def ws_cal_option(self, s, x, cp, ed, xd, r, d, v, out='npv'):
#spot, strike, callput, evaldate, exdate, rate, div, vol
keys = ['npv', 'delta', 'gamma', 'theta', 'vega']
try:
rs = optcal.cal_option(float(s), float(x), cp, ed, xd, float(r),
float(d), float(v))
if out == 'csv':
logging.debug('ws_cal_option: ' +
','.join(str(rs[s]) for s in keys))
return ','.join(str(rs[s]) for s in keys)
elif out == 'json':
return json.dumps(rs)
else:
return str(rs[out])
except:
#exc_type, exc_value, exc_traceback = sys.exc_info()
return traceback.format_exc()
def compute(ts):
terms = ts[1]
# map(calc, )
results = cal_option(terms['spot'], terms['strike'], terms['callput'],
terms['evaldate'], terms['exdate'], terms['rate'], terms['div'], terms['vol'])
return results
def tickPrice(self, items):
try:
contract = self.tickerMap[items.__dict__['tickerId']]['contract']
field = items.__dict__['field']
tick2oc_slot = self.tickerMap[
items.__dict__['tickerId']]['tick2oc_slot']
today = time.strftime('%Y%m%d')
price = items.__dict__['price']
#
# perform some sanity check
#
# if field is not bid, ask, last, or close, pass
if field not in [1, 2, 4, 9]:
logging.debug('tickPrice: discard unwanted msg field:%d' %
field)
return
# if we received a negative price, pass
if price == -1:
logging.debug('tickPrice: discard unwanted msg price==-1')
return
logging.debug( 'tickPrice>> %s' % ('[%d:%s:%s:%d] %s=%0.4f [%s]' % \
(items.__dict__['tickerId'], ContractHelper.makeRedisKeyEx(contract),\
tick2oc_slot[0], tick2oc_slot[1],\
'bid' if field == 1 else ('ask' if field == 2 else ('last' if field == 4 else field)), \
items.__dict__['price'], datetime.datetime.fromtimestamp(items.__dict__['ts']).strftime('%Y-%m-%d %H:%M:%S.%f')))
)
# is an option
if tick2oc_slot[1] <> -999:
o = self.get_option_in_chain(tick2oc_slot[0], tick2oc_slot[1])
o.set_tick_value(field, items.__dict__['price'])
try:
spot = self.get_underlying_in_chain(
tick2oc_slot[0]).get_tick_value(4)
# the underlying price may not be available when we receive tick price for options
if spot <> None:
rate = self.option_chains[tick2oc_slot[0]].rate
div = self.option_chains[tick2oc_slot[0]].div
tvol = self.option_chains[tick2oc_slot[0]].trade_vol
logging.debug('sp=%0.4f, x=%0.4f, %s, evald=%s, expiryd=%s, r=%0.4f, d=%0.4f, v=%0.4f, px[%d]=%0.4f' % (\
spot, contract.m_strike, contract.m_right, today, contract.m_expiry, rate,\
div, tvol, field, items.__dict__['price']))
results = None
iv = optcal.cal_implvol(spot, contract.m_strike, contract.m_right, today, contract.m_expiry, rate,\
div, tvol, items.__dict__['price'])
results = optcal.cal_option(spot, contract.m_strike,
contract.m_right, today,
contract.m_expiry, rate,
div, iv['imvol'])
results[Option.IMPL_VOL] = iv['imvol']
#print results
o.set_analytics(**results)
logging.debug(o.get_analytics())
o.set_extra_attributes('spot', spot)
o.set_extra_attributes('rate', rate)
o.set_extra_attributes('div', div)
o.set_extra_attributes('chain_id', tick2oc_slot[0])
except Exception, err:
logging.error(traceback.format_exc())
o.set_extra_attributes(
'last_updated',
datetime.datetime.now().strftime('%Y%m%d%H%M%S'))
self.broadcast_analytics(tick2oc_slot[0], o)
logging.debug(o.object2kvstring())
# is an underylying
else:
def on_tick_data_changed(self, msg):
#print 'omdm %s' % msg
if msg.typeName in ['tickPrice', 'tickSize']:
if msg.typeName == 'tickPrice':
