add web worker
This commit is contained in:
MuslemRahimi
parent
87f78615d6
commit
cf7bc59f4d
@ -21,6 +21,8 @@
|
|||||||
let shouldUpdate = false;
|
let shouldUpdate = false;
|
||||||
let config: any = null;
|
let config: any = null;
|
||||||
let downloadWorker: Worker | undefined;
|
let downloadWorker: Worker | undefined;
|
||||||
|
let plotWorker: Worker | undefined;
|
||||||
|
let strategyWorker: Worker | undefined;
|
||||||
|
|
||||||
// Strategy selection
|
// Strategy selection
|
||||||
let selectedStrategy = "Long Call";
|
let selectedStrategy = "Long Call";
|
||||||
@ -139,460 +141,18 @@
|
|||||||
await loadData();
|
await loadData();
|
||||||
};
|
};
|
||||||
|
|
||||||
async function changeStrategy(strategy) {
|
const handlePlotMessage = async (event) => {
|
||||||
selectedStrategy = strategy?.name;
|
const output = event?.data?.output;
|
||||||
description = strategy?.description;
|
metrics = output?.metrics;
|
||||||
|
config = output?.options;
|
||||||
|
breakEvenPrice = output?.breakEvenPrice;
|
||||||
|
totalPremium = output?.totalPremium;
|
||||||
|
|
||||||
// Set appropriate option type and action based on strategy
|
const xMax = output?.xMax;
|
||||||
switch (selectedStrategy) {
|
const xMin = output?.xMin;
|
||||||
case "Long Call":
|
const dataPoints = output?.dataPoints;
|
||||||
selectedOptionType = "Call";
|
|
||||||
selectedAction = "Buy";
|
|
||||||
break;
|
|
||||||
case "Short Call":
|
|
||||||
selectedOptionType = "Call";
|
|
||||||
selectedAction = "Sell";
|
|
||||||
break;
|
|
||||||
case "Long Put":
|
|
||||||
selectedOptionType = "Put";
|
|
||||||
selectedAction = "Buy";
|
|
||||||
break;
|
|
||||||
case "Short Put":
|
|
||||||
selectedOptionType = "Put";
|
|
||||||
selectedAction = "Sell";
|
|
||||||
break;
|
|
||||||
case "Cash Secured Put":
|
|
||||||
selectedOptionType = "Put";
|
|
||||||
selectedAction = "Sell";
|
|
||||||
break;
|
|
||||||
default:
|
|
||||||
break;
|
|
||||||
}
|
|
||||||
if ("Bull Call Spread" === selectedStrategy) {
|
|
||||||
// Find the lower strike first (for the Buy leg)
|
|
||||||
const lowerStrike = selectedStrike;
|
|
||||||
|
|
||||||
// Find a higher strike in the available strikeList for the Sell leg
|
config = {
|
||||||
// First, calculate the target strike (40% higher)
|
|
||||||
const targetHigherStrike = lowerStrike * 1.4;
|
|
||||||
|
|
||||||
// Find the closest available strike price that is higher than the lower strike
|
|
||||||
let higherStrike;
|
|
||||||
if (strikeList && strikeList.length > 0) {
|
|
||||||
// Filter strikes that are higher than the lower strike
|
|
||||||
const higherStrikes = strikeList?.filter(
|
|
||||||
(strike) => strike > lowerStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
if (higherStrikes.length > 0) {
|
|
||||||
// Find the strike closest to our target from the available higher strikes
|
|
||||||
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetHigherStrike) <
|
|
||||||
Math.abs(closest - targetHigherStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, higherStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// If no higher strikes available, use the highest available strike
|
|
||||||
higherStrike = Math.max(...strikeList);
|
|
||||||
}
|
|
||||||
} else {
|
|
||||||
// Fallback if strikeList is empty
|
|
||||||
higherStrike = lowerStrike * 1.4;
|
|
||||||
}
|
|
||||||
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: lowerStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: higherStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if (["Bull Put Spread"].includes(selectedStrategy)) {
|
|
||||||
// Find the lower strike first (for the Buy leg)
|
|
||||||
const lowerStrike = selectedStrike;
|
|
||||||
|
|
||||||
// Find a higher strike in the available strikeList for the Sell leg
|
|
||||||
// First, calculate the target strike (40% higher)
|
|
||||||
const targetHigherStrike = lowerStrike * 1.4;
|
|
||||||
|
|
||||||
// Find the closest available strike price that is higher than the lower strike
|
|
||||||
let higherStrike;
|
|
||||||
if (strikeList && strikeList.length > 0) {
|
|
||||||
// Filter strikes that are higher than the lower strike
|
|
||||||
const higherStrikes = strikeList?.filter(
|
|
||||||
(strike) => strike > lowerStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
if (higherStrikes.length > 0) {
|
|
||||||
// Find the strike closest to our target from the available higher strikes
|
|
||||||
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetHigherStrike) <
|
|
||||||
Math.abs(closest - targetHigherStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, higherStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// If no higher strikes available, use the highest available strike
|
|
||||||
higherStrike = Math.max(...strikeList);
|
|
||||||
}
|
|
||||||
} else {
|
|
||||||
// Fallback if strikeList is empty
|
|
||||||
higherStrike = lowerStrike * 1.4;
|
|
||||||
}
|
|
||||||
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: higherStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: lowerStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if (["Bear Call Spread"].includes(selectedStrategy)) {
|
|
||||||
// Find the lower strike first (for the Buy leg)
|
|
||||||
const lowerStrike = selectedStrike;
|
|
||||||
|
|
||||||
// Find a higher strike in the available strikeList for the Sell leg
|
|
||||||
