walk down option change until put and call IV both found

Author: ProgramComputer

automation.py

@@ -125,7 +125,8 @@ def compute_recommendation(ticker):
             try:
                 exp_dates = sorted(option_chain.keys())
                 today = datetime.today().date()
-                exp_dates_filtered = [d for d in exp_dates if (datetime.strptime(d, "%Y-%m-%d").date() - today).days >= 0]
+                # only consider expiries strictly after today (no 0DTE)
+                exp_dates_filtered = [d for d in exp_dates if (datetime.strptime(d, "%Y-%m-%d").date() - today).days > 0]
                 if len(exp_dates_filtered) < 2:
                     raise Exception("Not enough option data from Alpaca.")
                 underlying_price = None
@@ -151,41 +152,45 @@ def compute_recommendation(ticker):
                     strikes = option_chain[exp_date].keys()
                     if not strikes:
                         continue
-                    strike = min(strikes, key=lambda x: abs(x - underlying_price))
-                    call_contract = option_chain[exp_date][strike].get('call')
-                    put_contract = option_chain[exp_date][strike].get('put')
-                    if not call_contract or not put_contract:
-                        continue
-                    call_symbol = call_contract.symbol
-                    put_symbol = put_contract.symbol
-                    # Use snapshot endpoint to get IV and latest quote
-                    req = OptionSnapshotRequest(symbol_or_symbols=[call_symbol, put_symbol])
-                    snap_resp = options_client.get_option_snapshot(req)
-                    call_snap = snap_resp.get(call_symbol)
-                    put_snap = snap_resp.get(put_symbol)
-                    if not call_snap or not put_snap:
-                        continue
-                    call_quote = call_snap.latest_quote
-                    put_quote = put_snap.latest_quote
-                    if not call_quote or not put_quote:
-                        continue
-                    call_bid = call_quote.bid_price
-                    call_ask = call_quote.ask_price
-                    put_bid = put_quote.bid_price
-                    put_ask = put_quote.ask_price
-                    # retrieve IV from snapshot
-                    call_iv = call_snap.implied_volatility
-                    put_iv = put_snap.implied_volatility
-                    if call_iv is None or put_iv is None:
+                    sorted_strikes = sorted(strikes, key=lambda s: abs(s - underlying_price))
+                    for strike in sorted_strikes:
+                        call_contract = option_chain[exp_date][strike].get('call')
+                        put_contract  = option_chain[exp_date][strike].get('put')
+                        if not call_contract or not put_contract:
+                            continue
+                        call_symbol = call_contract.symbol
+                        put_symbol  = put_contract.symbol
+                        req         = OptionSnapshotRequest(symbol_or_symbols=[call_symbol, put_symbol])
+                        snap_resp   = options_client.get_option_snapshot(req)
+                        call_snap   = snap_resp.get(call_symbol)
+                        put_snap    = snap_resp.get(put_symbol)
+                        if not call_snap or not put_snap:
+                            continue
+                        call_quote = call_snap.latest_quote
+                        put_quote  = put_snap.latest_quote
+                        if not call_quote or not put_quote:
+                            continue
+                        call_bid   = call_quote.bid_price
+                        call_ask   = call_quote.ask_price
+                        put_bid    = put_quote.bid_price
+                        put_ask    = put_quote.ask_price
+                        call_iv    = call_snap.implied_volatility
+                        put_iv     = put_snap.implied_volatility
+                        if call_iv is None or put_iv is None:
+                            continue
+                        atm_iv_value = (call_iv + put_iv) / 2.0
+                        atm_iv[exp_date] = atm_iv_value
+                        if straddle is None:
+                            if None not in (call_bid, call_ask, put_bid, put_ask):
+                                call_mid = (call_bid + call_ask) / 2.0
+                                put_mid = (put_bid + put_ask) / 2.0
+                                straddle = (call_mid + put_mid)
+                        break
+                    else:
+                        # no valid IV on nearby strikes, skip this expiry
                         continue
-                    atm_iv_value = (call_iv + put_iv) / 2.0
-                    atm_iv[exp_date] = atm_iv_value
-                    if straddle is None:
-                        if None not in (call_bid, call_ask, put_bid, put_ask):
-                            call_mid = (call_bid + call_ask) / 2.0
-                            put_mid = (put_bid + put_ask) / 2.0
-                            straddle = (call_mid + put_mid)
-                if atm_iv:
+                # Only accept Alpaca data if there are at least two expiries worth of IVs
+                if len(atm_iv) >= 2:
                     alpaca_success = True
             except Exception as e:
                 print(f"Alpaca option chain error: {e}")

