Fix handling for net short edge case

brndnmtthws · Feb 1, 2024 · a3755a5 · a3755a5
1 parent f51dc51
commit a3755a5
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Showing 2 changed files with 42 additions and 12 deletions.
diff --git a/thetagang/test_util.py b/thetagang/test_util.py
@@ -329,6 +329,36 @@ def test_calculate_net_short_positions() -> None:
         "C",
     )
 
+    assert 5 == calculate_net_short_positions(
+        [
+            con(exp3dte, 60, "P", -10),
+            con(exp30dte, 69, "P", -1),
+            con(exp90dte, 69, "P", 1),
+            con(exp90dte, 68, "P", 5),
+        ],
+        "P",
+    )
+
+    assert 10 == calculate_net_short_positions(
+        [
+            con(exp3dte, 70, "P", -10),
+            con(exp30dte, 69, "P", -1),
+            con(exp90dte, 69, "P", 1),
+            con(exp90dte, 68, "P", 5),
+        ],
+        "P",
+    )
+
+    assert 0 == calculate_net_short_positions(
+        [
+            con(exp3dte, 60, "P", -10),
+            con(exp30dte, 69, "P", -1),
+            con(exp90dte, 69, "P", 1),
+            con(exp90dte, 68, "P", 50),
+        ],
+        "P",
+    )
+
 
 def test_weighted_avg_strike() -> None:
     today = date.today()

diff --git a/thetagang/util.py b/thetagang/util.py
@@ -115,25 +115,25 @@ def calculate_net_short_positions(positions: List[PortfolioItem], right: str) ->
     longs = sorted(longs, key=itemgetter(0, 1), reverse=right.upper().startswith("P"))
 
     def calc_net(short_dte: int, short_strike: float, short_position: float) -> float:
-        net = short_position
         for i in range(len(longs)):
+            if short_position > -1:
+                break
             (long_dte, long_strike, long_position) = longs[i]
+            if long_position < 1:
+                # ignore empty long positions
+                continue
             if long_dte >= short_dte:
                 if (right.upper().startswith("P") and long_strike >= short_strike) or (
                     right.upper().startswith("C") and long_strike <= short_strike
                 ):
-                    net = short_position + long_position
-                if net > 0:
-                    short_position = 0
-                    long_position = net
-                elif net < 0:
-                    long_position = 0
-                    short_position = net
-                else:
-                    long_position = 0
-                    short_position = 0
+                    if short_position + long_position > 0:
+                        short_position = 0
+                        long_position = short_position + long_position
+                    else:
+                        short_position += long_position
+                        long_position = 0
             longs[i] = (long_dte, long_strike, long_position)
-        return min([0.0, net])
+        return min([0.0, short_position])
 
     nets = [calc_net(*short) for short in shorts]