// First, calculate the target strike (40% higher)
|
|
||||||
const targetHigherStrike = lowerStrike * 1.4;
|
|
||||||
|
|
||||||
// Find the closest available strike price that is higher than the lower strike
|
|
||||||
let higherStrike;
|
|
||||||
if (strikeList && strikeList.length > 0) {
|
|
||||||
// Filter strikes that are higher than the lower strike
|
|
||||||
const higherStrikes = strikeList?.filter(
|
|
||||||
(strike) => strike > lowerStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
if (higherStrikes.length > 0) {
|
|
||||||
// Find the strike closest to our target from the available higher strikes
|
|
||||||
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetHigherStrike) <
|
|
||||||
Math.abs(closest - targetHigherStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, higherStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// If no higher strikes available, use the highest available strike
|
|
||||||
higherStrike = Math.max(...strikeList);
|
|
||||||
}
|
|
||||||
} else {
|
|
||||||
// Fallback if strikeList is empty
|
|
||||||
higherStrike = lowerStrike * 1.4;
|
|
||||||
}
|
|
||||||
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: lowerStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: higherStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if ("Bear Put Spread" === selectedStrategy) {
|
|
||||||
// Find the lower strike first (for the Buy leg)
|
|
||||||
const lowerStrike = selectedStrike;
|
|
||||||
|
|
||||||
// Find a higher strike in the available strikeList for the Sell leg
|
|
||||||
// First, calculate the target strike (40% higher)
|
|
||||||
const targetHigherStrike = lowerStrike * 1.4;
|
|
||||||
|
|
||||||
// Find the closest available strike price that is higher than the lower strike
|
|
||||||
let higherStrike;
|
|
||||||
if (strikeList && strikeList.length > 0) {
|
|
||||||
// Filter strikes that are higher than the lower strike
|
|
||||||
const higherStrikes = strikeList?.filter(
|
|
||||||
(strike) => strike > lowerStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
if (higherStrikes.length > 0) {
|
|
||||||
// Find the strike closest to our target from the available higher strikes
|
|
||||||
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetHigherStrike) <
|
|
||||||
Math.abs(closest - targetHigherStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, higherStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// If no higher strikes available, use the highest available strike
|
|
||||||
higherStrike = Math.max(...strikeList);
|
|
||||||
}
|
|
||||||
} else {
|
|
||||||
// Fallback if strikeList is empty
|
|
||||||
higherStrike = lowerStrike * 1.4;
|
|
||||||
}
|
|
||||||
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: higherStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: lowerStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
optionPrice: 0, // This will be updated when loadData() is called
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if ("Long Straddle" === selectedStrategy) {
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: selectedStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: selectedStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
optionPrice: 0,
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if ("Short Straddle" === selectedStrategy) {
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: selectedStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: selectedStrike,
|
|
||||||
optionType: "Put",
|
|
||||||
optionPrice: 0,
|
|
||||||
date: selectedDate,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else if ("Long Call Butterfly" === selectedStrategy) {
|
|
||||||
const lowerStrike = selectedStrike;
|
|
||||||
|
|
||||||
// Define target values relative to the lower strike
|
|
||||||
const targetMidStrike = lowerStrike * 1.1;
|
|
||||||
const targetHigherStrike = lowerStrike * 1.2;
|
|
||||||
|
|
||||||
// Initialize the strike values that will be used in the strategy
|
|
||||||
let higherStrike;
|
|
||||||
let midStrike;
|
|
||||||
|
|
||||||
if (strikeList && strikeList.length > 0) {
|
|
||||||
// Filter strikes that are higher than the lower strike
|
|
||||||
const higherStrikes = strikeList.filter(
|
|
||||||
(strike) => strike > lowerStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
// Determine the higher strike leg:
|
|
||||||
if (higherStrikes.length > 0) {
|
|
||||||
// Choose the strike closest to our targetHigherStrike
|
|
||||||
higherStrike = higherStrikes.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetHigherStrike) <
|
|
||||||
Math.abs(closest - targetHigherStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, higherStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// If no higher strikes are available, fallback to using the highest strike from the list
|
|
||||||
higherStrike = Math.max(...strikeList);
|
|
||||||
}
|
|
||||||
|
|
||||||
// For the mid strike, filter strikes that lie between the lowerStrike and the higherStrike
|
|
||||||
const midStrikes = strikeList.filter(
|
|
||||||
(strike) => strike > lowerStrike && strike < higherStrike,
|
|
||||||
);
|
|
||||||
|
|
||||||
// Determine the mid strike leg:
|
|
||||||
if (midStrikes.length > 0) {
|
|
||||||
// Choose the strike closest to our targetMidStrike
|
|
||||||
midStrike = midStrikes.reduce((closest, strike) => {
|
|
||||||
return Math.abs(strike - targetMidStrike) <
