bugfixing options calculator
This commit is contained in:
MuslemRahimi
parent
bfed732d72
commit
f027ebe0da
@ -64,7 +64,7 @@
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let optionSymbol: string;
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let breakEvenPrice: number | null = null;
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let totalPremium: number;
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let limits: Record<string, string> = {};
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let metrics: Record<string, string> = {};
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let rawData: Record<string, any> = {};
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// Search variables
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@ -102,7 +102,7 @@
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// Other strategies commented out in original code
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];
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let userStrategy: OptionLeg[] = [];
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let userStrategy = [];
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let description = prebuiltStrategy[0]?.description;
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// STRATEGY FUNCTIONS
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@ -134,33 +134,49 @@
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selectedOptionType = null;
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selectedAction = null;
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}
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await loadData("default");
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userStrategy = [
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{
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strike: selectedStrike,
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optionType: selectedOptionType,
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date: selectedDate,
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optionPrice: selectedOptionPrice,
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quantity: selectedQuantity,
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action: selectedAction,
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},
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];
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shouldUpdate = true;
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}
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// PAYOFF CALCULATION FUNCTIONS
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const payoffFunctions = {
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"Buy Call": (s: number, strike: number, premium: number) =>
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s < strike ? -premium : (s - strike) * 100 * selectedQuantity - premium,
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"Buy Call": (
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s: number,
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strike: number,
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premium: number,
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quantity: number,
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) => (s < strike ? -premium : (s - strike) * 100 * quantity - premium),
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"Sell Call": (s: number, strike: number, premium: number) =>
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s < strike ? premium : premium - (s - strike) * 100 * selectedQuantity,
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"Sell Call": (
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s: number,
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strike: number,
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premium: number,
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quantity: number,
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) => (s < strike ? premium : premium - (s - strike) * 100 * quantity),
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"Buy Put": (s: number, strike: number, premium: number) =>
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s > strike ? -premium : (strike - s) * 100 * selectedQuantity - premium,
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"Buy Put": (
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s: number,
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strike: number,
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premium: number,
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quantity: number,
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) => (s > strike ? -premium : (strike - s) * 100 * quantity - premium),
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"Sell Put": (s: number, strike: number, premium: number) =>
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s > strike ? premium : premium - (strike - s) * 100 * selectedQuantity,
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};
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// Define break-even calculators for each scenario (using per-share price)
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const breakEvenCalculators = {
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"Buy Call": (strike: number, optionPrice: number) => strike + optionPrice,
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"Sell Call": (strike: number, optionPrice: number) => strike + optionPrice,
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"Buy Put": (strike: number, optionPrice: number) => strike - optionPrice,
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"Sell Put": (strike: number, optionPrice: number) => strike - optionPrice,
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"Sell Put": (
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s: number,
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strike: number,
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premium: number,
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quantity: number,
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) => (s > strike ? premium : premium - (strike - s) * 100 * quantity),
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};
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const formatDate = (dateString: string) => {
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@ -200,6 +216,7 @@
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s,
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leg.strike,
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legPremium,
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leg.quantity,
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);
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} else {
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console.error(
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@ -211,9 +228,9 @@
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dataPoints.push([s, aggregatedPayoff]);
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}
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// Calculate break-even and limits for single-leg strategies
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calculateBreakEvenAndLimits();
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// Calculate break-even and metrics for single-leg strategies
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calculateMetrics();
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calculateBreakevenPrice(dataPoints);
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// Build the chart options
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const options = {
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credits: { enabled: false },
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@ -258,9 +275,11 @@
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dashStyle: "Dash",
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width: $screenWidth < 640 ? 0 : 1.5,
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label: {
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text: `<span class="hidden sm:block text-black dark:text-white text-sm">Breakeven $${breakEvenPrice.toFixed(
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2,
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)}</span>`,
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text: `<span class="hidden sm:block text-black dark:text-white text-sm">Breakeven $${
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typeof breakEvenPrice === "number"
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? breakEvenPrice.toFixed(2)
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: ""
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}</span>`,
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style: { color: $mode === "light" ? "black" : "white" },
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},
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zIndex: 5,
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@ -346,49 +365,55 @@
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return options;
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}
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function calculateBreakEvenAndLimits() {
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function calculateMetrics() {
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const multiplier = 100;
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let totalPremium = 0;
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let overallMaxProfit = 0;
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let overallMaxLoss = 0;
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let unlimitedProfit = false;
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let unlimitedLoss = false;
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// Loop through each leg in the strategy
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// Loop through each leg in the strategy.
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for (let i = 0; i < userStrategy.length; i++) {
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const leg = userStrategy[i];
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totalPremium += leg.optionPrice; // accumulate total premium
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const scenarioKey = `${leg?.action} ${leg?.optionType}`;
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const quantity = leg?.quantity || 1; // Default to 1 if quantity is missing.
