API Reference

Standard Parameters

All functions defined in this page have the following common parameters:

• data (pandas.DataFrame, required): Pandas DataFrame containing the data to generate calls strategies for
• dte_interval (int, default: 7): An integer representing the amount of days to group by, used for "Days to Expiration"
• max_entry_dte (int, default: 90): An integer representing the max days to expiration on entry to consider
• exit_dte (int, default: 0): An integer representing the days to expiration on exit, defaults to exit on expiration date
• otm_pct_interval (float, default: 0.05): A percentage numeral representing the OTM percent to group generated strategies by. (formula: (strike - underlying price) / strike)
• max_otm_pct (float, default: 0.5): Maximum OTM percentage to consider when generating strategy
• min_bid_ask (float, default: 0.05): The smallest bid/ask price to consider on entry. This is generally the price at which the option is considered worthless
• side (str, default: "long"): The side of the strategy to return in the output, if set to neither "long" or "short" returns both sides.
• drop_nan (bool, default: True): Remove rows where NaN were returned, likely due to insufficient data
• raw (bool, default: False): Return generated trades without grouping by dte_interval and otm_pct_interval. Use this flag to return trades only. It's not recommend to set this parameter to True, as large amounts of trades maybe generated depending on strategy

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optopsy.single_calls

Generates all combinations of call strategies on the specified dataset.

Expected runtimes on Macbook Pro 15-inch, Mid 2015, Quad-core i7, 2.2Ghz, 16Gb Ram:

• CSV file size 65MB with default parameters: ~7 secs

optopsy.single_puts

Generates all combinations of put strategies on the specified dataset.

Expected runtimes on Macbook Pro 15-inch, Mid 2015, Quad-core i7, 2.2Ghz, 16Gb Ram:

• CSV file size 65MB with default parameters: ~7 secs

optopsy.straddles

Generates all valid combinations of straddles on the specified dataset.

Expected runtimes on Macbook Pro 15-inch, Mid 2015, Quad-core i7, 2.2Ghz, 16Gb Ram:

• CSV file size 65MB with default parameters: ~10 secs

optopsy.strangles

Generates all valid combinations of strangles on the specified dataset.

Expected runtimes on Macbook Pro 15-inch, Mid 2015, Quad-core i7, 2.2Ghz, 16Gb Ram:

• CSV file size 65MB with default parameters: ~43 secs