ET Reddit Mentions | ChartExchange

Over the past few weeks I’ve been working on a mechanical SPY 0DTE opening-range breakout strategy.
I used ChatGPT to help develop the rules, analyse historical SPY data and backtest different variations. Once the rules were finalised, I used Codex to write a fully automated Python bot that connects to Interactive Brokers Trader Workstation through the official TWS API.
I’m planning to test it on a live account tomorrow. I’ll be using limited capital initially because this is the first real-world test and 0DTE options are obviously extremely risky.
This is not financial advice, and I’m not claiming the strategy is profitable. I’m sharing it to get feedback, especially on the automation, execution assumptions and any weaknesses in the rules.
**What it trades**
Underlying: SPY
Product: same-day-expiry SPY options
Bullish setup: buys calls
Bearish setup: buys puts
Maximum one setup per trading day
A setup can contain multiple contracts
**Time settings**
Everything runs in New York time.
Opening range: 09:30:00–10:29:59 ET
No new entry at or after 14:00 ET
Force-close all remaining contracts at 15:30 ET
No trading on weekends, US market holidays or early-close sessions
**Opening range and breakout**
The bot builds the opening range from the first 60 one-minute SPY candles.
It records:
Opening-range high
Opening-range low
Opening-range width
The triggers are:
Bullish trigger = opening-range high + $0.80
Bearish trigger = opening-range low − $0.80
Whichever trigger is touched first after 10:30 locks the direction for the day.
If the bullish trigger is touched first, the bot only considers calls.
If the bearish trigger is touched first, the bot only considers puts.
It will not reverse direction later.
**Five-candle confirmation**
The confirmation window consists of:
The one-minute candle where the trigger was first touched
The following four one-minute candles
For a bullish setup, at least one of those completed candles must close strictly above the bullish trigger.
For a bearish setup, at least one must close strictly below the bearish trigger.
A close exactly equal to the trigger does not count.
As soon as a candle confirms, the bot prepares the entry for the beginning of the next one-minute candle.
If none of the five candles confirms, there is no trade that day.
**Option selection**
The bot selects:
A SPY option expiring that same day
A call for a bullish setup
A put for a bearish setup
The strike numerically closest to the current live SPY price
Tie rule:
Call: choose the lower strike
Put: choose the higher strike
It does not select contracts using delta, implied volatility, volume, open interest or cheapest premium.
**Quote requirements**
Before entering, the bot requires:
Live SPY market data
Live option market data
Positive bid and ask
Ask greater than or equal to bid
SPY quote no older than two seconds
Option quote no older than three seconds
No delayed or frozen data
Spread calculation:
spread percentage = (ask - bid) / midpoint
The maximum permitted spread is 15% of the midpoint.
**Position sizing**
The strategy uses cash only.
Cash basis:
min(SettledCash, TotalCashValue)
It does not include:
Margin buying power
Existing stocks
Existing options
Unrealised profit
Net liquidation value
Borrowed funds
The maximum trade budget is:
20% of available eligible cash
The bot calculates affordability using:
Initial option ask
A maximum allowed entry price of initial ask × 1.10
The 100-share option multiplier
Estimated commissions and fees
It buys as many whole contracts as fit within the 20% cash limit.
There is no fixed maximum number of contracts.
**Contract allocation**
The allocation depends on the opening-range width.
**If the opening range is below $4.50**
No runner contracts are bought.
The allocation pattern repeats:
TP1 → TP2 → TP2
Examples:
1 contract: 1 TP1
2 contracts: 1 TP1, 1 TP2
3 contracts: 1 TP1, 2 TP2
6 contracts: 2 TP1, 4 TP2
**If the opening range is $4.50 or more**
The allocation pattern repeats:
TP1 → TP2 → TP2 → conditional runner
Examples:
4 contracts: 1 TP1, 2 TP2, 1 runner
8 contracts: 2 TP1, 4 TP2, 2 runners
12 contracts: 3 TP1, 6 TP2, 3 runners
A runner is never bought when the opening range is below $4.50.
