inst/algo_snippets.R

In lassehjorthmadsen/sherwood: Provides Wrapper Functions for Saxo Banks OpenAPI

# Buy a random sample of call and put options on simulation environment

library(tidyverse)
library(httr)
theme_set(theme_minimal() + theme(legend.justification = c(1, 0), legend.position = c(1, 0)))
devtools::load_all()

# 24 hour token for simulation account
# https://www.developer.saxo/openapi/token/current#/lst/1650285935777
token24 <- "eyJhbGciOiJFUzI1NiIsIng1dCI6IkRFNDc0QUQ1Q0NGRUFFRTlDRThCRDQ3ODlFRTZDOTEyRjVCM0UzOTQifQ.eyJvYWEiOiI3Nzc3NSIsImlzcyI6Im9hIiwiYWlkIjoiMTA5IiwidWlkIjoibU0zV1o1YU1WTXwyZ201Zk95ckxrdz09IiwiY2lkIjoibU0zV1o1YU1WTXwyZ201Zk95ckxrdz09IiwiaXNhIjoiRmFsc2UiLCJ0aWQiOiIyMDAyIiwic2lkIjoiNjM5MDNkOThhODkwNGYxZWE3NTNlNjU4NzIyNzk5ZTMiLCJkZ2kiOiI4NCIsImV4cCI6IjE2NjI0MDIxMTUiLCJvYWwiOiIxRiJ9.ML75IVjSE81du7lRJLZiC-lObXsohGzr7H1tiL7jz8kg4_hDuRNq4RxGRtpfpxsqEbcPfNRc2fw-SchcRfZVxA"
token24 <- paste("Bearer", token24)

# Token for live environment
my_token <- authorize_live()
get_balance(my_token, live = TRUE)

# My info
sim_info  <- get_client_info(token = token24, live = FALSE)

# My default key
sim_key  <-  sim_info$ClientKey[1]

# 0. reset demo balance:
get_balance(token24)
reset_sim_balance(token24, sim_key, new_balance = 1000000)

# Get existing positions
sim_po <- get_positions(token = token24)
liv_po <- get_positions(token = my_token, live = T)

# 1. Get list of options via instruments end point
sim_opt <- get_instruments(token = token24, live = FALSE, exchange_id = "EUREX", asset_type = "StockOption")

# Note, get_instruments return more stock options when using live evironment
# and the intersections differ by having different GroupId's

# Filter out assets in which we already have options
# (This may or may not be a good thing; we don't want to by the same option twice;
# we don't want to bet against ourselves. On the other hand maybe we do, if previous
# decisions were bad. Or we may want to repeat good decisions despite the extra fee.)
sim_opt <- sim_opt %>% filter(!Data.Description %in% sim_po$Data.DisplayAndFormat.UnderlyingInstrumentDescription)

# 2. Identifier field will contain Option Root ID (collection of related options). E.g.:
sim_root_ids <- sim_opt %>% slice_sample(n = sample_size) %>% pull(Data.Identifier)

# 3. Use root id to get (many) option spaces from contractoptionspaces end point:
specific_options <- sim_root_ids %>%
  map_dfr(
    ~ get_optionspace(
      token = token24,
      live = FALSE,
      client_key = sim_key,
      option_root_id = .x
    )
  )

# Explore a bit:
# Many options are related:
specific_options %>% count(OptionRootId, sort = T)

# Does a common OptionRootId imply same underlying UIC? Yes.
specific_options %>%
  count(OptionRootId, UnderlyingUic, sort = T) %>%
  add_count(OptionRootId, UnderlyingUic, name = "combo") %>%
  arrange(-combo)

# 5. get prices
sample_options <-
  specific_options %>%
  filter(TradingStatus == "Tradable") %>%
  slice_sample(n = 2000)

sample_prices <- sample_options %>%
  pull(Uic) %>%
  map_dfr( ~ make_subscription(
    token = token24,
    live = FALSE,
    uic = .x,
    asset_type = "StockOption"
  ))

# Plot prices
sample_prices %>%
  filter(!is.na(Snapshot.PriceInfo.Low)) %>%
  mutate(Identical = Snapshot.PriceInfo.Low == Snapshot.PriceInfo.High) %>%
  ggplot(aes(x = Snapshot.PriceInfo.Low,
             y = Snapshot.PriceInfo.High,
             color = Identical,
             size = Snapshot.PriceInfoDetails.Volume)
         ) +
  geom_abline(slope = 1, intercept = 0, alpha = 0.3) +
  geom_point(alpha = 0.5) +
  guides(size = "none", color = "legend")

sample_prices %>%
  filter(!is.na(Snapshot.PriceInfo.Low)) %>%
  mutate(Identical = Snapshot.PriceInfo.Low == Snapshot.PriceInfoDetails.LastTraded) %>%
  ggplot(aes(x = Snapshot.PriceInfo.Low,
             y = Snapshot.PriceInfoDetails.LastTraded,
             color = Identical,
             size = Snapshot.PriceInfoDetails.Volume)
  ) +
  geom_abline(slope = 1, intercept = 0, alpha = 0.3) +
  geom_point(alpha = 0.5) +
  guides(size = "none", color = "legend")

# 6. Place order
good_options <- sample_prices %>%
  filter(!is.na(Snapshot.PriceInfo.Low), Snapshot.PriceInfo.Low > 0)

my_orders <- good_options %>%
  mutate(order_price = (Snapshot.PriceInfo.Low + Snapshot.PriceInfo.High) / 2,
         token = token24,
         live = FALSE,
         buy_sell = "Buy",
         order_type = "Limit",
         to_open_close = "ToOpen",
         uic = Snapshot.Uic,
         asset_type = Snapshot.AssetType) %>%
  select(token, live, uic, buy_sell, asset_type, order_type, order_price, to_open_close)

my_orders %>%
  pmap(place_order)

# 6. View orders
ord <- get_orders(token = token24, live = FALSE)

cancel_all_orders(token = token24, live = FALSE, account_key = sim_key)





url <- "https://gateway.saxobank.com/sim/openapi/port/v1/positions/me/"

r <- httr::GET(url = url,
               query = list(PriceMode = "RegularTradingHours"),
               config = httr::add_headers(Authorization = token24))
http_status(r)
content(r)
temp <- content(r)