Allow configuring order exchange routing.

thetagang.toml

@@ -35,6 +35,11 @@ margin_usage = 0.5
 # https://interactivebrokers.github.io/tws-api/market_data_type.html)
 market_data_type = 1
 
+[orders]
+# The exchange to route orders to. Can be overridden if desired. This is also
+# used for fetching tickers/prices.
+exchange = "SMART"
+
 [orders.algo]
 # By default we use adaptive orders with patient priority which gives reasonable
 # results. You can also experiment with TWAP or other options, however the

thetagang/config.py

@@ -75,10 +75,11 @@ def validate_config(config):
                 "market_data_type": And(int, lambda n: 1 <= n <= 4),
             },
             "orders": {
+                "exchange": And(str, len),
                 "algo": {
                     "strategy": And(str, len),
                     "params": [And([str], lambda p: len(p) == 2)],
-                }
+                },
             },
             "option_chains": {
                 "expirations": And(int, lambda n: 1 <= n),

thetagang/config_defaults.py

@@ -1,5 +1,6 @@
 DEFAULT_CONFIG = {
     "orders": {
+        "exchange": "SMART",
         "algo": {
             "strategy": "Adaptive",
             "params": [["adaptivePriority", "Patient"]],

thetagang/portfolio_manager.py

@@ -834,7 +834,7 @@ def roll_calls(self, calls, account_summary, portfolio_positions):
     def close_positions(self, positions):
         for position in positions:
             try:
-                position.contract.exchange = "SMART"
+                position.contract.exchange = self.get_order_exchange()
                 buy_ticker = self.get_ticker_for(position.contract, midpoint=True)
                 price = round(get_lowest_price(buy_ticker), 2)
 
@@ -871,7 +871,7 @@ def roll_positions(self, positions, right, account_summary, portfolio_positions=
             try:
                 symbol = position.contract.symbol
 
-                position.contract.exchange = "SMART"
+                position.contract.exchange = self.get_order_exchange()
                 buy_ticker = self.get_ticker_for(position.contract, midpoint=True)
 
                 strike_limit = get_strike_limit(self.config, symbol, right)
@@ -929,13 +929,13 @@ def roll_positions(self, positions, right, account_summary, portfolio_positions=
                     ComboLeg(
                         conId=position.contract.conId,
                         ratio=1,
-                        exchange="SMART",
+                        exchange=self.get_order_exchange(),
                         action="BUY",
                     ),
                     ComboLeg(
                         conId=sell_ticker.contract.conId,
                         ratio=1,
-                        exchange="SMART",
+                        exchange=self.get_order_exchange(),
                         action="SELL",
                     ),
                 ]
@@ -945,7 +945,7 @@ def roll_positions(self, positions, right, account_summary, portfolio_positions=
                     secType="BAG",
                     symbol=symbol,
                     currency="USD",
-                    exchange="SMART",
+                    exchange=self.get_order_exchange(),
                     comboLegs=comboLegs,
                 )
 
@@ -1147,3 +1147,6 @@ def get_algo_strategy(self):
 
     def get_algo_params(self):
         return [TagValue(p[0], p[1]) for p in self.config["orders"]["algo"]["params"]]
+
+    def get_order_exchange(self):
+        return self.config["orders"]["exchange"]

thetagang/thetagang.py

@@ -48,6 +48,10 @@ def start(config):
     click.echo()
 
     click.secho("  Order settings:", fg="green")
+    click.secho(
+        f"    Exchange                 = {config['orders']['exchange']}",
+        fg="cyan",
+    )
     click.secho(
         f"    Strategy                 = {config['orders']['algo']['strategy']}",
         fg="cyan",