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Casey Judice
dfdfe8414d
Earlier ibkr.py assumed each strike = one conid (buy=Yes / sell=No). The IBKR ForecastEx CP API actually exposes each strike as TWO separate conids (YES = right=CALL, NO = right=PUT). Local symbol shape is CFBTC_MMDDYYHH_<strike>_<YES|NO> e.g. CFBTC_05242616_71000_YES means 4pm ET May 24 2026, $71,000 YES side. - data/ibkr_contracts.example.json: per entry now has yes_conid + no_conid + strike + close_iso + label (one row per strike). - arb/daily.py: snapshots both conids in one batch; yes_ask/no_ask come directly from each side's ask (no more 1-bid derivation). - scripts/discover_ibkr.py: walks /iserver/secdef/strikes + secdef/info to print the full YES/NO ladder for a given underlying + month + maturity. Filters by maturityDate so it doesn't mix expiries. End-to-end verified: 3 sample strikes pair cleanly to KXBTCD-26MAY2416 (IBKR $71K -> Kalshi T70999.99 etc.). Live prices still pending the user's ForecastEx market-data subscription / strikes closer to spot. 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
87 lines
3.3 KiB
Python
87 lines
3.3 KiB
Python
#!/usr/bin/env python3
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"""Discover IBKR ForecastEx YES/NO conid pairs for a given asset + maturity.
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Usage:
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python3 scripts/discover_ibkr.py [SYMBOL] [MONTH] [MATURITY_YYYYMMDD]
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Defaults: SYMBOL=CFBTC, MONTH=MAY26, MATURITY=20260524
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Prints a JSON list of {strike, yes_conid, no_conid, maturity} entries you can
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paste into data/ibkr_contracts.json (filling in close_iso + label per row).
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Requires the Client Portal Gateway running and authenticated.
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"""
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import json
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import sys
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from pathlib import Path
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ROOT = Path(__file__).resolve().parent.parent
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sys.path.insert(0, str(ROOT))
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from arb.ibkr import _req, auth_status, search
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def main():
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sym = sys.argv[1] if len(sys.argv) > 1 else "CFBTC"
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month = sys.argv[2] if len(sys.argv) > 2 else "MAY26"
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maturity = sys.argv[3] if len(sys.argv) > 3 else "20260524"
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s = auth_status()
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if not s.get("authenticated"):
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print("Gateway not authenticated. Sign in at https://localhost:5000",
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file=sys.stderr)
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sys.exit(1)
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# 1. find the underlying event conid
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hits = search(sym)
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under = None
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for h in hits:
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for sec in h.get("sections") or []:
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if sec.get("secType") == "EC": # Event Contract
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under = h.get("conid")
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break
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if under: break
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if not under:
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print("could not find underlying event conid for %s" % sym, file=sys.stderr)
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sys.exit(1)
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print("# underlying: %s conid=%s" % (sym, under), file=sys.stderr)
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# 2. fetch the strike ladder
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strikes = _req("GET", "/iserver/secdef/strikes?conid=%s§ype=OPT"
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"&month=%s&exchange=FORECASTX" % (under, month)) or {}
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all_strikes = sorted(set((strikes.get("call") or []) +
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(strikes.get("put") or [])))
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print("# %d strikes in %s" % (len(all_strikes), month), file=sys.stderr)
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# 3. for each strike, secdef/info gives back the per-side conid; we filter
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# by maturity to drop other expiries that come back from the same query.
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out = []
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for k in all_strikes:
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try:
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yes = _req("GET", "/iserver/secdef/info?conid=%s§ype=OPT"
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"&month=%s&strike=%s&right=C&exchange=FORECASTX"
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% (under, month, k)) or []
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no = _req("GET", "/iserver/secdef/info?conid=%s§ype=OPT"
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"&month=%s&strike=%s&right=P&exchange=FORECASTX"
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% (under, month, k)) or []
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except Exception as e:
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print("# strike=%s err: %s" % (k, e), file=sys.stderr)
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continue
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yes = yes if isinstance(yes, list) else [yes]
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no = no if isinstance(no, list) else [no]
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ycid = next((x.get("conid") for x in yes
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if str(x.get("maturityDate") or x.get("maturity_date") or
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"") == maturity), None)
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ncid = next((x.get("conid") for x in no
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if str(x.get("maturityDate") or x.get("maturity_date") or
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"") == maturity), None)
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if ycid and ncid:
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out.append({"strike": k, "yes_conid": ycid, "no_conid": ncid,
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"maturity": maturity})
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print(json.dumps(out, indent=2))
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print("# wrote %d strike pair(s) for maturity %s" % (len(out), maturity),
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file=sys.stderr)
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if __name__ == "__main__":
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main()
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