def hist_realized_vol_by_product(prodcode, start_d, end_d, periods = 12, tenor = '-1m', writeDB = False):
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prodcode)
contlist = contract_range(prodcode, exch, cont_mth, start_d, end_d)
print contlist
exp_dates = [get_opt_expiry(cont, inst2contmth(cont)) for cont in contlist]
data = {'is_dtime': False,
'data_column': 'close',
'xs': [0.5, 0.25, 0.75],
'xs_names': ['atm', 'd25', 'd75'],
'xs_func': 'bs_delta_to_ratio',
'rehedge_period': 1,
'term_tenor': tenor,
}
option_input = {'otype': 1,
'rd': 0.0,
'rf': 0.0,
'end_vol': 0.0,
'ref_vol': 0.2,
'pricer_func': 'bsopt.BSOpt',
'delta_func': 'bsopt.BSDelta',
}
for cont, expiry in zip(contlist, exp_dates):
if expiry > end_d:
break
p_str = '-' + str(int(tenor[1:-1]) * periods) + tenor[-1]
d_start = day_shift(expiry, p_str)
df = mysqlaccess.load_daily_data_to_df('fut_daily', cont, d_start, expiry, database = 'hist_data')
option_input['expiry'] = expiry
data['dataframe'] = df
vol_df = realized_termstruct(option_input, data)
print cont, expiry, vol_df
def filter_main_cont(sdate):
insts, prods = mysqlaccess.load_alive_cont(sdate)
main_cont = {}
for pc in prods:
main_cont[pc], exch = mysqlaccess.prod_main_cont_exch(pc)
main_insts = []
for inst in insts:
pc = misc.inst2product(inst)
mth = int(inst[-2:])
if mth in main_cont[pc]:
main_insts.append(inst)
return main_insts
def filter_main_cont(sdate):
insts, prods = mysqlaccess.load_alive_cont(sdate)
main_cont = {}
for pc in prods:
main_cont[pc], exch = mysqlaccess.prod_main_cont_exch(pc)
main_insts = []
for inst in insts:
pc = misc.inst2product(inst)
mth = int(inst[-2:])
if mth in main_cont[pc]:
main_insts.append(inst)
return main_insts
def nearby(prodcode, n, start_date, end_date, roll_rule, freq, need_shift=False, database = 'hist_data'):
if start_date > end_date:
return None
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prodcode)
contlist = contract_range(prodcode, exch, cont_mth, start_date, day_shift(end_date, roll_rule[1:]))
exp_dates = [day_shift(contract_expiry(cont), roll_rule) for cont in contlist]
#print contlist, exp_dates
sdate = start_date
is_new = True
for idx, exp in enumerate(exp_dates):
if exp < start_date:
continue
elif sdate > end_date:
break
nb_cont = contlist[idx+n-1]
if freq == 'd':
new_df = mysqlaccess.load_daily_data_to_df('fut_daily', nb_cont, sdate, min(exp,end_date), database = database)
else:
minid_start = 1500
minid_end = 2114
if prodcode in night_session_markets:
minid_start = 300
new_df = mysqlaccess.load_min_data_to_df('fut_min', nb_cont, sdate, min(exp,end_date), minid_start, minid_end, database = database)
if len(new_df.shape) == 0:
continue
nn = new_df.shape[0]
if nn > 0:
new_df['contract'] = pd.Series([nb_cont]*nn, index=new_df.index)
else:
continue
if is_new:
df = new_df
is_new = False
else:
if need_shift:
if isinstance(df.index[-1], datetime.datetime):
last_date = df.index[-1].date()
else:
last_date = df.index[-1]
tmp_df = mysqlaccess.load_daily_data_to_df('fut_daily', nb_cont, last_date, last_date, database = database)
shift = tmp_df['close'][-1] - df['close'][-1]
for ticker in ['open','high','low','close']:
df[ticker] = df[ticker] + shift
df = df.append(new_df)
sdate = min(exp,end_date) + datetime.timedelta(days=1)
return df
def nearby(prodcode, n, start_date, end_date, roll_rule, freq, need_shift=False, database = 'hist_data'):
if start_date > end_date:
return None
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prodcode)
contlist = contract_range(prodcode, exch, cont_mth, start_date, day_shift(end_date, roll_rule[1:]))
exp_dates = [day_shift(contract_expiry(cont), roll_rule) for cont in contlist]
#print contlist, exp_dates
sdate = start_date
is_new = True
for idx, exp in enumerate(exp_dates):
if exp < start_date:
continue
elif sdate > end_date:
break
nb_cont = contlist[idx+n-1]
if freq == 'd':
new_df = mysqlaccess.load_daily_data_to_df('fut_daily', nb_cont, sdate, min(exp,end_date), database = database)
else:
minid_start = 1500
minid_end = 2114
if prodcode in night_session_markets:
minid_start = 300
new_df = mysqlaccess.load_min_data_to_df('fut_min', nb_cont, sdate, min(exp,end_date), minid_start, minid_end, database = database)
if len(new_df.shape) == 0:
continue
nn = new_df.shape[0]
if nn > 0:
new_df['contract'] = pd.Series([nb_cont]*nn, index=new_df.index)
else:
continue
if is_new:
df = new_df
is_new = False
else:
if need_shift:
if isinstance(df.index[-1], datetime.datetime):
last_date = df.index[-1].date()
else:
last_date = df.index[-1]
tmp_df = mysqlaccess.load_daily_data_to_df('fut_daily', nb_cont, last_date, last_date, database = database)
shift = tmp_df['close'][-1] - df['close'][-1]
for ticker in ['open','high','low','close']:
df[ticker] = df[ticker] + shift
df = df.append(new_df)
sdate = min(exp,end_date) + datetime.timedelta(days=1)
return df
def simcontract_min(config_file):
sim_config = {}
with open(config_file, 'r') as fp:
sim_config = json.load(fp)
bktest_split = sim_config['sim_func'].split('.')