test_alpaca_option_chain.py

@@ -5,6 +5,7 @@
 from alpaca.data.historical.option import OptionHistoricalDataClient
 from alpaca.data.requests import OptionSnapshotRequest
 from alpaca_integration import get_alpaca_option_chain, select_expiries_and_strike_alpaca
+import pprint
 
 if __name__ == "__main__":
     symbol = os.environ.get("TEST_SYMBOL", "AAPL")
@@ -32,7 +33,10 @@
             atm_strike = min(strikes, key=lambda s: abs(s - underlying_price))
             call_contract = option_chain[expiry][atm_strike].get(ContractType.CALL)
             put_contract = option_chain[expiry][atm_strike].get(ContractType.PUT)
-            # Fetch implied volatility via snapshot endpoint
+            # Skip if either leg is missing (to avoid AttributeError)
+            if call_contract is None or put_contract is None:
+                print(f"Skipping expiry {expiry} for strike {atm_strike} due to missing leg: call={call_contract}, put={put_contract}")
+                continue
             call_symbol = call_contract.symbol
             put_symbol = put_contract.symbol
             req = OptionSnapshotRequest(symbol_or_symbols=[call_symbol, put_symbol])
@@ -66,5 +70,14 @@
     atm_resp = options_client.get_option_snapshot(atm_req)
     for sym in atm_symbols:
         snap = atm_resp.get(sym)
+        # Show full snapshot object attributes to inspect keys
+        print(f"Full ATM snapshot for {sym}:")
+        pprint.pprint(snap.__dict__ if snap else None)
+        # Access implied_volatility directly
         iv = snap.implied_volatility if snap else None
-        print(f"ATM Snapshot: {sym}, IV={iv}") 
+        print(f"Extracted IV: {iv}\n")
+    # Test compute_recommendation from automation
+    from automation import compute_recommendation
+    print("\nTesting compute_recommendation()...")
+    rec = compute_recommendation(symbol)
+    print(f"compute_recommendation({symbol}) => {rec}") 

trade_workflow.py

@@ -180,11 +180,13 @@ def run_trade_workflow():
                 if is_time_to_open(earnings_date, when_norm):
                     print(f"Preparing BMO trade for {ticker} ({when_norm})...")
                     stock = yf.Ticker(ticker)
-                    expiry_short, expiry_long, strike = select_expiries_and_strike_alpaca(ticker, earnings_date)
+                    # allow same-day expiry for BMO by filtering from one day earlier
+                    filter_date = earnings_date - timedelta(days=1) if when_norm == 'BMO' else earnings_date
+                    expiry_short, expiry_long, strike = select_expiries_and_strike_alpaca(ticker, filter_date)
                     if not expiry_short or not expiry_long or not strike:
                         print(f"Could not determine expiries/strike for {ticker} using Alpaca. Trying Yahoo...")
                         stock = yf.Ticker(ticker)
-                        expiry_short, expiry_long, strike = select_expiries_and_strike_yahoo(stock, earnings_date)
+                        expiry_short, expiry_long, strike = select_expiries_and_strike_yahoo(stock, filter_date)
                     if not expiry_short or not expiry_long or not strike:
                         print(f"Could not determine expiries/strike for {ticker}. Skipping.")
                         continue