r/options
I used ChatGPT to backtest a SPY 0DTE strategy and Codex to build an automated IBKR bot
Author shares a SPY 0DTE opening-range breakout strategy and an automated IBKR bot built with AI, seeking feedback before live testing.
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
I highly suggest paper trading. You have so much complexity to your system that there is real risk of overfitting.
How did it fare in backtesting, or on a paper account?
If you're trusting codex to write something without error and willing to put money on the line for a first test, I'd say you're gambling in more ways than one.
If the question is 'what do you think of these rules, will thia be profitable? ' the answer is perform backtesting.
That being said, way to vibe code, must have had a lot of work put in, sounds like you put a lot of work Into it.
Worst case scenerio you taught yourself a lot of stock trading mechanics details, which even if the program flops, will be useful some way or another.
This looks great, what could possibly go wrong. Try out on paper first, please.
I listened to those that mentioned a stop loss, and I changed the strategy- i posted my new one. the first one didn't run, partly because of me not being able to leave my laptop running and partly due to the trades not filling the requirements. I also looked at QQQ as well, and made a similar strategy. have a look at my new post on here.
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Paper trade it first. The weak point is not that AI wrote code, it is that 0DTE plus IBKR automation gives tiny bugs real money consequences fast. Log every decision, order, fill, rejection, and skipped trade before letting it touch size.
The rules are the part everyone backtests and the part that matters least here. On a same day SPY breakout system your edge lives or dies on execution, and that is the one thing a historical bar backtest cannot see. You are almost certainly filling at the mid in the test. Live, you cross a bid ask that on 0DTE can be 10 to 20 percent of the premium, and an opening range breakout puts your entries in the widest spread window of the whole session. Round trip that on every signal and a system that shows positive expectancy on paper can sit underwater before the rules ever get a chance to work. Before you risk real capital, rerun it charging yourself the full spread plus a tick of slippage on every fill and see if the edge survives. If it only works at the mid, it does not work.
this is genuinely helpful, not just the usual fluff. bookmarking this thread.
You didn't explain your data source, but you should backtest whatever you come up with on historical tick by tick data to get any confidence on how it would perform on a live feed. You won't get the same result as backtesting on aggregated bars, and even tick data is not identical to what you would have received in real time because of data errors and latency.
Where did you get the data for option premium
Good luck, please post results of testing.
For backtesting, it may be worth exploring the parameter set and seeing how various parameter changes (i.e. chosen range level plus +.90 instead of .80, etc) affect profit factor or PnL. A robust strategy exists when the hyperparameter changes but what you're optimizing (i.e. profit factor or PnL or whatever metric) is still roughly consistent and doesn't drastically change.
A good metaphor is a mountain range: if your strategy results in a continuous set of elevation across parameter changes, that's good. But if you have a few defined peaks of your metric and a set of valleys where a slight parameter change results in drastic performance changes, it's something to be more skeptical of