|
|
||||||
Math.abs(closest - targetMidStrike)
|
|
||||||
? strike
|
|
||||||
: closest;
|
|
||||||
}, midStrikes[0]);
|
|
||||||
} else {
|
|
||||||
// Fallback if no strike exists in between: you could use the target or any other logic.
|
|
||||||
midStrike = lowerStrike * 1.1;
|
|
||||||
}
|
|
||||||
} else {
|
|
||||||
// Fallback if strikeList is empty
|
|
||||||
higherStrike = lowerStrike * 1.2;
|
|
||||||
midStrike = lowerStrike * 1.1;
|
|
||||||
}
|
|
||||||
|
|
||||||
// Build the trading strategy for a Long Call Butterfly
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: higherStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: midStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0,
|
|
||||||
quantity: 2,
|
|
||||||
action: "Sell",
|
|
||||||
},
|
|
||||||
{
|
|
||||||
strike: lowerStrike,
|
|
||||||
optionType: "Call",
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: 0,
|
|
||||||
quantity: 1,
|
|
||||||
action: "Buy",
|
|
||||||
},
|
|
||||||
];
|
|
||||||
} else {
|
|
||||||
userStrategy = [
|
|
||||||
{
|
|
||||||
strike: selectedStrike,
|
|
||||||
optionType: selectedOptionType,
|
|
||||||
date: selectedDate,
|
|
||||||
optionPrice: selectedOptionPrice,
|
|
||||||
quantity: selectedQuantity,
|
|
||||||
action: selectedAction,
|
|
||||||
},
|
|
||||||
];
|
|
||||||
}
|
|
||||||
userStrategy = [...userStrategy];
|
|
||||||
await loadData();
|
|
||||||
shouldUpdate = true;
|
|
||||||
}
|
|
||||||
|
|
||||||
const payoffFunctions = {
|
|
||||||
"Buy Call": (
|
|
||||||
s: number,
|
|
||||||
strike: number,
|
|
||||||
premium: number,
|
|
||||||
quantity: number,
|
|
||||||
) => (s < strike ? -premium : (s - strike) * 100 * quantity - premium),
|
|
||||||
|
|
||||||
"Sell Call": (
|
|
||||||
s: number,
|
|
||||||
strike: number,
|
|
||||||
premium: number,
|
|
||||||
quantity: number,
|
|
||||||
) => (s < strike ? premium : premium - (s - strike) * 100 * quantity),
|
|
||||||
|
|
||||||
"Buy Put": (
|
|
||||||
s: number,
|
|
||||||
strike: number,
|
|
||||||
premium: number,
|
|
||||||
quantity: number,
|
|
||||||
) => (s > strike ? -premium : (strike - s) * 100 * quantity - premium),
|
|
||||||
|
|
||||||
"Sell Put": (
|
|
||||||
s: number,
|
|
||||||
strike: number,
|
|
||||||
premium: number,
|
|
||||||
quantity: number,
|
|
||||||
) => (s > strike ? premium : premium - (strike - s) * 100 * quantity),
|
|
||||||
};
|
|
||||||
|
|
||||||
const formatDate = (dateString: string) => {
|
|
||||||
const date = new Date(dateString);
|
|
||||||
return date.toLocaleDateString("en-US", {
|
|
||||||
month: "short",
|
|
||||||
day: "2-digit",
|
|
||||||
year: "numeric",
|
|
||||||
timeZone: "America/New_York",
|
|
||||||
});
|
|
||||||
};
|
|
||||||
|
|
||||||
function plotData() {
|
|
||||||
// Determine x-axis range based on current stock price and max leg strike
|
|
||||||
if (!userStrategy || userStrategy.length === 0) {
|
|
||||||
return null;
|
|
||||||
}
|
|
||||||
|
|
||||||
const maxLegStrike = Math.max(...userStrategy.map((leg) => leg.strike));
|
|
||||||
const xMin = 0;
|
|
||||||
const xMax = Math.floor(Math.max(currentStockPrice, maxLegStrike) * 3);
|
|
||||||
const step = 10;
|
|
||||||
|
|
||||||
// Calculate the total premium across all legs
|
|
||||||
totalPremium = userStrategy.reduce((sum, leg) => {
|
|
||||||
return sum + leg.optionPrice * 100 * leg.quantity;
|
|
||||||
}, 0);
|
|
||||||
|
|
||||||
// Compute the aggregated payoff at each underlying price
|
|
||||||
const dataPoints = [];
|
|
||||||
for (let s = xMin; s <= xMax; s += step) {
|
|
||||||
let aggregatedPayoff = 0;
|
|
||||||
userStrategy.forEach((leg) => {
|
|
||||||
const legPremium = leg.optionPrice * 100 * leg.quantity;
|
|
||||||
const scenarioKey = `${leg.action} ${leg.optionType}`;
|
|
||||||
if (payoffFunctions[scenarioKey]) {
|
|
||||||
aggregatedPayoff += payoffFunctions[scenarioKey](
|
|
||||||
s,
|
|
||||||
leg.strike,
|
|
||||||
legPremium,
|
|
||||||
leg.quantity,
|
|
||||||
);
|
|
||||||
} else {
|
|
||||||
console.error(
|
|
||||||
"Payoff function not implemented for scenario:",
|
|
||||||
scenarioKey,
|
|
||||||
);
|
|
||||||
}
|
|
||||||
});
|
|
||||||
dataPoints.push([s, aggregatedPayoff]);
|
|
||||||
}
|
|
||||||
|
|
||||||
metrics = calculateMetrics();
|
|
||||||
calculateBreakevenPrice(dataPoints);
|
|
||||||
//console.log(userStrategy);
|
|
||||||
const options = {
|
|
||||||
credits: { enabled: false },
|
credits: { enabled: false },
|
||||||
chart: {
|
chart: {
|
||||||
type: "area",
|
type: "area",
|
||||||
@ -637,7 +197,7 @@
|
|||||||
label: {
|
label: {
|
||||||
text: `<span class="hidden sm:block text-black dark:text-white text-sm">Breakeven $${
|
text: `<span class="hidden sm:block text-black dark:text-white text-sm">Breakeven $${
|
||||||
typeof breakEvenPrice === "number"
|
typeof breakEvenPrice === "number"
|
||||||
? breakEvenPrice.toFixed(2)
|
? breakEvenPrice?.toFixed(2)
|
||||||
: ""
|
: ""
|
||||||
}</span>`,
|
}</span>`,
|
||||||
style: { color: $mode === "light" ? "black" : "white" },
|
style: { color: $mode === "light" ? "black" : "white" },
|
||||||
@ -645,7 +205,7 @@
|
|||||||
zIndex: 5,
|
zIndex: 5,
|
||||||
}
|
}
|
||||||
: null,
|
: null,
|
||||||
].filter((line) => line !== null),
|
]?.filter((line) => line !== null),
|
||||||
},
|
},
|
||||||
yAxis: {
|
yAxis: {
|
||||||
title: {
|
title: {
|
||||||
@ -721,316 +281,56 @@
|
|||||||