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// Multiply the premium by the contract multiplier and quantity.
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totalPremium += leg.optionPrice * multiplier * quantity;
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const scenarioKey = `${leg?.action} ${leg?.optionType}`;
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let legProfit = 0;
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let legLoss = 0;
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// Determine limits for each leg based on its scenario
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// Determine metrics for each leg based on its scenario.
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if (scenarioKey === "Buy Call") {
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// Profit is unlimited for a long call, loss limited to the premium paid.
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// Long call: unlimited profit, limited loss (the premium paid).
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legProfit = Infinity;
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legLoss = -leg.optionPrice;
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legLoss = leg.optionPrice * multiplier * quantity;
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unlimitedProfit = true;
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} else if (scenarioKey === "Sell Call") {
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// Profit is limited to the premium received; loss is unlimited.
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legProfit = leg.optionPrice;
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// Short call: limited profit (premium received), unlimited loss.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss = -Infinity;
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unlimitedLoss = true;
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} else if (scenarioKey === "Buy Put") {
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// For a long put, profit is (strike * 100) minus the premium, loss is the premium paid.
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legProfit = leg.strike * 100 - leg.optionPrice;
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legLoss = -leg.optionPrice;
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// Long put: profit is (strike * multiplier minus premium) and loss is the premium paid.
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legProfit =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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legLoss = leg.optionPrice * multiplier * quantity;
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} else if (scenarioKey === "Sell Put") {
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// For a short put, profit is the premium received, loss is (strike * 100 - premium).
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legProfit = leg.optionPrice;
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legLoss = -(leg.strike * 100 - leg.optionPrice);
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// Short put: profit is the premium received;
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// Maximum loss is the difference between strike * multiplier and the premium, scaled by quantity.
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legProfit = leg.optionPrice * multiplier * quantity;
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legLoss =
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(leg.strike * multiplier - leg.optionPrice * multiplier) * quantity;
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} else {
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console.error("Limits not defined for scenario:", scenarioKey);
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// Defaulting to zero contribution if unknown
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console.error("Metrics not defined for scenario:", scenarioKey);
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legProfit = 0;
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legLoss = 0;
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}
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// Sum only the finite numbers. If any leg is unlimited, the corresponding flag is set.
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// Sum only the finite numbers.
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if (isFinite(legProfit)) {
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overallMaxProfit += legProfit;
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}
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@ -397,8 +422,8 @@
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}
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}
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// Format the aggregated limits: if any leg was unlimited, set overall accordingly.
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limits = {
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// Format the aggregated metrics.
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metrics = {
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maxProfit: unlimitedProfit
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? "Unlimited"
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: `$${formatCurrency(overallMaxProfit)}`,
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@ -406,30 +431,38 @@
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? "Unlimited"
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: `$${formatCurrency(overallMaxLoss)}`,
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};
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}
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// For break-even price, if there's exactly one leg, compute it; otherwise, set it to null.
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if (userStrategy.length === 1) {
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const leg = userStrategy[0];
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const scenarioKey = `${leg?.action} ${leg?.optionType}`;
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if (breakEvenCalculators[scenarioKey]) {
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breakEvenPrice = breakEvenCalculators[scenarioKey](
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leg.strike,
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leg.optionPrice,
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);
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function calculateBreakevenPrice(dataPoints) {
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breakEvenPrice = null;
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// Loop over the dataPoints to find a sign change from loss to profit or vice versa
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for (let i = 1; i < dataPoints.length; i++) {
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const [prevPrice, prevProfitLoss] = dataPoints[i - 1];
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const [currPrice, currProfitLoss] = dataPoints[i];
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// Check if there is a sign change between consecutive points
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if (
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(prevProfitLoss < 0 && currProfitLoss >= 0) ||
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(prevProfitLoss > 0 && currProfitLoss <= 0)
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) {
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// Linear interpolation to estimate the exact crossing point
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const priceDiff = currPrice - prevPrice;
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const profitDiff = currProfitLoss - prevProfitLoss;
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const ratio = Math.abs(prevProfitLoss) / Math.abs(profitDiff);
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breakEvenPrice = prevPrice + ratio * priceDiff;
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break;
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}
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}
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}
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// Helper function for currency formatting
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function formatCurrency(value: number): string {
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return value.toLocaleString("en-US", {
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return value?.toLocaleString("en-US", {
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minimumFractionDigits: 2,
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maximumFractionDigits: 2,
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});
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}
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// DATA LOADING FUNCTIONS
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const getContractHistory = async (contractId: string) => {
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const cacheKey = contractId;
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const cachedData = getCache(cacheKey, "getContractHistory");
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@ -473,8 +506,6 @@
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return;
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}
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isLoaded = false;
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try {
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if (userStrategy?.length > 0) {
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for (const item of userStrategy) {
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@ -490,7 +521,7 @@
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item.date = selectedDate;
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}
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strikeList = optionData[selectedDate] || [];
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strikeList = optionData[item.date] || [];
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item.strikeList = strikeList;
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// Find closest strike to current stock price
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@ -508,9 +539,9 @@
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// Get option price
