def test_chain_get_by_delta(self):
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
base_date = datetime(2015, 6, 13, 12, 45, 0)
futures_limit = 3
options_limit = 20
datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit, options_limit)
instr = datasource.get("ES", base_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
atm_strike = opt_chain.atmstrike
opt = opt_chain.get_by_delta(0.5)
self.assertEqual(opt.strike, atm_strike)
self.assertEqual(opt.putorcall, 'C')
opt = opt_chain.get_by_delta(-0.5)
self.assertEqual(opt.strike, atm_strike)
self.assertEqual(opt.putorcall, 'P')
self.assertRaises(ValueError, opt_chain.get_by_delta, 0)
self.assertRaises(ValueError, opt_chain.get_by_delta, float('nan'))
self.assertRaises(ValueError, opt_chain.get_by_delta, 1)
self.assertRaises(ValueError, opt_chain.get_by_delta, 2)
self.assertRaises(ValueError, opt_chain.get_by_delta, -2)
self.assertRaises(ValueError, opt_chain.get_by_delta, -1)
# ITM Put
opt = opt_chain.get_by_delta(-0.7)
self.assertEqual(opt.strike, 2115)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.75, 2)
opt = opt_chain.get_by_delta(-0.999999)
self.assertEqual(opt.strike, 2195.0)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.989, 3)
# OTM Put
opt = opt_chain.get_by_delta(-0.3)
self.assertEqual(opt.strike, 2070)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.27, 2)
opt = opt_chain.get_by_delta(-0.00001)
self.assertEqual(opt, opt_chain[-20].P)
# ITM Call
opt = opt_chain.get_by_delta(0.7)
self.assertEqual(opt.strike, 2070)
self.assertEqual(opt.putorcall, 'C')
self.assertAlmostEqual(opt.delta, 0.73, 2)
opt = opt_chain.get_by_delta(0.9999999)
self.assertEqual(opt, opt_chain[-20].C)
# OTM Call
opt = opt_chain.get_by_delta(0.3)
self.assertEqual(opt.strike, 2115)
self.assertEqual(opt.putorcall, 'C')
self.assertAlmostEqual(opt.delta, 0.24, 2)
opt = opt_chain.get_by_delta(0.000001)
self.assertEqual(opt, opt_chain[20].C)
assetindex = AssetIndexMongo(mongo_connstr, mongo_db_name)
exostorage = EXOStorage(mongo_connstr, mongo_db_name)
base_date = datetime(2014, 1, 13, 12, 45, 0)
futures_limit = 3
options_limit = 10
DEBUG = '.'
datasource = DataSourceMongo(mongo_connstr, mongo_db_name, assetindex,
futures_limit, options_limit, exostorage)
server = 'h9ggwlagd1.database.windows.net'
user = '******'
password = '******'
datasource = DataSourceSQL(server, user, password, assetindex,
futures_limit, options_limit, exostorage)
enddate = datetime.combine(datetime.now().date(), dttime(12, 45, 0))
currdate = base_date
instruments = ['CL', 'ES']
directions = [1, -1]
# for i in range(100):
while currdate <= enddate:
start_time = time.time()
# date = base_date + timedelta(days=i)
date = currdate
for ticker in instruments:
for dir in directions:
class SmartEXOUtils:
def __init__(self, smartexo_class, **kwargs):
self.verbosive_logging = kwargs.get('verbosive_logging', False)
self.futures_limit = kwargs.get('futures_limit', 3)
self.options_limit = kwargs.get('options_limit', 20)
self.smartexo_class = smartexo_class
if self.verbosive_logging:
logging.basicConfig(format='%(message)s', level=logging.DEBUG)
else:
logging.basicConfig(format='%(message)s', level=logging.INFO)
self.assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
self.exostorage = EXOStorage(MONGO_CONNSTR, MONGO_EXO_DB)
self.datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS,
self.assetindex, self.futures_limit,
self.options_limit, self.exostorage)
def plot_transactions_payoff(self, smart_exo_position_func, analysis_date,
analysis_instrument, **whatif_kwargs):
payoff = PayoffAnalyzer(self.datasource)
instr = self.datasource.get(analysis_instrument, analysis_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
strikes_on_graph = whatif_kwargs.get('strikes_on_graph', 30)
whatif_iv_change = whatif_kwargs.get('whatif_iv_change', 0)
whatif_days_to_expiration = whatif_kwargs.get(
'whatif_days_to_expiration', int(opt_chain.to_expiration_days / 2))
payoff.load_transactions(
smart_exo_position_func(analysis_date, fut, opt_chain),
analysis_date)
payoff.plot(strikes_on_graph, whatif_iv_change,
whatif_days_to_expiration)
def clear_smartexo(self):
logging.info("Deleting all SmartEXO of :" +
self.smartexo_class.EXO_NAME)
client = MongoClient(MONGO_CONNSTR)
db = client[MONGO_EXO_DB]
db['exo_data'].delete_many({
'name': {
'$regex': '.*{0}*.'.format(self.smartexo_class.EXO_NAME)
}
})
def build_smartexo(self, start_date, **smartexo_kwargs):
self.clear_smartexo()
logging.info(
"Starting EXO calculation process from: {0}".format(start_date))
if self.smartexo_class.ASSET_LIST is None:
warnings.warn(
"You must define ASSET_LIST inside SmartEXO class. Aborting..."
)
return
for ticker in self.smartexo_class.ASSET_LIST:
logging.info("Processing: " + ticker)
currdate = start_date
enddate = datetime.combine(datetime.now().date(), dttime(0, 0, 0))
while currdate <= enddate:
start_time = time.time()
date = currdate
asset_info = self.assetindex.get_instrument_info(ticker)
exec_time_end, decision_time_end = AssetIndexMongo.get_exec_time(
date, asset_info)
logging.info("\t\tRun on {0}".format(decision_time_end))
with self.smartexo_class(ticker, 0, decision_time_end,
self.datasource,
**smartexo_kwargs) as exo_engine:
try:
asset_list = exo_engine.ASSET_LIST
# Checking if current symbol is present in EXO class ASSET_LIST
if asset_list is not None:
if ticker not in asset_list:
# Skipping assets which are not in the list
continue
except AttributeError:
warnings.warn(
"EXO class {0} doesn't contain ASSET_LIST attribute filter, calculating all assets"
.format(self.smartexo_class))
# Load EXO information from mongo
exo_engine.load()
exo_engine.calculate()
end_time = time.time()
currdate += timedelta(days=1)
logging.debug("Elapsed: {0}".format(end_time - start_time))
logging.info('Done')
def plot_smartexo_price(self):
if self.smartexo_class.ASSET_LIST is None:
warnings.warn(
"You must define ASSET_LIST inside SmartEXO class. Aborting..."
)
return
for ticker in self.smartexo_class.ASSET_LIST:
exo_df, exo_info = self.exostorage.load_series('{0}_{1}'.format(
ticker, self.smartexo_class.EXO_NAME))
f, (ax1, ax2) = plt.subplots(2,
gridspec_kw={'height_ratios': [3, 1]})
exo_df['exo'].plot(ax=ax1,
title='{0}_{1}'.format(
ticker, self.smartexo_class.EXO_NAME))
ax = exo_df['regime'].plot(ax=ax1, secondary_y=True)
ax.set_ylim(-2, 2)
exo_df['delta'].plot(ax=ax2)
ax2.set_title('Delta')
plt.show()