},
|
},
|
||||||
],
|
],
|
||||||
};
|
};
|
||||||
|
|
||||||
return options;
|
|
||||||
}
|
|
||||||
|
|
||||||
function calculateMetrics() {
|
|
||||||
const multiplier = 100;
|
|
||||||
|
|
||||||
// Get all legs in the strategy
|
|
||||||
const allLegs = [...userStrategy];
|
|
||||||
|
|
||||||
// Check if strategy is empty
|
|
||||||
if (allLegs.length === 0) {
|
|
||||||
metrics = {
|
|
||||||
maxProfit: "$0",
|
|
||||||
maxLoss: "$0",
|
|
||||||
};
|
};
|
||||||
return metrics;
|
|
||||||
}
|
|
||||||
|
|
||||||
// Consolidate identical strikes with opposite actions (Buy/Sell)
|
const handleStrategyMessage = async (event) => {
|
||||||
const consolidatedLegs = [];
|
userStrategy = event?.data?.output;
|
||||||
const strikeMap = new Map();
|
|
||||||
|
|
||||||
// Group legs by strike and option type
|
userStrategy = [...userStrategy];
|
||||||
allLegs.forEach((leg) => {
|
await loadData();
|
||||||
const key = `${leg.strike}-${leg.optionType}`;
|
shouldUpdate = true;
|
||||||
if (!strikeMap.has(key)) {
|
};
|
||||||
strikeMap.set(key, []);
|
|
||||||
}
|
|
||||||
strikeMap.get(key).push(leg);
|
|
||||||
});
|
|
||||||
|
|
||||||
// Consolidate legs with same strike/option type into net positions
|
async function changeStrategy(strategy) {
|
||||||
strikeMap.forEach((legs, key) => {
|
selectedStrategy = strategy?.name;
|
||||||
let netQuantity = 0;
|
description = strategy?.description;
|
||||||
let netCost = 0;
|
|
||||||
legs.forEach((leg) => {
|
strategyWorker.postMessage({
|
||||||
const quantity = leg.quantity || 1;
|
userStrategy,
|
||||||
if (leg.action === "Buy") {
|
strikeList,
|
||||||
netQuantity += quantity;
|
selectedStrategy,
|
||||||
netCost += leg.optionPrice * quantity;
|
selectedAction,
|
||||||
} else {
|
selectedDate,
|
||||||
netQuantity -= quantity;
|
selectedOptionPrice,
|
||||||
netCost -= leg.optionPrice * quantity;
|
selectedOptionType,
|
||||||
}
|
selectedQuantity,
|
||||||
});
|
selectedStrike,
|
||||||
// Only include legs with nonzero positions
|
|
||||||
if (netQuantity !== 0) {
|
|
||||||
const [strike, optionType] = key.split("-");
|
|
||||||
consolidatedLegs.push({
|
|
||||||
strike: parseFloat(strike),
|
|
||||||
optionType,
|
|
||||||
optionPrice: Math.abs(netCost / netQuantity),
|
|
||||||
quantity: Math.abs(netQuantity),
|
|
||||||
action: netQuantity > 0 ? "Buy" : "Sell",
|
|
||||||
});
|
});
|
||||||
}
|
}
|
||||||
|
|
||||||
|
const formatDate = (dateString: string) => {
|
||||||
|
const date = new Date(dateString);
|
||||||
|
return date.toLocaleDateString("en-US", {
|
||||||
|
month: "short",
|
||||||
|
day: "2-digit",
|
||||||
|
year: "numeric",
|
||||||
|
timeZone: "America/New_York",
|
||||||
});
|
});
|
||||||
|
};
|
||||||
|
|
||||||
// Separate the legs by type and action
|
function plotData() {
|
||||||
const buyCalls = consolidatedLegs.filter(
|
// Determine x-axis range based on current stock price and max leg strike
|
||||||
(leg) => leg.action === "Buy" && leg.optionType === "Call",
|
if (!userStrategy || userStrategy.length === 0) {
|
||||||
);
|
return null;
|
||||||
const sellCalls = consolidatedLegs.filter(
|
|
||||||
(leg) => leg.action === "Sell" && leg.optionType === "Call",
|
|
||||||
);
|
|
||||||
const buyPuts = consolidatedLegs.filter(
|
|
||||||
(leg) => leg.action === "Buy" && leg.optionType === "Put",
|
|
||||||
);
|
|
||||||
const sellPuts = consolidatedLegs.filter(
|
|
||||||
(leg) => leg.action === "Sell" && leg.optionType === "Put",
|
|
||||||
);
|
|
||||||
|
|
||||||
// Calculate net premium for the entire strategy.
|
|
||||||
let netPremium = 0;
|
|
||||||
allLegs.forEach((leg) => {
|
|
||||||
const quantity = leg.quantity || 1;
|
|
||||||
const premium = leg.optionPrice * multiplier * quantity;
|
|
||||||
if (leg.action === "Buy") {
|
|
||||||
netPremium -= premium;
|
|
||||||
} else {
|
|
||||||
netPremium += premium;
|
|
||||||
}
|
}
|
||||||
|
try {
|
||||||
|
plotWorker.postMessage({
|
||||||
|
userStrategy: userStrategy,
|
||||||
|
currentStockPrice: currentStockPrice,
|
||||||
});
|
});
|
||||||
|
} catch (error) {
|
||||||
// --- VERTICAL SPREAD HANDLING (UPDATED) ---
|
console.error("Error fetching stock data:", error);
|
||||||
if (buyCalls.length === 1 && sellCalls.length === 1) {
|
|
||||||
const buyCall = buyCalls[0];
|
|
||||||
const sellCall = sellCalls[0];
|
|
||||||
const spreadWidth =
|
|
||||||
Math.abs(buyCall.strike - sellCall.strike) * multiplier;
|
|
||||||
|
|
||||||
if (buyCall.strike < sellCall.strike) {
|
|
||||||
// Bull call spread: max loss is net debit, max profit is spread width - net debit
|
|
||||||
const maxLoss = -netPremium; // Net debit is negative, convert to positive
|
|
||||||
const maxProfit = spreadWidth - maxLoss;
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(maxProfit)}`,
|
|
||||||
maxLoss: `$${formatCurrency(maxLoss)}`,
|
|
||||||
};
|
|
||||||
} else {
|
|
||||||
// Bear call spread: max profit is net credit, max loss is spread width - net credit
|
|
||||||
const maxProfit = netPremium;
|
|
||||||
const maxLoss = spreadWidth - maxProfit;
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(maxProfit)}`,
|
|
||||||
maxLoss: `$${formatCurrency(maxLoss)}`,
|
|
||||||
};
|
|
||||||
}
|
}
|
||||||
return metrics;
|
|
||||||
}
|
|
||||||
// --- END VERTICAL SPREAD HANDLING ---
|
|
||||||
|
|
||||||
// Determine unlimited profit/loss flags based on calls only.
