, "P")
 
-    def get_options(self, portfolio_positions, right):
+    def get_options(self, portfolio_positions: dict[str, list[Position]], right: str):
         ret = []
         symbols = set(self.get_symbols())
         for symbol in portfolio_positions:
@@ -409,7 +410,7 @@ def filter_positions(self, portfolio_positions):
             and item.averageCost != 0
         ]
 
-    def get_portfolio_positions(self):
+    def get_portfolio_positions(self) -> dict[str, list[PortfolioItem]]:
         portfolio_positions = self.ib.portfolio(account=self.account_number)
         return portfolio_positions_to_dict(self.filter_positions(portfolio_positions))
 
@@ -862,6 +863,7 @@ def write_calls(self, calls):
                     ),
                     "C",
                     strike_limit,
+                    minimum_price=get_minimum_price(self.config),
                 )
             except RuntimeError:
                 console.print_exception()
@@ -904,6 +906,7 @@ def write_puts(self, puts):
                     ),
                     "P",
                     strike_limit,
+                    minimum_price=get_minimum_price(self.config),
                 )
             except RuntimeError:
                 console.print_exception()
@@ -1209,9 +1212,10 @@ def roll_positions(
                 kind = "calls" if right.startswith("C") else "puts"
 
                 minimum_price = (
-                    0.0
+                    get_minimum_price(self.config)
                     if not self.config["roll_when"][kind]["credit_only"]
                     else midpoint_or_market_price(buy_ticker)
+                    + get_minimum_price(self.config)
                 )
                 preferred_minimum_price = midpoint_or_market_price(buy_ticker)
 
@@ -1307,12 +1311,12 @@ def roll_positions(
 
     def find_eligible_contracts(
         self,
-        main_contract,
-        right,
-        strike_limit,
+        main_contract: Contract,
+        right: str,
+        strike_limit: Optional[float],
+        minimum_price: float,
         exclude_expirations_before=None,
         exclude_exp_strike=None,
-        minimum_price=0.0,
         preferred_minimum_price=None,
         target_dte=None,
         target_delta=None,
@@ -1732,6 +1736,7 @@ def vix_calls_should_be_closed() -> (
                             0,
                             target_delta=delta,
                             target_dte=target_dte,
+                            minimum_price=get_minimum_price(self.config),
                         )
                         status.start()
                         price = round(get_lower_price(buy_ticker), 2)
@@ -1906,7 +1911,9 @@ def make_order() -> tuple[Optional[Ticker], Optional[LimitOrder]]:
 
         console.print(Panel(Group(*to_print), title="Cash management"))
 
-    def enqueue_order(self, contract: Contract, order: LimitOrder):
+    def enqueue_order(self, contract: Optional[Contract], order: LimitOrder):
+        if not contract:
+            return
         self.orders.append((contract, order))
 
     def submit_orders(self):
@@ -1995,7 +2002,12 @@ def adjust_prices(self):
                     ticker, wait_time=self.api_response_wait_time()
                 ):
                     (contract, order) = (trade.contract, trade.order)
-                    updated_price = round((order.lmtPrice + ticker.midpoint()) / 2.0, 2)
+                    updated_price = min(
+                        [
+                            np.sign(order.lmtPrice) * get_minimum_price(self.config),
+                            round((order.lmtPrice + ticker.midpoint()) / 2.0, 2),
+                        ]
+                    )
                     # Check if the updated price is actually any different
                     # before proceeding, and make sure the signs match so we
                     # don't switch a credit to a debit or vice versa.

thetagang/thetagang.py

@@ -94,6 +94,18 @@ def start(config_path, without_ibc=False):
         "=",
         f"{config['orders']['algo']['params']}",
     )
+    config_table.add_row(
+        "",
+        "Price update delay",
+        "=",
+        f"{config['orders']['price_update_delay']}",
+    )
+    config_table.add_row(
+        "",
+        "Minimum price",
+        "=",
+        f"{dfmt(config['orders']['minimum_price'])}",
+    )
 
     config_table.add_section()
     config_table.add_row("[spring_green1]Close option positions")

thetagang/util.py

@@ -2,7 +2,7 @@
 from datetime import datetime
 from typing import Optional
 
-from ib_insync import TagValue, util
+from ib_insync import PortfolioItem, Position, TagValue, util
 from ib_insync.contract import Option
 
 from thetagang.options import option_dte
@@ -15,7 +15,9 @@ def account_summary_to_dict(account_summary):
     return d
 
 
-def portfolio_positions_to_dict(portfolio_positions):
+def portfolio_positions_to_dict(
+    portfolio_positions: list[Position],
+) -> dict[str, list[PortfolioItem]]:
     d = dict()
     for p in portfolio_positions:
         symbol = p.contract.symbol
@@ -99,7 +101,7 @@ def wait_n_seconds(pred, body, seconds_to_wait, started_at=None):
         wait_n_seconds(pred, body, seconds_to_wait, started_at)
 
 
-def get_higher_price(ticker):
+def get_higher_price(ticker) -> float:
     # Returns the highest of either the option model price, the midpoint, or the
     # market price. The midpoint is usually a bit higher than the IB model's
     # pricing, but we want to avoid leaving money on the table in cases where
@@ -111,14 +113,14 @@ def get_higher_price(ticker):
     return midpoint_or_market_price(ticker)
 
 
-def get_lower_price(ticker):
+def get_lower_price(ticker) -> float:
     # Same as get_highest_price(), except get the lower price instead.
     if ticker.modelGreeks:
         return min([midpoint_or_market_price(ticker), ticker.modelGreeks.optPrice])
     return midpoint_or_market_price(ticker)
 
 
-def midpoint_or_market_price(ticker):
+def midpoint_or_market_price(ticker) -> float:
     # As per the ib_insync docs, marketPrice returns the last price first, but
     # we often prefer the midpoint over the last price. This function pulls the
     # midpoint first, then falls back to marketPrice() if midpoint is nan.
@@ -146,7 +148,7 @@ def get_target_delta(config, symbol, right):
     return config["target"]["delta"]
 
 
-def get_strike_limit(config, symbol, right):
+def get_strike_limit(config: dict, symbol: str, right: str) -> Optional[float]:
     p_or_c = "calls" if right.upper().startswith("C") else "puts"
     if (
         p_or_c in config["symbols"][symbol]
@@ -221,3 +223,7 @@ def get_write_threshold_perc(config: dict, symbol: Optional[str], right: str) ->
 
 def algo_params_from(params):
     return [TagValue(p[0], p[1]) for p in params]
+
+
+def get_minimum_price(config: dict) -> float:
+    return config["orders"].get("minimum_price", 0.0)