def get_intraday_vcs(**kwargs):
if 'report_date' in kwargs.keys():
report_date = kwargs['report_date']
else:
report_date = exp.doubledate_shift_bus_days()
atm_vol_ratio = kwargs['atm_vol_ratio']
vcs_output = vcs.generate_vcs_sheet_4date(date_to=report_date)
vcs_pairs = vcs_output['vcs_pairs']
if 'id' in kwargs.keys():
id = kwargs['id']
ticker1 = vcs_pairs['ticker1'].iloc[id]
ticker2 = vcs_pairs['ticker2'].iloc[id]
else:
ticker1 = kwargs['ticker1']
ticker2 = kwargs['ticker2']
ticker_head = cmi.get_contract_specs(ticker1)['ticker_head']
ticker_class = cmi.ticker_class[ticker_head]
vcs_output = ops.get_vcs_signals(ticker_list=[ticker1, ticker2],
settle_date=report_date,
atm_vol_ratio=atm_vol_ratio)
q = vcs_output['q']
q1 = vcs_output['q1']
filter_out = of.get_vcs_filters(data_frame_input=pd.DataFrame.from_dict({
'tickerHead': [ticker_head],
'tickerClass': [ticker_class],
'Q': [q],
'Q1': [q1]
}),
filter_list=['long2', 'short2'])
if filter_out['selected_frame'].empty:
validQ = False
else:
validQ = True
return {
'ticker1': ticker1,
'ticker2': ticker2,
'Q': q,
'Q1': q1,
'validQ': validQ
}
def get_intraday_vcs(**kwargs):
if 'report_date' in kwargs.keys():
report_date = kwargs['report_date']
else:
report_date = exp.doubledate_shift_bus_days()
id = kwargs['id']
atm_vol_ratio = kwargs['atm_vol_ratio']
vcs_output = vcs.generate_vcs_sheet_4date(date_to=report_date)
vcs_pairs = vcs_output['vcs_pairs']
ticker1 = vcs_pairs['ticker1'].iloc[id]
ticker2 = vcs_pairs['ticker2'].iloc[id]
ticker_head = cmi.get_contract_specs(ticker1)['ticker_head']
ticker_class = cmi.ticker_class[ticker_head]
vcs_output = ops.get_vcs_signals(ticker_list=[ticker1, ticker2],settle_date=report_date,atm_vol_ratio=atm_vol_ratio)
q = vcs_output['q']
q1 = vcs_output['q1']
filter_out = of.get_vcs_filters(data_frame_input=pd.DataFrame.from_items([('tickerHead', [ticker_head]),
('tickerClass', [ticker_class]),
('Q', [q]), ('Q1', [q1])]), filter_list=['long2', 'short2'])
if filter_out['selected_frame'].empty:
validQ = False
else:
validQ = True
print(ticker1)
print(ticker2)
print('Q: ' + str(q))
print('Q1: ' + str(q1))
print('Valid?: ' + str(validQ))
def generate_vcs_sheet_4date(**kwargs):
kwargs['settle_date'] = kwargs['date_to']
num_cal_days_back = 20*365
output_dir = ts.create_strategy_output_dir(strategy_class='vcs', report_date=kwargs['date_to'])
if os.path.isfile(output_dir + '/summary.pkl'):
vcs_pairs = pd.read_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs,'success': True}
vcs_pairs = get_vcs_pairs_4date(**kwargs)
num_pairs = len(vcs_pairs.index)
unique_ticker_heads = list(set(vcs_pairs['tickerHead']))
con = msu.get_my_sql_connection(**kwargs)
option_ticker_indicator_dictionary = {x: ops.get_option_ticker_indicators(ticker_head=x,
settle_date_to=kwargs['date_to'],
num_cal_days_back=num_cal_days_back,
con=con) for x in unique_ticker_heads}
if 'con' not in kwargs.keys():
con.close()
q_list = [None]*num_pairs
q1_list = [None]*num_pairs
fwd_vol_q_list = [None]*num_pairs
downside_list = [None]*num_pairs
upside_list = [None]*num_pairs
atm_vol_ratio_list = [None]*num_pairs
real_vol_ratio_list = [None]*num_pairs
atm_real_vol_ratio_list = [None]*num_pairs
theta_list = [None]*num_pairs
fwd_vol = [None]*num_pairs
for i in range(num_pairs):
vcs_output = ops.get_vcs_signals(ticker_list=[vcs_pairs['ticker1'].iloc[i], vcs_pairs['ticker2'].iloc[i]],
option_ticker_indicator_dictionary=option_ticker_indicator_dictionary,
settle_date=kwargs['date_to'])
q_list[i] = vcs_output['q']
q1_list[i] = vcs_output['q1']
fwd_vol_q_list[i] = vcs_output['fwd_vol_q']
downside_list[i] = vcs_output['downside']
upside_list[i] = vcs_output['upside']
atm_vol_ratio_list[i] = vcs_output['atm_vol_ratio']