|
|
||||||
let hasUnlimitedProfit = false;
|
|
||||||
let hasUnlimitedLoss = false;
|
|
||||||
if (buyCalls.length > 0) {
|
|
||||||
const sortedBuyCalls = [...buyCalls].sort((a, b) => a.strike - b.strike);
|
|
||||||
const sortedSellCalls = [...sellCalls].sort(
|
|
||||||
(a, b) => a.strike - b.strike,
|
|
||||||
);
|
|
||||||
if (
|
|
||||||
sellCalls.length === 0 ||
|
|
||||||
sortedBuyCalls[sortedBuyCalls.length - 1].strike >
|
|
||||||
sortedSellCalls[sortedSellCalls.length - 1].strike
|
|
||||||
) {
|
|
||||||
hasUnlimitedProfit = true;
|
|
||||||
}
|
|
||||||
const totalBuyCallQuantity = sortedBuyCalls.reduce(
|
|
||||||
(sum, leg) => sum + (leg.quantity || 1),
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
const totalSellCallQuantity = sortedSellCalls.reduce(
|
|
||||||
(sum, leg) => sum + (leg.quantity || 1),
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
if (totalBuyCallQuantity > totalSellCallQuantity) {
|
|
||||||
hasUnlimitedProfit = true;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
if (sellCalls.length > 0) {
|
|
||||||
const sortedBuyCalls = [...buyCalls].sort((a, b) => a.strike - b.strike);
|
|
||||||
const sortedSellCalls = [...sellCalls].sort(
|
|
||||||
(a, b) => a.strike - b.strike,
|
|
||||||
);
|
|
||||||
if (
|
|
||||||
buyCalls.length === 0 ||
|
|
||||||
sortedSellCalls[sortedSellCalls.length - 1].strike >
|
|
||||||
sortedBuyCalls[sortedBuyCalls.length - 1].strike
|
|
||||||
) {
|
|
||||||
hasUnlimitedLoss = true;
|
|
||||||
}
|
|
||||||
const totalBuyCallQuantity = sortedBuyCalls.reduce(
|
|
||||||
(sum, leg) => sum + (leg.quantity || 1),
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
const totalSellCallQuantity = sortedSellCalls.reduce(
|
|
||||||
(sum, leg) => sum + (leg.quantity || 1),
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
if (totalSellCallQuantity > totalBuyCallQuantity) {
|
|
||||||
hasUnlimitedLoss = true;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
// Check if exactly one put is bought and one sold (vertical spread)
|
|
||||||
if (buyPuts.length === 1 && sellPuts.length === 1) {
|
|
||||||
const buyStrike = buyPuts[0].strike;
|
|
||||||
const sellStrike = sellPuts[0].strike;
|
|
||||||
const spreadWidth = Math.abs(buyStrike - sellStrike) * multiplier;
|
|
||||||
|
|
||||||
// Bull Put Spread (sell higher strike, buy lower strike)
|
|
||||||
if (sellStrike > buyStrike) {
|
|
||||||
const maxProfit = netPremium; // Net credit received
|
|
||||||
const maxLoss = spreadWidth - maxProfit;
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(maxProfit)}`,
|
|
||||||
maxLoss: `$${formatCurrency(maxLoss)}`,
|
|
||||||
};
|
|
||||||
return metrics;
|
|
||||||
}
|
|
||||||
// Bear Put Spread (buy higher strike, sell lower strike)
|
|
||||||
else if (buyStrike > sellStrike) {
|
|
||||||
const maxProfit = spreadWidth - Math.abs(netPremium);
|
|
||||||
const maxLoss = Math.abs(netPremium); // Net debit paid
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(maxProfit)}`,
|
|
||||||
maxLoss: `$${formatCurrency(maxLoss)}`,
|
|
||||||
};
|
|
||||||
return metrics;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
// --- RATIO SPREAD HANDLING ---
|
|
||||||
// Detect a pattern where two (or more) long calls bracket the short call(s) with balanced quantities.
|
|
||||||
if (buyCalls.length >= 2 && sellCalls.length >= 1) {
|
|
||||||
const buyStrikes = buyCalls.map((leg) => leg.strike);
|
|
||||||
const sellStrikes = sellCalls.map((leg) => leg.strike);
|
|
||||||
const lowerBuy = Math.min(...buyStrikes);
|
|
||||||
const higherBuy = Math.max(...buyStrikes);
|
|
||||||
const minSell = Math.min(...sellStrikes);
|
|
||||||
const maxSell = Math.max(...sellStrikes);
|
|
||||||
const totalBuyCallQuantity = buyCalls.reduce(
|
|
||||||
(sum, leg) => sum + leg.quantity,
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
const totalSellCallQuantity = sellCalls.reduce(
|
|
||||||
(sum, leg) => sum + leg.quantity,
|
|
||||||
0,
|
|
||||||
);
|
|
||||||
|
|
||||||
if (
|
|
||||||
lowerBuy < minSell &&
|
|
||||||
higherBuy > maxSell &&
|
|
||||||
totalBuyCallQuantity === totalSellCallQuantity
|
|
||||||
) {
|
|
||||||
hasUnlimitedProfit = false;
|
|
||||||
hasUnlimitedLoss = false;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
// --- END RATIO SPREAD HANDLING ---
|
|
||||||
|
|
||||||
// If we haven't returned earlier via a specific branch, then compute profit and loss
|
|
||||||
// by simulating across various price points.
|
|
||||||
const strikes = allLegs.map((leg) => leg.strike);
|
|
||||||
const minStrike = Math.min(...strikes);
|
|
||||||
const maxStrike = Math.max(...strikes);
|
|
||||||
const pricePoints = [0, minStrike / 2, ...strikes, maxStrike * 1.5];
|
|
||||||
|
|
||||||
let computedMaxProfit = -Infinity;
|
|
||||||
let computedMaxLoss = -netPremium; // starting point: net premium paid
|
|
||||||
|
|
||||||
pricePoints.forEach((price) => {
|
|
||||||
let profitAtPrice = netPremium;
|
|
||||||
allLegs.forEach((leg) => {
|
|
||||||
const quantity = leg.quantity || 1;
|
|
||||||
if (leg.optionType === "Call") {
|
|
||||||
if (price > leg.strike) {
|
|
||||||
const intrinsicValue = (price - leg.strike) * multiplier * quantity;
|
|
||||||
profitAtPrice +=
|
|
||||||
leg.action === "Buy" ? intrinsicValue : -intrinsicValue;
|
|
||||||
}
|
|
||||||
} else if (leg.optionType === "Put") {
|
|
||||||
if (price < leg.strike) {
|
|
||||||
const intrinsicValue = (leg.strike - price) * multiplier * quantity;
|
|
||||||
profitAtPrice +=
|
|
||||||
leg.action === "Buy" ? intrinsicValue : -intrinsicValue;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
});
|
|
||||||
computedMaxProfit = Math.max(computedMaxProfit, profitAtPrice);
|
|
||||||
if (profitAtPrice < 0) {
|
|
||||||
computedMaxLoss = Math.min(computedMaxLoss, profitAtPrice);
|
|
||||||
}
|
|
||||||
});
|
|
||||||
|
|
||||||
// Adjust final metrics based on unlimited flags:
|
|
||||||
if (hasUnlimitedProfit && !hasUnlimitedLoss) {
|
|
||||||
metrics = {
|
|
||||||
maxProfit: "Unlimited",
|
|
||||||
maxLoss: `$${formatCurrency(Math.abs(computedMaxLoss))}`,
|
|
||||||
};
|
|
||||||
