R/otm_clean.R

In pritamdalal/backtestr: Wrangling Code For Backtesting

#' Removes low information options from otm chain
#' 
#' Use this function to clean the option chain.
#' @export
#' 
#'


otm_clean <- function(df_otm_all){
    #This function removes all the low information options.
    #I define low information options as ones who's bid or ask 
    #is the same as an option who's value *should* be higher:
    #for puts, as higher strike put, for calls a lower strike call.
    ############
    ### PUTS ###
    ############
    #separating out puts
    df_otm_puts_all <- 
        df_otm_all %>% 
        dplyr::filter(type == "put")
    df_otm_puts_all <- dplyr::arrange(df_otm_puts_all, desc(strike))
    
    
    if (nrow(df_otm_puts_all) >= 2)
    {
        
        bln_no_information <- FALSE
        ix_strike <- 2
        
        while(
            bln_no_information == FALSE 
            & ix_strike <= length(df_otm_puts_all$strike)
        )
        {
            dbl_lowest_good_put_strike <- df_otm_puts_all$strike[ix_strike]
            
            #check if bids are equal
            if(df_otm_puts_all$bid[ix_strike] >= df_otm_puts_all$bid[ix_strike - 1])
            {
                bln_no_information<-TRUE
                dbl_lowest_good_put_strike <- df_otm_puts_all$strike[ix_strike - 1]
            }
            
            #check if asks are equal
            if(df_otm_puts_all$ask[ix_strike] >= df_otm_puts_all$ask[ix_strike - 1])
            {
                bln_no_information<-TRUE
                dbl_lowest_good_put_strike <- df_otm_puts_all$strike[ix_strike - 1]
            }
            
            ix_strike=ix_strike+1
        }
        
        if (dbl_lowest_good_put_strike > min(df_otm_puts_all$strike))
        {
            df_otm_puts <- 
                df_otm_puts_all %>% 
                dplyr::filter(strike >= dbl_lowest_good_put_strike)
        } else
        {
            df_otm_puts <- df_otm_puts_all
        }  
    }
    else
    {
        df_otm_puts = df_otm_puts_all
    }
    
    #############
    ### CALLS ###
    #############
    #separating out calls
    df_otm_calls_all <- 
        df_otm_all %>% 
        dplyr::filter(type == "call")
    df_otm_calls_all <- dplyr::arrange(df_otm_calls_all, strike)
    
    if (nrow(df_otm_calls_all) >= 2)
    {
        bln_no_information<-FALSE
        ix_strike<-2
        while(
            bln_no_information == FALSE 
            & ix_strike <= length(df_otm_calls_all$strike)
        )
        {
            dbl_highest_good_call_strike <- df_otm_calls_all$strike[ix_strike]
            
            #check if bids are greater than or equal
            if(df_otm_calls_all$bid[ix_strike] >= df_otm_calls_all$bid[ix_strike - 1])
            {
                bln_no_information<-TRUE
                dbl_highest_good_call_strike <- df_otm_calls_all$strike[ix_strike - 1]
            }
            #check if asks are greater than or equal
            if(df_otm_calls_all$ask[ix_strike] >= df_otm_calls_all$ask[ix_strike - 1])
            {
                bln_no_information<-TRUE
                dbl_highest_good_call_strike <- df_otm_calls_all$strike[ix_strike-1]
            }
            
            ix_strike=ix_strike+1
        }
        
        if (dbl_highest_good_call_strike < max(df_otm_calls_all$strike))
        {
            df_otm_calls <- 
                df_otm_calls_all %>% 
                dplyr::filter(strike <= dbl_highest_good_call_strike)
        } else
        {
            df_otm_calls <- df_otm_calls_all
        }  
    }
    else
    {
        df_otm_calls <- df_otm_calls_all
    }
    
    #rearranging rows
    df_otm <- dplyr::bind_rows(df_otm_puts, df_otm_calls)
    df_otm <- dplyr::arrange(df_otm, dplyr::desc(type),strike)
    
    df_otm
}