fwd_vol[i] = vcs_output['fwd_vol']
real_vol_ratio_list[i] = vcs_output['real_vol_ratio']
atm_real_vol_ratio_list[i] = vcs_output['atm_real_vol_ratio']
theta_list[i] = vcs_output['theta']
vcs_pairs['Q'] = q_list
vcs_pairs['Q1'] = q1_list
vcs_pairs['fwdVolQ'] = fwd_vol_q_list
vcs_pairs['downside'] = downside_list
vcs_pairs['upside'] = upside_list
vcs_pairs['atmVolRatio'] = atm_vol_ratio_list
vcs_pairs['fwdVol'] = fwd_vol
vcs_pairs['realVolRatio'] = real_vol_ratio_list
vcs_pairs['atmRealVolRatio'] = atm_real_vol_ratio_list
vcs_pairs['theta'] = theta_list
vcs_pairs['downside'] = vcs_pairs['downside'].round(3)
vcs_pairs['upside'] = vcs_pairs['upside'].round(3)
vcs_pairs['atmVolRatio'] = vcs_pairs['atmVolRatio'].round(3)
vcs_pairs['fwdVol'] = vcs_pairs['fwdVol'].round(3)
vcs_pairs['realVolRatio'] = vcs_pairs['realVolRatio'].round(3)
vcs_pairs['atmRealVolRatio'] = vcs_pairs['atmRealVolRatio'].round(3)
vcs_pairs['theta'] = vcs_pairs['theta'].round(3)
vcs_pairs.to_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs,'success': True}
def generate_vcs_sheet_4date(**kwargs):
kwargs['settle_date'] = kwargs['date_to']
num_cal_days_back = 20 * 365
output_dir = ts.create_strategy_output_dir(strategy_class='vcs',
report_date=kwargs['date_to'])
if os.path.isfile(output_dir + '/summary.pkl'):
vcs_pairs = pd.read_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs, 'success': True}
vcs_pairs = get_vcs_pairs_4date(**kwargs)
num_pairs = len(vcs_pairs.index)
unique_ticker_heads = list(set(vcs_pairs['tickerHead']))
con = msu.get_my_sql_connection(**kwargs)
option_ticker_indicator_dictionary = {
x:
ops.get_option_ticker_indicators(ticker_head=x,
settle_date_to=kwargs['date_to'],
num_cal_days_back=num_cal_days_back,
con=con)
for x in unique_ticker_heads
}
if 'con' not in kwargs.keys():
con.close()
q_list = [None] * num_pairs
q1_list = [None] * num_pairs
fwd_vol_q_list = [None] * num_pairs
downside_list = [None] * num_pairs
upside_list = [None] * num_pairs
atm_vol_ratio_list = [None] * num_pairs
real_vol_ratio_list = [None] * num_pairs
atm_real_vol_ratio_list = [None] * num_pairs
theta_list = [None] * num_pairs
fwd_vol = [None] * num_pairs
for i in range(num_pairs):
vcs_output = ops.get_vcs_signals(ticker_list=[
vcs_pairs['ticker1'].iloc[i], vcs_pairs['ticker2'].iloc[i]
],
option_ticker_indicator_dictionary=
option_ticker_indicator_dictionary,
settle_date=kwargs['date_to'])
q_list[i] = vcs_output['q']
q1_list[i] = vcs_output['q1']
fwd_vol_q_list[i] = vcs_output['fwd_vol_q']
downside_list[i] = vcs_output['downside']
upside_list[i] = vcs_output['upside']
atm_vol_ratio_list[i] = vcs_output['atm_vol_ratio']
fwd_vol[i] = vcs_output['fwd_vol']
real_vol_ratio_list[i] = vcs_output['real_vol_ratio']
atm_real_vol_ratio_list[i] = vcs_output['atm_real_vol_ratio']
theta_list[i] = vcs_output['theta']
vcs_pairs['Q'] = q_list
vcs_pairs['Q1'] = q1_list
vcs_pairs['fwdVolQ'] = fwd_vol_q_list
vcs_pairs['downside'] = downside_list
vcs_pairs['upside'] = upside_list
vcs_pairs['atmVolRatio'] = atm_vol_ratio_list
vcs_pairs['fwdVol'] = fwd_vol
vcs_pairs['realVolRatio'] = real_vol_ratio_list
vcs_pairs['atmRealVolRatio'] = atm_real_vol_ratio_list
vcs_pairs['theta'] = theta_list
vcs_pairs['downside'] = vcs_pairs['downside'].round(3)
vcs_pairs['upside'] = vcs_pairs['upside'].round(3)
vcs_pairs['atmVolRatio'] = vcs_pairs['atmVolRatio'].round(3)
vcs_pairs['fwdVol'] = vcs_pairs['fwdVol'].round(3)
vcs_pairs['realVolRatio'] = vcs_pairs['realVolRatio'].round(3)
vcs_pairs['atmRealVolRatio'] = vcs_pairs['atmRealVolRatio'].round(3)
vcs_pairs['theta'] = vcs_pairs['theta'].round(3)
vcs_pairs.to_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs, 'success': True}
