mirror of
https://github.com/manifoldbt/manifoldbt.git
synced 2026-08-24 14:38:04 +00:00
102 lines
4.0 KiB
Python
102 lines
4.0 KiB
Python
"""Option strategy -- a bull call spread, held to expiration.
|
|
|
|
Demonstrates:
|
|
- A two-leg option structure: long a low strike, short a higher one
|
|
- Per-leg sizing with col("symbol_id")
|
|
- A SHORT option paying margin under the venue's own formula
|
|
- Both legs cash-settled at expiry, which is what caps the payoff
|
|
|
|
The structure: buy the 100k call, sell the 110k call, same expiration. The
|
|
short leg pays for part of the long one, and in exchange it caps the gain at
|
|
the distance between the strikes. Classic, and the cheapest way to see the
|
|
engine settle two contracts on the same day with different outcomes.
|
|
|
|
**A currency trap worth knowing.** Every leg of a strategy has to be quoted in
|
|
the same currency, because the engine carries one cash balance. On Deribit an
|
|
option is quoted in BTC, but `BTC-PERPETUAL` is quoted in USD. So a covered
|
|
call (long the perpetual, short a call) would add dollars to bitcoin in a single
|
|
number and produce a meaningless equity curve. A spread has both legs in BTC,
|
|
which is why this example is a spread. The perpetual appears below only as the
|
|
settlement reference, never as a position.
|
|
|
|
Data: self-contained (network) — ingested on each run from a free connector
|
|
|
|
Usage:
|
|
python examples/24_option_spread.py
|
|
"""
|
|
import os
|
|
import tempfile
|
|
|
|
import manifoldbt as mbt
|
|
from manifoldbt.indicators import col
|
|
from manifoldbt.helpers import time_range, Interval
|
|
|
|
# Both legs expired on 2025-06-27, so the whole life of the trade is history.
|
|
UNDERLYING, UNDERLYING_ID = "BTC-PERPETUAL", 1
|
|
LONG_LEG, LONG_ID = "BTC-27JUN25-100000-C", 2
|
|
SHORT_LEG, SHORT_ID = "BTC-27JUN25-110000-C", 3
|
|
START, END = "2025-05-01T00:00:00Z", "2025-07-01T00:00:00Z"
|
|
|
|
tmp = tempfile.mkdtemp()
|
|
common = dict(
|
|
start=START,
|
|
end=END,
|
|
interval="1d",
|
|
data_root=os.path.join(tmp, "data"),
|
|
metadata_db=os.path.join(tmp, "meta.sqlite"),
|
|
)
|
|
|
|
store = mbt.ingest(
|
|
provider="deribit", symbol=UNDERLYING, symbol_id=UNDERLYING_ID,
|
|
asset_class="crypto_perp", **common
|
|
)
|
|
for symbol, symbol_id in ((LONG_LEG, LONG_ID), (SHORT_LEG, SHORT_ID)):
|
|
store = mbt.ingest(
|
|
provider="deribit", symbol=symbol, symbol_id=symbol_id,
|
|
asset_class="option", **common
|
|
)
|
|
|
|
# -- The strategy --------------------------------------------------------------
|
|
# Legs are told apart by symbol id. Never discriminate on price level: a premium
|
|
# crossing the threshold would flip its own leg to zero and close the position.
|
|
size = (
|
|
mbt.when(col("symbol_id") == float(LONG_ID), 1.0, 0.0) # buy the 100k call
|
|
+ mbt.when(col("symbol_id") == float(SHORT_ID), -1.0, 0.0) # sell the 110k call
|
|
)
|
|
strategy = (
|
|
mbt.Strategy.create("bull_call_spread")
|
|
.signal("leg", col("symbol_id"))
|
|
.size(size)
|
|
.describe("Long the 100k call, short the 110k call, held to expiration")
|
|
)
|
|
|
|
start, end = time_range("2025-05-01", "2025-07-01")
|
|
config = mbt.BacktestConfig(
|
|
universe=[UNDERLYING_ID, LONG_ID, SHORT_ID],
|
|
time_range_start=start,
|
|
time_range_end=end,
|
|
bar_interval=Interval.days(1),
|
|
initial_capital=10.0, # 10 BTC: everything here is in BTC
|
|
currency="BTC",
|
|
option_underlyings={LONG_ID: UNDERLYING_ID, SHORT_ID: UNDERLYING_ID},
|
|
option_margin_model="deribit", # the short leg posts margin
|
|
execution=mbt.ExecutionConfig(position_sizing_mode="Units", allow_short=True),
|
|
)
|
|
|
|
if __name__ == "__main__":
|
|
result = mbt.run(strategy, config, store)
|
|
trades = result.trades.to_pandas()
|
|
|
|
names = {LONG_ID: "long 100k", SHORT_ID: "short 110k"}
|
|
print("\nTrades, by leg:")
|
|
for _, t in trades[trades.symbol_id != UNDERLYING_ID].iterrows():
|
|
what = "settled" if t.exit_reason == 5 else "traded"
|
|
print(f" {names[t.symbol_id]:<12} {what:<8} {t.quantity:>4.1f} @ {t.fill_price:.6f} BTC")
|
|
|
|
equity = float(result.equity_curve[-1])
|
|
print(f"\nFinal equity: {equity:.6f} BTC ({equity - 10.0:+.6f})")
|
|
# The short leg expiring worthless is what the spread pays for: it financed
|
|
# part of the long call, and capped the gain at the strike distance.
|
|
if result.warnings:
|
|
print("Warnings:", result.warnings)
|