} else if (!hasUnlimitedProfit && hasUnlimitedLoss) {
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(computedMaxProfit)}`,
|
|
||||||
maxLoss: "Unlimited",
|
|
||||||
};
|
|
||||||
} else if (hasUnlimitedProfit && hasUnlimitedLoss) {
|
|
||||||
metrics = {
|
|
||||||
maxProfit: "Unlimited",
|
|
||||||
maxLoss: "Unlimited",
|
|
||||||
};
|
|
||||||
} else {
|
|
||||||
metrics = {
|
|
||||||
maxProfit: `$${formatCurrency(computedMaxProfit)}`,
|
|
||||||
maxLoss: `$${formatCurrency(Math.abs(computedMaxLoss))}`,
|
|
||||||
};
|
|
||||||
}
|
|
||||||
|
|
||||||
return metrics;
|
|
||||||
}
|
|
||||||
|
|
||||||
function calculateBreakevenPrice(dataPoints) {
|
|
||||||
breakEvenPrice = null;
|
|
||||||
// Loop over the dataPoints to find a sign change from loss to profit or vice versa
|
|
||||||
for (let i = 1; i < dataPoints.length; i++) {
|
|
||||||
const [prevPrice, prevProfitLoss] = dataPoints[i - 1];
|
|
||||||
const [currPrice, currProfitLoss] = dataPoints[i];
|
|
||||||
|
|
||||||
// Check if there is a sign change between consecutive points
|
|
||||||
if (
|
|
||||||
(prevProfitLoss < 0 && currProfitLoss >= 0) ||
|
|
||||||
(prevProfitLoss > 0 && currProfitLoss <= 0)
|
|
||||||
) {
|
|
||||||
// Linear interpolation to estimate the exact crossing point
|
|
||||||
const priceDiff = currPrice - prevPrice;
|
|
||||||
const profitDiff = currProfitLoss - prevProfitLoss;
|
|
||||||
const ratio = Math.abs(prevProfitLoss) / Math.abs(profitDiff);
|
|
||||||
breakEvenPrice = prevPrice + ratio * priceDiff;
|
|
||||||
break;
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
|
|
||||||
// Helper function for currency formatting
|
|
||||||
function formatCurrency(value: number): string {
|
|
||||||
return Math.abs(value)?.toLocaleString("en-US", {
|
|
||||||
minimumFractionDigits: 2,
|
|
||||||
maximumFractionDigits: 2,
|
|
||||||
});
|
|
||||||
}
|
}
|
||||||
|
|
||||||
const getContractHistory = async (contractId: string) => {
|
const getContractHistory = async (contractId: string) => {
|
||||||
@ -1411,6 +711,18 @@
|
|||||||
downloadWorker.onmessage = handleDownloadMessage;
|
downloadWorker.onmessage = handleDownloadMessage;
|
||||||
}
|
}
|
||||||
|
|
||||||
|
if (!plotWorker) {
|
||||||
|
const PlotWorker = await import("./workers/plotWorker?worker");
|
||||||
|
plotWorker = new PlotWorker.default();
|
||||||
|
plotWorker.onmessage = handlePlotMessage;
|
||||||
|
}
|
||||||
|
|
||||||
|
if (!strategyWorker) {
|
||||||
|
const StrategyWorker = await import("./workers/strategyWorker?worker");
|
||||||
|
strategyWorker = new StrategyWorker.default();
|
||||||
|
strategyWorker.onmessage = handleStrategyMessage;
|
||||||
|
}
|
||||||
|
|
||||||
await getStockData();
|
await getStockData();
|
||||||
|
|
||||||
shouldUpdate = true;
|
shouldUpdate = true;
|
||||||
|
|||||||
@ -1,3 +1,5 @@
|
|||||||
|
|
||||||
|
|
||||||
// Helper function for currency formatting
|
// Helper function for currency formatting
|
||||||
function formatCurrency(value: number): string {
|
function formatCurrency(value: number): string {
|
||||||
return Math.abs(value)?.toLocaleString("en-US", {
|
return Math.abs(value)?.toLocaleString("en-US", {
|
||||||
@ -309,3 +311,92 @@ for (let i = 1; i < dataPoints.length; i++) {
|
|||||||
|
|
||||||
return breakEvenPrice;
|
return breakEvenPrice;
|
||||||
}
|
}
|
||||||
|
|
||||||
|
const payoffFunctions = {
|
||||||
|
"Buy Call": (
|
||||||
|
s: number,
|
||||||
|
strike: number,
|
||||||
|
premium: number,
|
||||||
|
quantity: number,
|
||||||
|
) => (s < strike ? -premium : (s - strike) * 100 * quantity - premium),
|
||||||
|
|
||||||
|
"Sell Call": (
|
||||||
|
s: number,
|
||||||
|
strike: number,
|
||||||
|
premium: number,
|
||||||
|
quantity: number,
|
||||||
|
) => (s < strike ? premium : premium - (s - strike) * 100 * quantity),
|
||||||
|
|
||||||
|
"Buy Put": (
|
||||||
|
s: number,
|
||||||
|
strike: number,
|
||||||
|
premium: number,
|
||||||
|
quantity: number,
|
||||||
|
) => (s > strike ? -premium : (strike - s) * 100 * quantity - premium),
|
||||||
|
|
||||||
|
"Sell Put": (
|
||||||
|
s: number,
|
||||||
|
strike: number,
|
||||||
|
premium: number,
|
||||||
|
quantity: number,
|
||||||
|
) => (s > strike ? premium : premium - (strike - s) * 100 * quantity),
|
||||||
|
};
|
||||||
|
|
||||||
|
function plotData(userStrategy, currentStockPrice) {
|
||||||
|
// Determine x-axis range based on current stock price and max leg strike
|
||||||
|
if (!userStrategy || userStrategy.length === 0) {
|
||||||
|
return null;
|
||||||
|
}
|
||||||
|
|
||||||
|
const maxLegStrike = Math.max(...userStrategy.map((leg) => leg.strike));
|
||||||
|
const xMin = 0;
|
||||||
|
const xMax = Math.floor(Math.max(currentStockPrice, maxLegStrike) * 3);
|
||||||
|
const step = 10;
|
||||||
|
|
||||||
|
// Calculate the total premium across all legs
|
||||||
|
let totalPremium = userStrategy.reduce((sum, leg) => {
|
||||||
|
return sum + leg.optionPrice * 100 * leg.quantity;
|
||||||
|
}, 0);
|
||||||
|
|
||||||
|
// Compute the aggregated payoff at each underlying price
|
||||||
|
const dataPoints = [];
|
||||||
|
for (let s = xMin; s <= xMax; s += step) {
|
||||||
|
let aggregatedPayoff = 0;
|
||||||
|
userStrategy.forEach((leg) => {
|
||||||
|
const legPremium = leg.optionPrice * 100 * leg.quantity;
|
||||||
|
const scenarioKey = `${leg.action} ${leg.optionType}`;
|
||||||
|
if (payoffFunctions[scenarioKey]) {
|
||||||
|
aggregatedPayoff += payoffFunctions[scenarioKey](
|
||||||
|
s,
|
||||||
|
leg.strike,
|
||||||
|
legPremium,
|
||||||
|
leg.quantity,
|
||||||
|
);
|
||||||
|
} else {
|
||||||
|
console.error(
|
||||||
|
"Payoff function not implemented for scenario:",
|
||||||
|
scenarioKey,
|
||||||
|
);
|
||||||
|
}
|
||||||
|
});
|
||||||
|
dataPoints.push([s, aggregatedPayoff]);
|
||||||
|
}
|
||||||
|
|
||||||
|
const metrics = calculateMetrics(userStrategy);
|
||||||
|
let breakEvenPrice = calculateBreakevenPrice(dataPoints);
|
||||||
|
|
||||||
|
|
||||||
|
return {metrics, breakEvenPrice, totalPremium, dataPoints, xMin, xMax};
|
||||||
|
}
|
||||||
|
|
||||||
|
|
||||||
|
onmessage = async (event) => {
|
||||||
|