run_sim = __import__('.'.join(bktest_split[:-1]))
for i in range(1, len(bktest_split)):
run_sim = getattr(run_sim, bktest_split[i])
dir_name = config_file.split('.')[0]
dir_name = dir_name.split(os.path.sep)[-1]
test_folder = get_bktest_folder()
file_prefix = test_folder + dir_name + os.path.sep
if not os.path.exists(file_prefix):
os.makedirs(file_prefix)
sim_list = sim_config['products']
if type(sim_list[0]).__name__ != 'list':
sim_list = [[str(asset)] for asset in sim_list]
sim_mode = sim_config.get('sim_mode', 'OR')
calc_coeffs = sim_config.get('calc_coeffs', [1, -1])
cont_maplist = sim_config.get('cont_maplist', [])
sim_period = sim_config.get('sim_period', '-12m')
need_daily = sim_config.get('need_daily', False)
if len(cont_maplist) == 0:
cont_maplist = [[0]] * len(sim_list)
config = {}
start_date = datetime.datetime.strptime(sim_config['start_date'], '%Y%m%d').date()
config['start_date'] = start_date
end_date = datetime.datetime.strptime(sim_config['end_date'], '%Y%m%d').date()
config['end_date'] = end_date
scen_dim = [ len(sim_config[s]) for s in sim_config['scen_keys']]
outcol_list = ['asset', 'scenario'] + sim_config['scen_keys'] \
+ ['sharp_ratio', 'tot_pnl', 'std_pnl', 'num_days', \
'max_drawdown', 'max_dd_period', 'profit_dd_ratio', \
'all_profit', 'tot_cost', 'win_ratio', 'num_win', 'num_loss', \
'profit_per_win', 'profit_per_loss']
scenarios = [list(s) for s in np.ndindex(tuple(scen_dim))]
config.update(sim_config['config'])
if 'pos_class' in sim_config:
config['pos_class'] = eval(sim_config['pos_class'])
if 'proc_func' in sim_config:
config['proc_func'] = eval(sim_config['proc_func'])
file_prefix = file_prefix + sim_config['sim_name']
if 'close_daily' in config and config['close_daily']:
file_prefix = file_prefix + 'daily_'
config['file_prefix'] = file_prefix
summary_df = pd.DataFrame()
fname = config['file_prefix'] + 'summary.csv'
if os.path.isfile(fname):
summary_df = pd.DataFrame.from_csv(fname)
for assets, cont_map in zip(sim_list, cont_maplist):
file_prefix = config['file_prefix'] + '_' + sim_mode + '_' + '_'.join(assets) + '_'
fname = file_prefix + 'stats.json'
output = {'total': {}, 'cont': {}}
if os.path.isfile(fname):
with open(fname, 'r') as fp:
output = json.load(fp)
#if len(output['total'].keys()) == len(scenarios):
# continue
min_data = {}
day_data = {}
config['tick_base'] = 0
config['marginrate'] = (0, 0)
rollrule = '-50b'
config['exit_min'] = config.get('exit_min', 2057)
config['no_trade_set'] = config.get('no_trade_set', [])
if assets[0] in ['cu', 'al', 'zn']:
rollrule = '-1b'
elif assets[0] in ['IF', 'IH', 'IC']:
rollrule = '-2b'
elif assets[0] in ['au', 'ag']:
rollrule = '-25b'
elif assets[0] in ['TF', 'T']:
rollrule = '-20b'
rollrule = config.get('rollrule', rollrule)
contlist = {}
exp_dates = {}
for i, prod in enumerate(assets):
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prod)
contlist[prod] = misc.contract_range(prod, exch, cont_mth, start_date, end_date)
exp_dates[prod] = [misc.contract_expiry(cont) for cont in contlist[prod]]
edates = [ misc.day_shift(d, rollrule) for d in exp_dates[prod] ]
sdates = [ misc.day_shift(d, sim_period) for d in exp_dates[prod] ]
config['tick_base'] += trade_offset_dict[prod]
config['marginrate'] = ( max(config['marginrate'][0], sim_margin_dict[prod]), max(config['marginrate'][1], sim_margin_dict[prod]))
min_data[prod] = {}
day_data[prod] = {}
