def get_50option_intraday(start_date, end_date):
OptionIntra = admin.table_option_mktdata_intraday_gc()
query = admin.session_intraday().query(OptionIntra.c.dt_datetime,
OptionIntra.c.dt_date,
OptionIntra.c.id_instrument,
OptionIntra.c.amt_close,
OptionIntra.c.amt_trading_volume,
OptionIntra.c.amt_trading_value) \
.filter(OptionIntra.c.dt_date >= start_date).filter(OptionIntra.c.dt_date <= end_date)
df = pd.read_sql(query.statement, query.session.bind)
IndexIntra = admin.table_index_mktdata_intraday()
query1 = admin.session_intraday().query(IndexIntra.c.dt_datetime,
IndexIntra.c.dt_date,
IndexIntra.c.id_instrument,
IndexIntra.c.amt_close)\
.filter(IndexIntra.c.dt_date >= start_date).filter(IndexIntra.c.dt_date <= end_date)\
.filter(IndexIntra.c.id_instrument == c.Util.STR_INDEX_50ETF)
df_etf = pd.read_sql(query1.statement, query1.session.bind)
df_etf = df_etf[[c.Util.DT_DATETIME,c.Util.ID_INSTRUMENT, c.Util.AMT_CLOSE]]\
.rename(columns={c.Util.AMT_CLOSE: c.Util.AMT_UNDERLYING_CLOSE,c.Util.ID_INSTRUMENT:c.Util.ID_UNDERLYING})
df_option_metrics = df.join(df_etf.set_index(c.Util.DT_DATETIME),
how='left',
on=c.Util.DT_DATETIME)
options = dbt.Options
query_option = admin.session_mktdata().query(options.id_instrument, options.cd_option_type,
options.amt_strike, options.name_contract_month,
options.dt_maturity, options.nbr_multiplier) \
.filter(and_(options.dt_listed <= end_date, options.dt_maturity >= start_date))
df_contract = pd.read_sql(query_option.statement,
query_option.session.bind)
df_option_metrics = df_option_metrics.join(df_contract.set_index(
c.Util.ID_INSTRUMENT),
how='left',
on=c.Util.ID_INSTRUMENT)
return df_option_metrics
def get_50option_minute_with_underlying(start_date, end_date):
OptionIntra = admin.table_option_mktdata_intraday()
query1 = admin.session_intraday().query(OptionIntra.c.dt_datetime,
OptionIntra.c.dt_date,
OptionIntra.c.id_instrument,
OptionIntra.c.amt_close,
OptionIntra.c.amt_trading_volume,
OptionIntra.c.amt_trading_value) \
.filter(OptionIntra.c.dt_date >= start_date).filter(OptionIntra.c.dt_date <= end_date)
df_option = pd.read_sql(query1.statement, query1.session.bind)
IndexIntra = admin.table_index_mktdata_intraday()
query = admin.session_intraday().query(IndexIntra.c.dt_datetime,
IndexIntra.c.amt_close) \
.filter(IndexIntra.c.dt_date >= start_date) \
.filter(IndexIntra.c.dt_date <= end_date) \
.filter(IndexIntra.c.id_instrument == 'index_50etf')
df_index = pd.read_sql(query.statement, query.session.bind)
options = dbt.Options
query_option = admin.session_mktdata().query(options.id_instrument, options.cd_option_type, options.amt_strike,
options.dt_maturity, options.nbr_multiplier) \
.filter(and_(options.dt_listed <= end_date, options.dt_maturity >= start_date))
df_index = df_index.rename(
columns={'amt_close': c.Util.AMT_UNDERLYING_CLOSE})
df_option = df_option.join(df_index.set_index('dt_datetime'),
how='left',
on='dt_datetime')
df_contract = pd.read_sql(query_option.statement,
query_option.session.bind)
df_option = df_option.join(df_contract.set_index('id_instrument'),
how='left',
on='id_instrument')
return df_option
def get_50option_intraday(start_date, end_date):
OptionIntra = admin.table_option_mktdata_intraday_gc()
query = admin.session_intraday().query(OptionIntra.c.dt_datetime,
OptionIntra.c.dt_date,
OptionIntra.c.id_instrument,
OptionIntra.c.amt_close,
OptionIntra.c.amt_trading_volume,
OptionIntra.c.amt_trading_value) \
.filter(OptionIntra.c.dt_date >= start_date).filter(OptionIntra.c.dt_date <= end_date)
df = pd.read_sql(query.statement, query.session.bind)
IndexIntra = admin.table_index_mktdata_intraday()
query1 = admin.session_intraday().query(IndexIntra.c.dt_datetime,
IndexIntra.c.dt_date,
IndexIntra.c.id_instrument,
IndexIntra.c.amt_close)\
.filter(IndexIntra.c.dt_date >= start_date).filter(IndexIntra.c.dt_date <= end_date)\
.filter(IndexIntra.c.id_instrument == 'index_50etf')
df_etf = pd.read_sql(query1.statement, query1.session.bind)
df_etf = df_etf[[
c.Util.DT_DATETIME, c.Util.ID_INSTRUMENT, c.Util.AMT_CLOSE
]].rename(columns={'amt_close': c.Util.AMT_UNDERLYING_CLOSE})
df_option_metrics = df.join(df_etf.set_index('dt_datetime'),
how='left',
on='dt_datetime')
return df_option_metrics
def get_index_intraday(start_date, end_date, id_index):
Index = admin.table_index_mktdata_intraday()
query = admin.session_intraday().query(Index.c.dt_datetime,Index.c.dt_date, Index.c.id_instrument, Index.c.amt_close,
Index.c.amt_trading_volume, Index.c.amt_trading_value) \
.filter(Index.c.dt_datetime >= start_date).filter(Index.c.dt_datetime <= end_date) \
.filter(Index.c.id_instrument == id_index)
df = pd.read_sql(query.statement, query.session.bind)
return df