Days to Option Expiration - Wealth Lab Forum

benito747

#1

12/18/2009 7:15 AM

Is there a function which returns #days to option expiration for 5.6?

dansmo

#2

12/18/2009 7:19 AM

Take a look in the quick ref:

CODE:
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Thiw function will return true if the bar is an expiration date.

Cone

#3

12/18/2009 9:08 AM

Open up the Strategy Builder and check out the "Calendar Fundamentals" conditions.

I am having a problem executing a buy n days befor X day (fundamental data). The problem is that n days before X day may fall on a week end or holiday. Seems we should only include day bars for which the market is open. Any idea how to get around this problem?

Cone

#5

3/6/2010 4:48 PM

Is that a Rule in the Strategy Builder? Your own code? Either way, let's see what you've done, and maybe we can help clean it up. (Click the CODE button before pasting code here.)

rgfekula

#6

3/8/2010 9:46 AM

CODE:
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The code has been generated from the rules. I tried to fix using additional code to cover weekends. It seems to be working but I still have a problem on the exit. The idea is to buy before xday and get out day before xday. As it is it can be used but exceptions still occur ie Martin Luthers Holiday (3 in a row of closed days). Also I am not sure if Fidelity posts the xday in a timely fashion so the code could work.

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[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using WealthLab.Rules;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		
		protected override void Execute()
		{
			FundamentalDateRules fdr = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays;
			FundamentalDateRules fdr_2 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_1;
			FundamentalDateRules fdr_4 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_3;
			FundamentalDateRules fdr_6 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_5;
			FundamentalDateRules fdr_8 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_7;
			FundamentalDateRules fdr_10 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_9;
			FundamentalDateRules fdr_12 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_11;
			FundamentalDateRules fdr_14 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_13;
			FundamentalDateRules fdr_16 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_15;
			FundamentalDateRules fdr_18 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_17;
			FundamentalDateRules fdr_20 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_19;
			FundamentalDateRules fdr_22 = new FundamentalDateRules(this, Bars, Bars.Symbol, "dividend");
			int fiDays_21;

for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (p.EntrySignal.Contains("Group1|"))
					{
						bool cond4 = false;
						if(( fdr_12.DaysToFundamentalItem( bar, out fiDays_11 ))&&( fiDays_11 <= 1 ))
						{
							if(( fdr_14.DaysSinceFundamentalItem( bar, out fiDays_13 ))&&( fiDays_13 != 0 ))
							{
								cond4 = true;
							}
						}
						bool cond5 = false;
						if(( fdr_16.DaysToFundamentalItem( bar, out fiDays_15 ))&&( fiDays_15 <= 2 ))
						{
							if(( fdr_18.DaysToFundamentalItem( bar, out fiDays_17 ))&&( fiDays_17 > 1 ))
							{
								cond5 = true;
							}
						}
						bool cond6 = false;
						if(( fdr_20.DaysToFundamentalItem( bar, out fiDays_19 ))&&( fiDays_19 <= 3 ))
						{
							if(( fdr_22.DaysToFundamentalItem( bar, out fiDays_21 ))&&( fiDays_21 > 2 ))
							{
								cond6 = true;
							}
						}
						if (cond4 || cond5 || cond6)
						{
							SellAtClose(bar, p, "Group1");
						}
					}
					if (p.EntrySignal.Contains("Group2|"))
					{
						double Stop = p.EntryPrice * (1 - 15.00 / 100.0d);
						SellAtStop(bar + 1, p, Stop, "Group2");
					}

}
				else
				{
					bool cond1 = false;
					if(( fdr.DaysToFundamentalItem( bar, out fiDays ))&&( fiDays <= 8 ))
					{
						if(( fdr_2.DaysToFundamentalItem( bar, out fiDays_1 ))&&( fiDays_1 > 7 ))
						{
							cond1 = true;
						}
					}
					bool cond2 = false;
					if(( fdr_4.DaysToFundamentalItem( bar, out fiDays_3 ))&&( fiDays_3 <= 9 ))
					{
						if(( fdr_6.DaysToFundamentalItem( bar, out fiDays_5 ))&&( fiDays_5 > 8 ))
						{
							cond2 = true;
						}
					}
					bool cond3 = false;
					if(( fdr_8.DaysToFundamentalItem( bar, out fiDays_7 ))&&( fiDays_7 <= 10 ))
					{
						if(( fdr_10.DaysToFundamentalItem( bar, out fiDays_9 ))&&( fiDays_9 > 9 ))
						{
							cond3 = true;
						}
					}
					if (cond1 || cond2 || cond3)
					{
						BuyAtMarket(bar + 1, "Group1|Group2|");
					}

}
			}
		}
	}
}[/CODE]
The code has been generated from the rules.  I tried to fix using additional code to cover weekends.  It seems to be working but I still have a problem on the exit.  The idea is to buy before xday and get out day before xday.  As it is it can be used but exceptions still occur ie Martin Luthers Holiday (3 in a row of closed days).  Also I am not sure if Fidelity posts the xday in a timely fashion so the code could work.