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optionSymbol = buildOptionSymbol(
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selectedTicker,
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selectedDate,
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selectedOptionType,
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selectedStrike,
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item?.date,
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item?.optionType,
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item?.strike,
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);
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const output = await getContractHistory(optionSymbol);
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@ -591,27 +622,6 @@
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rawData = (await response.json()) || {};
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currentStockPrice = rawData?.getStockQuote?.price || 0;
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// Initialize option data
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if (rawData?.getData) {
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optionData = rawData.getData[selectedOptionType] || {};
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dateList = Object.keys(optionData);
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if (dateList.length > 0) {
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selectedDate = dateList[0];
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strikeList = optionData[selectedDate] || [];
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// Select strike closest to current stock price
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if (strikeList.length > 0) {
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selectedStrike = strikeList.reduce((closest, strike) => {
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return Math.abs(strike - currentStockPrice) <
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Math.abs(closest - currentStockPrice)
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? strike
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: closest;
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}, strikeList[0]);
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}
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}
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}
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} catch (error) {
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console.error("Error fetching stock data:", error);
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}
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@ -689,6 +699,7 @@
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const updatedStrategy = [...userStrategy];
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updatedStrategy[index].date = selectedDate;
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userStrategy = updatedStrategy;
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await loadData("default");
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shouldUpdate = true;
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}
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}
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@ -703,23 +714,20 @@
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}
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}
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function handleOptionPriceInput(event: Event) {
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function handleOptionPriceInput(event: Event, index) {
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const value = (event.target as HTMLInputElement).value;
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selectedOptionPrice = value === "" ? null : +value;
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const updatedStrategy = [...userStrategy];
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updatedStrategy[index].optionPrice = selectedOptionPrice;
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userStrategy = updatedStrategy;
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// Clear any existing debounce timeout
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if (debounceTimeout) clearTimeout(debounceTimeout);
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// Set a new debounce timeout
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debounceTimeout = setTimeout(() => {
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if (userStrategy.length > 0) {
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userStrategy = userStrategy.map((leg) => ({
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...leg,
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optionPrice: selectedOptionPrice,
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}));
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shouldUpdate = true;
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}
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}, 300);
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}
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@ -729,12 +737,8 @@
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selectedQuantity = value === "" ? null : +value;
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const updatedStrategy = [...userStrategy];
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updatedStrategy[index].quantity = updatedStrategy[index].quantity =
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selectedQuantity;
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updatedStrategy[index].quantity = selectedQuantity;
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userStrategy = updatedStrategy;
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}
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// Clear any existing debounce timeout
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if (debounceTimeout) clearTimeout(debounceTimeout);
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// Set a new debounce timeout
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@ -742,6 +746,7 @@
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shouldUpdate = true;
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}, 300);
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}
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}
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async function search() {
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clearTimeout(timeoutId); // Clear any existing timeout
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@ -779,6 +784,7 @@
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await getStockData();
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await loadData("default");
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inputValue = "";
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shouldUpdate = true;
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}
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// LIFECYCLE FUNCTIONS
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@ -800,7 +806,10 @@
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$: {
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if (shouldUpdate) {
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shouldUpdate = false;
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config = plotData();
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userStrategy = [...userStrategy];
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isLoaded = true;
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}
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}
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@ -1120,7 +1129,7 @@
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step="0.1"
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min="0"
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value={userStrategy[index]?.optionPrice}
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on:input={handleOptionPriceInput}
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on:input={(e) => handleOptionPriceInput(e, index)}
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class="border border-gray-300 dark:border-gray-500 rounded px-2 py-1 w-24 focus:outline-none focus:ring-1 focus:ring-blue-500"
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/>
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</td>
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@ -1239,7 +1248,9 @@
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</div>
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<div class="flex items-baseline">
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<span class="text-lg font-semibold"
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>${breakEvenPrice?.toFixed(2)}</span
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>{typeof breakEvenPrice === "number"
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? "$" + breakEvenPrice?.toFixed(2)
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: "n/a"}</span
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>
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</div>
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</div>
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@ -1289,7 +1300,7 @@
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<div
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class="text-lg font-semibold text-green-800 dark:text-green-400"
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>
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{limits?.maxProfit}
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{metrics?.maxProfit}
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</div>
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</div>
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@ -1307,7 +1318,7 @@
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<div
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class="text-lg font-semibold text-red-600 dark:text-red-400"
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>
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{limits?.maxLoss}
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{metrics?.maxLoss}
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</div>
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</div>
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</div>
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Block a user