for cont, sd, ed in zip(contlist[prod], sdates, edates):
minid_start = 1500
minid_end = 2114
if prod in misc.night_session_markets:
minid_start = 300
tmp_df = mysqlaccess.load_min_data_to_df('fut_min', cont, sd, ed, minid_start, minid_end, database = 'hist_data')
tmp_df['contract'] = cont
min_data[prod][cont] = cleanup_mindata( tmp_df, prod)
if need_daily:
tmp_df = mysqlaccess.load_daily_data_to_df('fut_daily', cont, sd, ed, database = 'hist_data')
day_data[prod][cont] = tmp_df
if 'offset' in sim_config:
config['offset'] = sim_config['offset'] * config['tick_base']
else:
config['offset'] = config['tick_base']
for ix, s in enumerate(scenarios):
fname1 = file_prefix + str(ix) + '_trades.csv'
fname2 = file_prefix + str(ix) + '_dailydata.csv'
if os.path.isfile(fname1) and os.path.isfile(fname2):
continue
for key, seq in zip(sim_config['scen_keys'], s):
config[key] = sim_config[key][seq]
df_list = []
trade_list = []
for idx in range(abs(min(cont_map)), len(contlist[assets[0]]) - max(cont_map)):
cont = contlist[assets[0]][idx]
edate = misc.day_shift(exp_dates[assets[0]][idx], rollrule)
if sim_mode == 'OR':
mdf = min_data[assets[0]][cont]
mdf = mdf[mdf.date <= edate]
if need_daily:
ddf = day_data[assets[0]][cont]
config['ddf'] = ddf[ddf.index <= edate]
if len(config['ddf']) < 10:
continue
else:
mode_keylist = sim_mode.split('-')
smode = mode_keylist[0]
cmode = mode_keylist[1]
all_data = []
if smode == 'TS':
all_data = [min_data[assets[0]][contlist[assets[0]][idx+i]] for i in cont_map]
else:
all_data = [min_data[asset][contlist[asset][idx+i]] for asset, i in zip(assets, cont_map)]
if cmode == 'Full':
mdf = pd.concat(all_data, axis = 1, join = 'inner')
mdf.columns = [iter + str(i) for i, x in enumerate(all_data) for iter in x.columns]
mdf = mdf[ mdf.date0 < edate]
else:
#print all_data[0], all_data[1]
for i, (coeff, tmpdf) in enumerate(zip(calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xopen = xopen.dropna()
xclose = xclose.dropna()
xhigh = pd.concat([xopen, xclose], axis = 1).max(axis = 1)
xlow = pd.concat([xopen, xclose], axis = 1).min(axis = 1)
col_list = ['date', 'min_id', 'volume', 'openInterest']
mdf = pd.concat([ xopen, xhigh, xlow, xclose] + [all_data[0][col] for col in col_list], axis = 1, join = 'inner')
mdf.columns = ['open', 'high', 'low', 'close'] + col_list
mdf['contract'] = cont
#print mdf
if need_daily:
if smode == 'TS':
all_data = [day_data[assets[0]][contlist[assets[0]][idx+i]] for i in cont_map]
else:
all_data = [day_data[asset][contlist[asset]][idx+i] for asset, i in zip(assets, cont_map)]
if cmode == 'Full':
ddf = pd.concat(all_data, axis = 1, join = 'inner')
ddf.columns = [iter + str(i) for i, x in enumerate(all_data) for iter in x.columns]
config['ddf'] = ddf[ddf.index <= edate]
else:
for i, (coeff, tmpdf) in enumerate(zip(calc_coeffs, all_data)):
if i == 0:
xopen = tmpdf['open'] * coeff
xclose = tmpdf['close'] * coeff
else:
xopen = xopen + tmpdf['open'] * coeff
xclose = xclose + tmpdf['close'] * coeff
xhigh = pd.concat([xopen, xclose], axis = 1).max(axis = 1)
xlow = pd.concat([xopen, xclose], axis = 1).min(axis = 1)
col_list = ['volume', 'openInterest']
ddf = pd.concat([ xopen, xhigh, xlow, xclose] + [all_data[0][col] for col in col_list], axis = 1, join = 'inner')
ddf.columns = ['open', 'high', 'low', 'close'] + col_list
ddf['contract'] = cont
config['ddf'] = ddf[ddf.index <= edate]
if len(config['ddf']) < 10:
continue
df = mdf.copy(deep = True)
df, closed_trades = run_sim( df, config)
df_list.append(df)
trade_list = trade_list + closed_trades
(res_pnl, ts) = get_pnl_stats( [df], config['capital'], config['marginrate'], 'm')
res_trade = get_trade_stats( trade_list )
res = dict( res_pnl.items() + res_trade.items())
res.update(dict(zip(sim_config['scen_keys'], s)))
res['asset'] = cont
if cont not in output['cont']:
output['cont'][cont] = {}
output['cont'][cont][ix] = res
(res_pnl, ts) = get_pnl_stats( df_list, config['capital'], config['marginrate'], 'm')
res_trade = get_trade_stats( trade_list )
res = dict( res_pnl.items() + res_trade.items())
res.update(dict(zip(sim_config['scen_keys'], s)))
res['asset'] = '_'.join(assets)
output['total'][ix] = res
print 'saving results for asset = %s, scen = %s' % ('_'.join(assets), str(ix))
all_trades = {}
for i, tradepos in enumerate(trade_list):
all_trades[i] = strat.tradepos2dict(tradepos)
trades = pd.DataFrame.from_dict(all_trades).T
trades.to_csv(fname1)
ts.to_csv(fname2)
fname = file_prefix + 'stats.json'
try:
with open(fname, 'w') as ofile:
json.dump(output, ofile)
except:
continue
cont_df = pd.DataFrame()
for idx in range(abs(min(cont_map)), len(contlist[assets[0]]) - max(cont_map)):
cont = contlist[assets[0]][idx]
if cont not in output['cont']:
continue
res = scen_dict_to_df(output['cont'][cont])
out_res = res[outcol_list]
if len(cont_df) == 0:
cont_df = out_res[:20].copy(deep = True)
else:
cont_df = cont_df.append(out_res[:20])
fname = file_prefix + 'cont_stat.csv'
cont_df.to_csv(fname)
res = scen_dict_to_df(output['total'])
out_res = res[outcol_list]
if len(summary_df) == 0:
summary_df = out_res[:20].copy(deep = True)
else:
summary_df = summary_df.append(out_res[:20])
fname = config['file_prefix'] + 'summary.csv'
summary_df.to_csv(fname)
return
def hist_realized_vol_by_product(prodcode,
start_d,
end_d,
periods=12,
tenor='-1m',
writeDB=False):
cont_mth, exch = mysqlaccess.prod_main_cont_exch(prodcode)
contlist = contract_range(prodcode, exch, cont_mth, start_d, end_d)
exp_dates = [get_opt_expiry(cont, inst2contmth(cont)) for cont in contlist]
data = {
'is_dtime': True,
'data_column': 'close',
'data_freq': '30min',
'xs': [0.5, 0.25, 0.75],
'xs_names': ['atm', 'v25', 'v75'],
'xs_func': 'bs_delta_to_ratio',
'rehedge_period': 1,
'term_tenor': tenor,
'database': 'hist_data'
}
option_input = {
'otype': True,
'rd': 0.0,
'rf': 0.0,
'end_vol': 0.0,
'ref_vol': 0.5,
'pricer_func': 'bsopt.BSOpt',
'delta_func': 'bsopt.BSDelta',
'is_dtime': data['is_dtime'],
}
freq = data['data_freq']
for cont, expiry in zip(contlist, exp_dates):
expiry_d = expiry.date()
if expiry_d > end_d:
break
p_str = '-' + str(int(tenor[1:-1]) * periods) + tenor[-1]
d_start = day_shift(expiry_d, p_str)
if freq == 'd':
df = mysqlaccess.load_daily_data_to_df('fut_daily',
cont,
d_start,
expiry_d,
database=data['database'],
index_col=None)
else:
mdf = mysqlaccess.load_min_data_to_df('fut_min',
cont,
d_start,
expiry_d,
minid_start=300,
minid_end=2115,
database=data['database'],
index_col=None)
mdf = backtest.cleanup_mindata(mdf, prodcode, index_col=None)
mdf['bar_id'] = dh.bar_conv_func2(mdf['min_id'])
df = dh.conv_ohlc_freq(mdf,
freq,
bar_func=dh.bar_conv_func2,
extra_cols=['bar_id'],
index_col=None)
option_input['expiry'] = expiry
data['dataframe'] = df
vol_df = realized_termstruct(option_input, data)
print cont, expiry_d, vol_df