Cone

#7

3/9/2010 11:17 AM

Okay, you're talking about "ex day". "X" sounded more like a variable.

You've got the right rule, but I see what you mean. Calendar days are used in the Rules so that you can take action on a known future event before the bar is present in the chart, which is what you want to do.

QUOTE:
not sure if Fidelity posts the xday in a timely fashion so the code could work.

If you update your data on a daily basis, dividend ex-dates are generally available many days in advance. 8 days? probably. For example, the HPQ dividend ex-date on 3/15/2010 is showing up, as is KO and MRK on 3/11/2010, VZ on 4/7/2010, and even 2 ex dates for WMT on 3/10 and 5/12.

Anyway, here's a new function, TradingDaysBetweenDates (that needs more work before going into Community.Components) that you can use to calculate the number of trading days for future ex dates. When the ex-dates are found in the chart, we know that bar number directly, so the code uses that. But when the next event(s) occur in the future, it uses TradingDaysBetweenDates.

CODE:
Please log in to see this code.

Size:

Color:

Okay, you're talking about "ex day".  "X" sounded more like a variable.

You've got the right rule, but I see what you mean.  Calendar days are used in the Rules so that you can take action on a known future event before the bar is present in the chart, which is what you want to do.

[QUOTE]not sure if Fidelity posts the xday in a timely fashion so the code could work.[/QUOTE]If you update your data on a daily basis, dividend ex-dates are generally available many days in advance.  8 days?  probably.  For example, the HPQ dividend ex-date on 3/15/2010 is showing up, as is KO and MRK on 3/11/2010, VZ on 4/7/2010, and even 2 ex dates for WMT on 3/10 and 5/12.

Anyway, here's a new function, [b]TradingDaysBetweenDates[/b] (that needs more work before going into Community.Components) that you can use to calculate the number of [i]trading days[/i] for future ex dates.  When the ex-dates are found in the chart, we know that bar number directly, so the code uses that.  But when the next event(s) occur in the future, it uses TradingDaysBetweenDates.

[CODE]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using System.Windows.Forms;

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{			
		private string _miFile = Application.UserAppDataPath +  @"\Data\Markets.xml";
		
		public int TradingDaysBetweenDates(DateTime dt1, DateTime dt2)
		{		
			int days = 0;
			while (dt1 < dt2)
			{
				dt1 = dt1.AddDays(1);
					
				if (dt1.DayOfWeek != DayOfWeek.Saturday 
					&& dt1.DayOfWeek != DayOfWeek.Sunday
					&& !Bars.MarketInfo.Holidays.Contains(dt1) )
					days++;
			}				
			return days;
		}
		
		protected override void Execute()
		{
			ClearDebug();			
			FundamentalItem fi;
			int barsToNextEvent = -1;
			
			for(int bar = GetTradingLoopStartBar(1); bar < Bars.Count; bar++)
			{
				// Determine the number of bars until the next event
				try {
					fi = GetNextFundamentalItem(bar, Bars.Symbol, "dividend");
					barsToNextEvent = fi.Bar - bar;	
					
					// if fi.Bar isn't on the chart yet calculate the number of trading days
					if (fi.Bar == -1)
					{
						barsToNextEvent = TradingDaysBetweenDates(Date[bar], fi.Date);
						if (bar == Bars.Count - 1)
							DrawLabel(PricePane, "Calculated trading days to next event: " + barsToNextEvent, Color.Red);
					}
				}
				catch {
					barsToNextEvent = -1;		// no future fundamental item
				}
								
				if (IsLastPositionActive)
				{
					Position p = LastPosition;
					if (barsToNextEvent == 1)	// Exit on day before ex-div 
					{
						SellAtClose(bar, p, "Ex-div");
					}
					else 
					{
						double Stop = p.EntryPrice * (1 - 15.00 / 100.0d);
						SellAtStop(bar + 1, p, Stop, "Stop Loss");
					}
				}
				else
				{
					if (barsToNextEvent > - 1 && barsToNextEvent <= 8)
					{
						BuyAtMarket(bar + 1);
					}

}
			}
		}
	}
}[/CODE]

Eugene

#8

3/9/2010 1:27 PM

QUOTE:
// Read Holidays from Markets.xml

To simplify things, I'd suggest using the Holidays property of the Bars.MarketInfo Class.

Cone

#9

3/9/2010 1:55 PM

Doh! Is that documented somewhere? ;)

Updated above. Thanks.

rgfekula

#10

3/15/2010 12:50 PM

QUOTE:
Thanks guys for your fast response. The code you provided works great. Can you recommend any code reference books. My coding experience is Fortran and early basic. I can follow some of the coding but don't have a good reference book.

Eugene

#11

3/15/2010 1:13 PM

Speaking of C# reference books:

Herb Schildt's C# Complete Reference
Some Wrox books like Professional C# by Karli Watson et al.
Troelsen's Pro C# 2008 4th ed.
Ed Deitel's C# How to Program