def get_following_vix(self, from_date=None, to_date=None):
from_date = from_date or TradeTime.get_latest_trade_date(
) - datetime.timedelta(30)
to_date = to_date or TradeTime.get_latest_trade_date()
#self.logger.info('today=%s, from_date=%s, to_date=%s'%(datetime.datetime.today(), from_date, to_date))
symbols = VIX.get_vix_symbol_list(from_date, to_date, 3)
#records_index = self.get_vix_price_by_symbol('VIY00')
symbol_dic = {}
for symbol in symbols:
symbol_dic[symbol] = list_to_hash(
self.get_vix_price_by_symbol_and_date(symbol, from_date,
to_date))
days = (to_date - from_date).days + 1
records_f1 = []
records_f2 = []
records_f3 = []
for i in range(days):
date = from_date + datetime.timedelta(days=i)
if TradeTime.is_trade_day(date):
symbol_f1 = VIX.get_f1_by_date(date)
symbol_f2 = VIX.get_f2_by_date(date)
symbol_f3 = VIX.get_f3_by_date(date)
records_f1.append(
[date, symbol_dic[symbol_f1].get(date), symbol_f1])
records_f2.append(
[date, symbol_dic[symbol_f2].get(date), symbol_f2])
records_f3.append(
[date, symbol_dic[symbol_f3].get(date), symbol_f3])
# self.logger.info([records_f1[-1], records_f2[-1]], records_f3[-1]])
return (records_f1, records_f2, records_f3)
def get3vix(self, date_str=None):
date_str = date_str or TradeTime.get_latest_trade_date().strftime(
'%Y-%m-%d')
following_symbols = list(VIX.get_following_symbols(date_str))
symbols = ['VIY00']
symbols.extend(following_symbols[0:3])
return map(lambda x: self.get_vix_price_by_symbol(x), symbols)
def load_vix_data_by(self):
file_path = os.path.join(self.daily_path, 'vix_data', 'vix.json')
with open(file_path) as fs:
json_data = json.load(fs)
for record in json_data['data']:
vix = VIX.loads(record)
yield vix
def get_following_vix_by_date(self, date_str):
symbols = VIX.get_following_symbols(date_str)
columns = ['symbol', 'dailyLastPrice', 'volume']
records = []
for symbol in symbols:
rows = self.get_vix_by(symbol, date_str, columns)
if len(rows) > 0:
records.extend(rows)
if len(records) == 2:
break
#return records
return [date_str, records[0][1], records[1][1]]
def get_vix_records():
futures = CBOEScraper.get_vix_future()
records = []
for future in futures:
record = VIX()
symbol = future[0].replace('X/', '')
record.symbol = '%s1%s'%(symbol[0:3], symbol[3])
# record.dailyDate1dAgo = future[1]
record.dailyDate1dAgo = datetime.date.today() - datetime.timedelta(days=1)
record.lastPrice = future[2]
record.dailyLastPrice = future[2]
records.append(record)
return records
def parse_vix_data(self):
df = pd.read_hdf(self.vix_data_file, 'VIX')
vix = VIX()
for index, row in df.iterrows():
vix.symbol = index
vix.lastPrice = row['lastPrice']
vix.priceChange = row['priceChange']
vix.openPrice = row['openPrice']
vix.highPrice = row['highPrice']
vix.lowPrice = row['lowPrice']
vix.previousPrice = row['previousPrice']
vix.volume = row['volume']
vix.tradeTime = row['tradeTime']
vix.dailyLastPrice = row['dailyLastPrice']
vix.dailyPriceChange = row['dailyPriceChange']
vix.dailyOpenPrice = row['dailyOpenPrice']
vix.dailyHighPrice = row['dailyHighPrice']
vix.dailyLowPrice = row['dailyLowPrice']
vix.dailyPreviousPrice = row['dailyPreviousPrice']
vix.dailyVolume = row['dailyVolume']
vix.dailyDate1dAgo = row['dailyDate1dAgo']
self.vix_records.append(vix)
def add_missing_data_for_vix(self):
viq17 = VIX(symbol='VIQ17', lastPrice=12.160, dailyHighPrice=12.560, dailyLowPrice=11.900, dailyLastPrice=12.160,\
previousPrice=12.325, dailyPreviousPrice=12.325, volume=10365,dailyDate1dAgo= '2017-08-16')
VIXDAO().insert([viq17])