const { userStrategy, currentStockPrice } = event.data;
|
||||||
|
|
||||||
|
const output = plotData(userStrategy, currentStockPrice);
|
||||||
|
|
||||||
|
|
||||||
|
postMessage({ message: "success", output });
|
||||||
|
};
|
||||||
|
|
||||||
|
export {};
|
||||||
|
|||||||
377
src/routes/options-calculator/workers/strategyWorker.ts
Normal file
377
src/routes/options-calculator/workers/strategyWorker.ts
Normal file
@ -0,0 +1,377 @@
|
|||||||
|
|
||||||
|
const getStrategy = (userStrategy, strikeList, selectedStrategy, selectedAction, selectedDate, selectedOptionPrice, selectedOptionType, selectedQuantity, selectedStrike) => {
|
||||||
|
|
||||||
|
// Set appropriate option type and action based on strategy
|
||||||
|
switch (selectedStrategy) {
|
||||||
|
case "Long Call":
|
||||||
|
selectedOptionType = "Call";
|
||||||
|
selectedAction = "Buy";
|
||||||
|
break;
|
||||||
|
case "Short Call":
|
||||||
|
selectedOptionType = "Call";
|
||||||
|
selectedAction = "Sell";
|
||||||
|
break;
|
||||||
|
case "Long Put":
|
||||||
|
selectedOptionType = "Put";
|
||||||
|
selectedAction = "Buy";
|
||||||
|
break;
|
||||||
|
case "Short Put":
|
||||||
|
selectedOptionType = "Put";
|
||||||
|
selectedAction = "Sell";
|
||||||
|
break;
|
||||||
|
case "Cash Secured Put":
|
||||||
|
selectedOptionType = "Put";
|
||||||
|
selectedAction = "Sell";
|
||||||
|
break;
|
||||||
|
default:
|
||||||
|
break;
|
||||||
|
}
|
||||||
|
if ("Bull Call Spread" === selectedStrategy) {
|
||||||
|
// Find the lower strike first (for the Buy leg)
|
||||||
|
const lowerStrike = selectedStrike;
|
||||||
|
|
||||||
|
// Find a higher strike in the available strikeList for the Sell leg
|
||||||
|
// First, calculate the target strike (40% higher)
|
||||||
|
const targetHigherStrike = lowerStrike * 1.4;
|
||||||
|
|
||||||
|
// Find the closest available strike price that is higher than the lower strike
|
||||||
|
let higherStrike;
|
||||||
|
if (strikeList && strikeList.length > 0) {
|
||||||
|
// Filter strikes that are higher than the lower strike
|
||||||
|
const higherStrikes = strikeList?.filter(
|
||||||
|
(strike) => strike > lowerStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
if (higherStrikes.length > 0) {
|
||||||
|
// Find the strike closest to our target from the available higher strikes
|
||||||
|
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetHigherStrike) <
|
||||||
|
Math.abs(closest - targetHigherStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, higherStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// If no higher strikes available, use the highest available strike
|
||||||
|
higherStrike = Math.max(...strikeList);
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// Fallback if strikeList is empty
|
||||||
|
higherStrike = lowerStrike * 1.4;
|
||||||
|
}
|
||||||
|
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: lowerStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: higherStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if (["Bull Put Spread"].includes(selectedStrategy)) {
|
||||||
|
// Find the lower strike first (for the Buy leg)
|
||||||
|
const lowerStrike = selectedStrike;
|
||||||
|
|
||||||
|
// Find a higher strike in the available strikeList for the Sell leg
|
||||||
|
// First, calculate the target strike (40% higher)
|
||||||
|
const targetHigherStrike = lowerStrike * 1.4;
|
||||||
|
|
||||||
|
// Find the closest available strike price that is higher than the lower strike
|
||||||
|
let higherStrike;
|
||||||
|
if (strikeList && strikeList.length > 0) {
|
||||||
|
// Filter strikes that are higher than the lower strike
|
||||||
|
const higherStrikes = strikeList?.filter(
|
||||||
|
(strike) => strike > lowerStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
if (higherStrikes.length > 0) {
|
||||||
|
// Find the strike closest to our target from the available higher strikes
|
||||||
|
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetHigherStrike) <
|
||||||
|
Math.abs(closest - targetHigherStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, higherStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// If no higher strikes available, use the highest available strike
|
||||||
|
higherStrike = Math.max(...strikeList);
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// Fallback if strikeList is empty
|
||||||
|
higherStrike = lowerStrike * 1.4;
|
||||||
|
}
|
||||||
|
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: higherStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: lowerStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if (["Bear Call Spread"].includes(selectedStrategy)) {
|
||||||
|
// Find the lower strike first (for the Buy leg)
|
||||||
|
const lowerStrike = selectedStrike;
|
||||||
|
|
||||||
|
// Find a higher strike in the available strikeList for the Sell leg
|
||||||
|
// First, calculate the target strike (40% higher)
|
||||||
|
const targetHigherStrike = lowerStrike * 1.4;
|
||||||
|
|
||||||
|
// Find the closest available strike price that is higher than the lower strike
|
||||||
|
let higherStrike;
|
||||||
|
if (strikeList && strikeList.length > 0) {
|
||||||
|
// Filter strikes that are higher than the lower strike
|
||||||
|
const higherStrikes = strikeList?.filter(
|
||||||
|
(strike) => strike > lowerStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
if (higherStrikes.length > 0) {
|
||||||
|
// Find the strike closest to our target from the available higher strikes
|
||||||
|
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetHigherStrike) <
|
||||||
|
Math.abs(closest - targetHigherStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, higherStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// If no higher strikes available, use the highest available strike
|
||||||
|
higherStrike = Math.max(...strikeList);
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// Fallback if strikeList is empty
|
||||||
|
higherStrike = lowerStrike * 1.4;
|
||||||
|
}
|
||||||
|
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: lowerStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: higherStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if ("Bear Put Spread" === selectedStrategy) {