**Entry execution**
The bot submits a marketable buy limit order.
Initial limit: current option ask
Reprice increment: $0.02
Reprice interval: every 0.50 seconds
Maximum entry attempt: three seconds
Maximum option price: 10% above the initial ask
Maximum favourable SPY chase: $0.25 beyond the buffered trigger
For calls, the unfilled entry is cancelled if SPY moves more than $0.25 above the bullish trigger.
For puts, it is cancelled if SPY moves more than $0.25 below the bearish trigger.
If the order partially fills:
Filled contracts are kept
The unfilled remainder is cancelled
The bot does not retry or top up later
Allocation is recalculated using the actual filled quantity
Once any entry order is transmitted, no second setup is allowed that day.
**Profit targets**
All targets are based on SPY’s movement from the buffered trigger, not on the option premium or fill price.
**Long setup**
TP1 = bullish trigger + $1.50
TP2 = bullish trigger + $2.00
TP5 = bullish trigger + $5.00
**Short setup**
TP1 = bearish trigger − $1.50
TP2 = bearish trigger − $2.00
TP5 = bearish trigger − $5.00
A target is triggered when a live SPY trade touches or passes the level. A candle close is not required.
Once triggered, the bot continues the option exit even if SPY reverses immediately.
**Runner rules**
Runner contracts only exist if the opening range is at least $4.50.
At TP2, the bot checks four conditions:
TP2 was reached within 30 minutes of the intended entry candle opening
SPY made at least a $1.50 favourable move within the first 30 minutes
Maximum adverse movement before TP2 was no more than $0.50
No completed one-minute candle closed back through the buffered trigger before TP2
The runner needs at least three of the four conditions to pass.
Score 3/4 or 4/4: hold all runners for TP5
Score below 3/4: sell all runners at TP2
**Exit execution**
The bot uses sell limit orders.
Initial exit limit: current option bid
Reprice downward by $0.02
Normal repricing interval: approximately one second
Forced-close repricing interval: approximately 0.50 seconds
Partial fills are tracked
Only the remaining quantity is resubmitted or modified
The bot never intentionally submits more sell contracts than are actually held.
**End-of-day close**
At 15:30 ET, the bot force-closes every remaining strategy contract.
This overrides:
TP1 allocation
TP2 allocation
Runner status
Pending target logic
The goal is to finish the day with zero remaining strategy contracts.
**Stops**
There is currently no early strategy stop.
The bot does not use:
SPY stop loss
Option-premium stop
Trailing stop
Breakeven stop
Percentage stop
Early time stop
The only exits are:
TP1
TP2
Runner rejection at TP2
TP5
Forced close at 15:30
I know this is one of the biggest risks in the system, and it is one of the things I’ll be watching closely during testing.
**Bot safety and recovery**
The bot also includes:
Correct live-account verification
Live-mode acknowledgement
Startup reconciliation
Persistent SQLite state
Duplicate-order protection
Unique order references
Position and execution reconciliation
Partial-fill handling
Reconnection handling
Unknown-position/order lockout
Stale-data checks
Forced-close protection
Notifications for entries, fills, targets, errors and disconnects
The system refuses to open a new trade if it detects an unknown SPY same-day option position or order.
**Development process**
I used ChatGPT to:
Help create the strategy
Analyse historical one-minute SPY data
Backtest the entry and target rules
Refine the runner criteria
Turn the strategy into a detailed coding specification
I then used Codex to build the Python automated trading bot for the Interactive Brokers TWS API.
Tomorrow will be the first test on a live account.
I’m starting cautiously because live fills, spreads, API behaviour and option pricing can differ substantially from a candle-based backtest.
I’d be interested in feedback on:
Whether the confirmation logic makes sense
The 20% cash allocation
The lack of an early stop
The runner qualification rules
The entry chase limits
Potential IBKR/TWS automation problems
Any look-ahead bias or backtesting errors I may have missed

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