def delta_hedger(self):
tot_deltas = self.group_risk.pdelta.sum()
cum_vol = 0
if (self.spot_model == False) and (self.proxy_flag['delta'] == False):
for idx, inst in enumerate(self.underliers):
if idx == self.main_cont:
continue
multiple = self.option_map[inst, 'multiple']
cont_mth = self.option_map[inst, 'cont_mth']
pdelta = self.group_risk[cont_mth, 'delta']
volume = int(-pdelta / multiple + 0.5)
cum_vol += volume
if volume != 0:
curr_price = self.agent.instruments[inst].price
buysell = 1 if volume > 0 else -1
valid_time = self.agent.tick_id + 600
etrade = trade.XTrade( [inst], [volume], [self.hedge_config['order_type']], curr_price*buysell, [self.hedge_config['num_tick']], \
valid_time, self.name, self.agent.name)
self.submitted_pos[inst].append(etrade)
self.agent.submit_trade(etrade)
inst = self.underliers[self.main_cont]
multiple = self.option_map[inst, 'multiple']
tot_deltas += cum_vol
volume = int(tot_deltas / multiple + 0.5)
if volume != 0:
curr_price = self.agent.instruments[inst].price
buysell = 1 if volume > 0 else -1
etrade = trade.XTrade( [inst], [volume], [self.hedge_config['order_type']], curr_price*buysell, [self.hedge_config['num_tick']], \
valid_time, self.name, self.agent.name)
self.submitted_pos[inst].append(etrade)
self.agent.submit_trade(etrade)
return
def close_tradepos(self, idx, tradepos, price):
start_time = self.agent.tick_id
xtrade = trade.XTrade( instIDs = tradepos.insts, units = tradepos.volumes, \
vol = -tradepos.pos, limit_price = price, \
price_unit = self.price_unit[idx], start_time = start_time, \
strategy = self.name, book = str(idx))
xtrade.set_agent(self.agent)
exec_algo = eval(self.exec_class)(xtrade, **self.exec_args[idx])
xtrade.set_algo(exec_algo)
tradepos.exit_tradeid = xtrade.id
self.submit_trade(idx, xtrade)
def delta_hedge(self, under):
ndata = self.risk_table.data
curr_pdelta = ndata['pdelta'][ndata['under'] == under].sum()
multiple = ndata['multiple'][self.inst_map[under]]
volume = int((self.risk_bias['pdelta'] - curr_pdelta)/multiple)
if volume!=0:
curr_price = self.agent.instruments[under].mid_price
start_time = self.agent.tick_id
xtrade = trade.XTrade([under], [1], volume, curr_price,
strategy=self.name,
book = 'DeltaHedge', agent=self.agent, start_time=start_time)
self.submit_trade(xtrade)
def vega_hedge(self, opt_inst):
ndata = self.risk_table.data
under = ndata['under'][self.inst_map[opt_inst]]
inst_vega = ndata['vega'][self.inst_map[opt_inst]]
if inst_vega == 0:
return
multiple = ndata['multiple'][self.inst_map[opt_inst]]
curr_pvega = ndata['pvega'][ndata['under'] == under].sum()
volume = int((self.risk_bias['pvega'] - curr_pvega)/multiple/inst_vega)
if volume!=0:
curr_price = self.agent.instruments[opt_inst].mid_price
start_time = self.agent.tick_id
xtrade = trade.XTrade([opt_inst], [1], volume, curr_price,
strategy=self.name,
book = 'VegaHedge', agent=self.agent, start_time=start_time)
self.submit_trade(xtrade)
def close_tradepos(self, idx, tradepos, price):
start_time = self.agent.tick_id
xtrade = trade.XTrade(tradepos.insts,
tradepos.volumes,
-tradepos.pos,
price,
price_unit=self.price_unit[idx],
strategy=self.name,
book=str(idx),
agent=self.agent,
start_time=start_time)
exec_algo = eval(self.exec_class)(xtrade, **self.exec_args[idx])
xtrade.set_algo(exec_algo)
tradepos.exit_tradeid = xtrade.id
self.submit_trade(idx, xtrade)
return
def open_tradepos(self, idx, direction, price, volume=0):
tunit = self.trade_unit[idx] if volume == 0 else volume
start_time = self.agent.tick_id
xtrade = trade.XTrade( instIDs = self.tradables[idx], units = self.volumes[idx], \
vol = direction * tunit, limit_price = price, \
price_unit = self.price_unit[idx], start_time = start_time, \
strategy=self.name, book= str(idx))
xtrade.set_agent(self.agent)
exec_algo = eval(self.exec_class)(xtrade, **self.exec_args[idx])
xtrade.set_algo(exec_algo)
tradepos = eval(self.pos_class)(insts = self.tradables[idx], \
volumes = self.volumes[idx], pos = direction * tunit, \
entry_target = price, exit_target = price, \
multiple = self.underlying[idx].multiple, **self.pos_args)
tradepos.entry_tradeid = xtrade.id
self.submit_trade(idx, xtrade)
self.positions[idx].append(tradepos)
def open_tradepos(self, idx, direction, price, volume=0):
tunit = self.trade_unit[idx] if volume == 0 else volume
start_time = self.agent.tick_id
xtrade = trade.XTrade(self.tradables[idx],
self.volumes[idx],
direction * tunit,
price,
price_unit=self.price_unit[idx],
strategy=self.name,
book=str(idx),
agent=self.agent,
start_time=start_time)
exec_algo = eval(self.exec_class)(xtrade, **self.exec_args[idx])
xtrade.set_algo(exec_algo)
tradepos = eval(self.pos_class)(self.tradables[idx], self.volumes[idx], direction * tunit, \
price, price, self.underlying[idx].multiple, **self.pos_args)
tradepos.entry_tradeid = xtrade.id
self.submit_trade(idx, xtrade)
self.positions[idx].append(tradepos)