|
||||||
|
// Find the lower strike first (for the Buy leg)
|
||||||
|
const lowerStrike = selectedStrike;
|
||||||
|
|
||||||
|
// Find a higher strike in the available strikeList for the Sell leg
|
||||||
|
// First, calculate the target strike (40% higher)
|
||||||
|
const targetHigherStrike = lowerStrike * 1.4;
|
||||||
|
|
||||||
|
// Find the closest available strike price that is higher than the lower strike
|
||||||
|
let higherStrike;
|
||||||
|
if (strikeList && strikeList.length > 0) {
|
||||||
|
// Filter strikes that are higher than the lower strike
|
||||||
|
const higherStrikes = strikeList?.filter(
|
||||||
|
(strike) => strike > lowerStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
if (higherStrikes.length > 0) {
|
||||||
|
// Find the strike closest to our target from the available higher strikes
|
||||||
|
higherStrike = higherStrikes?.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetHigherStrike) <
|
||||||
|
Math.abs(closest - targetHigherStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, higherStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// If no higher strikes available, use the highest available strike
|
||||||
|
higherStrike = Math.max(...strikeList);
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// Fallback if strikeList is empty
|
||||||
|
higherStrike = lowerStrike * 1.4;
|
||||||
|
}
|
||||||
|
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: higherStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: lowerStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
optionPrice: 0, // This will be updated when loadData() is called
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if ("Long Straddle" === selectedStrategy) {
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: selectedStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: selectedStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
optionPrice: 0,
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if ("Short Straddle" === selectedStrategy) {
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: selectedStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: selectedStrike,
|
||||||
|
optionType: "Put",
|
||||||
|
optionPrice: 0,
|
||||||
|
date: selectedDate,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else if ("Long Call Butterfly" === selectedStrategy) {
|
||||||
|
const lowerStrike = selectedStrike;
|
||||||
|
|
||||||
|
// Define target values relative to the lower strike
|
||||||
|
const targetMidStrike = lowerStrike * 1.1;
|
||||||
|
const targetHigherStrike = lowerStrike * 1.2;
|
||||||
|
|
||||||
|
// Initialize the strike values that will be used in the strategy
|
||||||
|
let higherStrike;
|
||||||
|
let midStrike;
|
||||||
|
|
||||||
|
if (strikeList && strikeList.length > 0) {
|
||||||
|
// Filter strikes that are higher than the lower strike
|
||||||
|
const higherStrikes = strikeList.filter(
|
||||||
|
(strike) => strike > lowerStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
// Determine the higher strike leg:
|
||||||
|
if (higherStrikes.length > 0) {
|
||||||
|
// Choose the strike closest to our targetHigherStrike
|
||||||
|
higherStrike = higherStrikes.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetHigherStrike) <
|
||||||
|
Math.abs(closest - targetHigherStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, higherStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// If no higher strikes are available, fallback to using the highest strike from the list
|
||||||
|
higherStrike = Math.max(...strikeList);
|
||||||
|
}
|
||||||
|
|
||||||
|
// For the mid strike, filter strikes that lie between the lowerStrike and the higherStrike
|
||||||
|
const midStrikes = strikeList.filter(
|
||||||
|
(strike) => strike > lowerStrike && strike < higherStrike,
|
||||||
|
);
|
||||||
|
|
||||||
|
// Determine the mid strike leg:
|
||||||
|
if (midStrikes.length > 0) {
|
||||||
|
// Choose the strike closest to our targetMidStrike
|
||||||
|
midStrike = midStrikes.reduce((closest, strike) => {
|
||||||
|
return Math.abs(strike - targetMidStrike) <
|
||||||
|
Math.abs(closest - targetMidStrike)
|
||||||
|
? strike
|
||||||
|
: closest;
|
||||||
|
}, midStrikes[0]);
|
||||||
|
} else {
|
||||||
|
// Fallback if no strike exists in between: you could use the target or any other logic.
|
||||||
|
midStrike = lowerStrike * 1.1;
|
||||||
|
}
|
||||||
|
} else {
|
||||||
|
// Fallback if strikeList is empty
|
||||||
|
higherStrike = lowerStrike * 1.2;
|
||||||
|
midStrike = lowerStrike * 1.1;
|
||||||
|
}
|
||||||
|
|
||||||
|
// Build the trading strategy for a Long Call Butterfly
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: higherStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: midStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0,
|
||||||
|
quantity: 2,
|
||||||
|
action: "Sell",
|
||||||
|
},
|
||||||
|
{
|
||||||
|
strike: lowerStrike,
|
||||||
|
optionType: "Call",
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: 0,
|
||||||
|
quantity: 1,
|
||||||
|
action: "Buy",
|
||||||
|
},
|
||||||
|
];
|
||||||
|
} else {
|
||||||
|
userStrategy = [
|
||||||
|
{
|
||||||
|
strike: selectedStrike,
|
||||||
|
optionType: selectedOptionType,
|
||||||
|
date: selectedDate,
|
||||||
|
optionPrice: selectedOptionPrice,
|
||||||
|
quantity: selectedQuantity,
|
||||||
|
action: selectedAction,
|
||||||
|
},
|
||||||
|
];
|
||||||
|
}
|
||||||
|
|
||||||
|
return userStrategy;
|
||||||
|
};
|
||||||
|
|
||||||
|
onmessage = async (event) => {
|
||||||
|
const { userStrategy, strikeList, selectedStrategy, selectedAction, selectedDate, selectedOptionPrice, selectedOptionType, selectedQuantity, selectedStrike } = event.data;
|
||||||
|
const output = getStrategy(userStrategy, strikeList, selectedStrategy, selectedAction, selectedDate, selectedOptionPrice, selectedOptionType, selectedQuantity, selectedStrike);
|
||||||
|
|
||||||
|
|
||||||
|
postMessage({ message: "success", output });
|
||||||
|
};
|
||||||
|
|
||||||
|
export {};
|
||||||
Loading…
x
Reference in New Issue
Block a user