# if self.isTickIdAnOption(msg.tickerId):
#
# contract = DataMap().get(msg.tickerId)['contract']
#
#
#
# logging.info("OptionsMarketDataManager: on_tick_data_changed: received msg field %s for ticker id %s" % (msg.field, msg.tickerId))
# # last price%Y%m%d
# premium = None
# if msg.price < 0:
# logging.debug("OptionsMarketDataManager: received bogus price from IB feed. %0.4f" % msg.price)
# return
#
# if msg.field == 4:
# premium = msg.price
# elif msg.field == 1: #bid
# if 2 in DataMap().get(msg.tickerId):
# if DataMap().get(msg.tickerId)[2] > 0.0:
# premium = (DataMap().get(msg.tickerId)[2] + msg.price) / 2
# else:
# premium = msg.price
#
# logging.debug("OptionsMarketDataManager: msgfiled ==1 %0.4f msgfiled ==2 %0.4f" % (msg.price, DataMap().get(msg.tickerId)[2]))
# elif msg.field == 2: #ask
# if 1 in DataMap().get(msg.tickerId):
# if DataMap().get(msg.tickerId)[1] > 0.0:
# premium = (DataMap().get(msg.tickerId)[1] + msg.price) / 2
# else:
# premium = msg.price
# logging.debug("OptionsMarketDataManager: msgfiled ==2 %0.4f msgfiled ==1 %0.4f" % (msg.price, DataMap().get(msg.tickerId)[1]))
# if premium is None:
# # skip calculation because we don't have a valid value for premium
# logging.debug("OptionsMarketDataManager: on_tick_data_changed: unable to derive a usable premium for ticker id %s, skipping computation" % (msg.tickerId))
# return
if self.isTickIdAnOption(msg.tickerId):
contract = DataMap().get(msg.tickerId)['contract']
logging.info(
"OptionsMarketDataManager: on_tick_data_changed: received msg field %s for ticker id %s"
% (msg.field, msg.tickerId))
premium = self.determine_premium(msg)
if premium == None:
return
undly = DataMap().get(self.getUndlyId(contract.m_expiry))
if 4 in undly: # the last price
spot = undly[4]
logging.info(
'OptionsMarketDataManager:on_tick_data_changed: undelying spot %0.4f of month %s'
% (spot, contract.m_expiry))
today = time.strftime('%Y%m%d')
logging.info(
'OptionsMarketDataManager:on_tick_data_changed: today %s '
% time.strftime('%Y%m%d'))
div = self.cal_greeks_config['div']
rate = self.cal_greeks_config['rate']
# vol is not used in the calculation of implv but quantlib requires the parameter to be passed
vol = self.cal_greeks_config['vol']
logging.info(
'OptionsMarketDataManager:on_tick_data_changed: symbol %s, spot %s, X %s, right: %s, evaldate: %s, expiry: %s, rate: %0.4f, div: %0.4f, vol: %0.4f, premium: %0.4f'
% (contract.m_symbol, spot, contract.m_strike,
contract.m_right, today, contract.m_expiry,
rate, div, vol, premium))
try:
iv = optcal.cal_implvol(spot, contract.m_strike,
contract.m_right, today,
contract.m_expiry, rate,
div, vol, premium)
except Exception, err:
logging.error(traceback.format_exc())
logging.error(
"OptionsMarketDataManager: *******************recovering from a implvol error ******"
)
intrinsic = abs(contract.m_strike - spot)
iv = optcal.cal_implvol(spot, contract.m_strike,
contract.m_right, today,
contract.m_expiry, rate,
div, vol, premium)
logging.error("OptionsMarketDataManager: ******** Using intrinsic value to calculate premium %0.4f instead of the spot premium %0.4f"\
% (intrinsic, premium ))
logging.info(
'OptionsMarketDataManager:on_tick_data_changed: implied vol: %0.4f'
% iv['imvol'])
results = optcal.cal_option(spot, contract.m_strike,
contract.m_right, today,
contract.m_expiry, rate,
div, iv['imvol'])
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.IMPL_VOL] = iv['imvol']
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.DELTA] = results['delta']
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.GAMMA] = results['gamma']
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.THETA] = results['theta']
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.VEGA] = results['vega']
DataMap().get(msg.tickerId)[
OptionsMarketDataManager.PREMIUM] = results['npv']
# update Redis store
#
DataMap().update_rd(msg.tickerId)
else: # underlying price changed
# check whether new option chains need to be added
#
# check logic to be implemented
# save undly tick to REDIS
contract = DataMap().get(msg.tickerId)['contract']
logging.debug(
'OptionsMarketDataManager:on_tick_data_changed: ------- Underlying Price updated: tick id %d datamap contract %s'
%
(msg.tickerId, ContractHelper.printContract(contract)))
DataMap().update_rd(msg.tickerId)