def update_options_greeks_4date(**kwargs):
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
[
update_options_greek_database_4ticker(ticker=x, **kwargs)
for x in options_frame['ticker']
]
def update_options_price_database_from_cme_files(**kwargs):
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
if not exp.is_business_day(double_date=settle_date):
if close_connection_before_exit:
con.close()
return
data_read_out = {}
data_read_out['commodity'] = rcf.read_cme_settle_txt_files(
file_name='commodity', report_date=settle_date)
data_read_out['equity'] = rcf.read_cme_settle_txt_files(
file_name='equity', report_date=settle_date)
data_read_out['fx'] = rcf.read_cme_settle_txt_files(
file_name='fx', report_date=settle_date)
data_read_out['interest_rate'] = rcf.read_cme_settle_txt_files(
file_name='interest_rate', report_date=settle_date)
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
for i in range(len(options_frame.index)):
ticker = options_frame['ticker'].iloc[i]
expiration_date = options_frame['expiration_date'].iloc[i]
update_options_price_database_from_cme_files_4ticker(
ticker=ticker,
expiration_date=expiration_date,
data_read_out=data_read_out,
**kwargs)
if close_connection_before_exit:
con.close()
def update_options_price_database_from_cme_files(**kwargs):
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
if not exp.is_business_day(double_date=settle_date):
if close_connection_before_exit:
con.close()
return
data_read_out = {}
data_read_out['commodity'] = rcf.read_cme_settle_txt_files(file_name='commodity', report_date=settle_date)
data_read_out['equity'] = rcf.read_cme_settle_txt_files(file_name='equity', report_date=settle_date)
data_read_out['fx'] = rcf.read_cme_settle_txt_files(file_name='fx', report_date=settle_date)
data_read_out['interest_rate'] = rcf.read_cme_settle_txt_files(file_name='interest_rate', report_date=settle_date)
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
for i in range(len(options_frame.index)):
ticker = options_frame['ticker'].iloc[i]
expiration_date = options_frame['expiration_date'].iloc[i]
print(ticker)
update_options_price_database_from_cme_files_4ticker(ticker=ticker,
expiration_date=expiration_date,
data_read_out=data_read_out,
**kwargs)
if close_connection_before_exit:
con.close()
def generate_test_file_4stir_rates(**kwargs):
output_dir = dn.get_directory_name(ext='test_data')
full_dates = exp.get_bus_day_list(date_from=20100101, date_to=20160821)
#full_dates = exp.get_bus_day_list(date_from=20160812,date_to=20160821)
bus_dates_select = full_dates[0::6]
data_frame_list = []
#bus_dates_select = bus_dates_select[:200]
for i in range(len(bus_dates_select)):
#print(bus_dates_select[i])
date_file_name = output_dir + '/' + str(bus_dates_select[i]) + '.pkl'
if os.path.isfile(date_file_name):
liquid_options = pd.read_pickle(date_file_name)
else:
liquid_options = cl.generate_liquid_options_list_dataframe(
settle_date=bus_dates_select[i])
liquid_options.drop_duplicates('expiration_date', inplace=True)
liquid_options = liquid_options[['expiration_date']]
liquid_options['settle_date'] = bus_dates_select[i]
liquid_options['exp_date'] = liquid_options[
'expiration_date'].apply(
lambda x: 10000 * x.year + 100 * x.month + x.day)
liquid_options['int_rate'] = liquid_options.apply(
lambda x: grfs.get_simple_rate(as_of_date=x['settle_date'],
date_to=x['exp_date'])[
'rate_output'],
axis=1)
liquid_options.to_pickle(date_file_name)
data_frame_list.append(liquid_options)
merged_data = pd.concat(data_frame_list)
merged_data.reset_index(inplace=True, drop=True)
merged_data = merged_data[['settle_date', 'exp_date', 'int_rate']]
writer = pd.ExcelWriter(output_dir + '/' + 'stir_option_rate_test' +
'.xlsx',
engine='xlsxwriter')
merged_data.to_excel(writer, sheet_name='all')
def generate_test_file_4stir_rates(**kwargs):
output_dir = dn.get_directory_name(ext="test_data")
full_dates = exp.get_bus_day_list(date_from=20100101, date_to=20160821)
# full_dates = exp.get_bus_day_list(date_from=20160812,date_to=20160821)
bus_dates_select = full_dates[0::6]
data_frame_list = []
# bus_dates_select = bus_dates_select[:200]
for i in range(len(bus_dates_select)):
# print(bus_dates_select[i])
date_file_name = output_dir + "/" + str(bus_dates_select[i]) + ".pkl"
if os.path.isfile(date_file_name):
liquid_options = pd.read_pickle(date_file_name)
else:
liquid_options = cl.generate_liquid_options_list_dataframe(settle_date=bus_dates_select[i])
liquid_options.drop_duplicates("expiration_date", inplace=True)
liquid_options = liquid_options[["expiration_date"]]
liquid_options["settle_date"] = bus_dates_select[i]
liquid_options["exp_date"] = liquid_options["expiration_date"].apply(
lambda x: 10000 * x.year + 100 * x.month + x.day
)
liquid_options["int_rate"] = liquid_options.apply(
lambda x: grfs.get_simple_rate(as_of_date=x["settle_date"], date_to=x["exp_date"])["rate_output"],
axis=1,
)
liquid_options.to_pickle(date_file_name)
data_frame_list.append(liquid_options)
merged_data = pd.concat(data_frame_list)
merged_data.reset_index(inplace=True, drop=True)
merged_data = merged_data[["settle_date", "exp_date", "int_rate"]]
writer = pd.ExcelWriter(output_dir + "/" + "stir_option_rate_test" + ".xlsx", engine="xlsxwriter")
merged_data.to_excel(writer, sheet_name="all")
def load_ticker_signals_4settle_date(**kwargs):
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
con = kwargs['con']
if not exp.is_business_day(double_date=kwargs['settle_date']):
if close_connection_before_exit:
con.close()
return
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
futures_data_dictionary = {
x: gfp.get_futures_price_preloaded(ticker_head=x)
for x in cmi.get_tickerhead_list('cme_futures')
}
real_vol_output = [
ops.calc_realized_vol_4options_ticker(
ticker=x,
futures_data_dictionary=futures_data_dictionary,
settle_date=kwargs['settle_date']) for x in options_frame['ticker']
]
delta_vol_output = [
ops.calc_delta_vol_4ticker(ticker=x,
settle_date=kwargs['settle_date'],
delta_target=0.5)
for x in options_frame['ticker']
]
volume_interest_output = [
ops.calc_volume_interest_4ticker(ticker=x,
settle_date=kwargs['settle_date'])
for x in options_frame['ticker']
]
atm_vol_frame = pd.concat([
options_frame,
pd.DataFrame(delta_vol_output),
pd.DataFrame(volume_interest_output)
],
axis=1)
atm_vol_frame['real_vol'] = real_vol_output
contract_specs_output = [
cmi.get_contract_specs(x) for x in atm_vol_frame['ticker']
]
atm_vol_frame['ticker_head'] = [
x['ticker_head'] for x in contract_specs_output
]
atm_vol_frame['ticker_month'] = [
x['ticker_month_num'] for x in contract_specs_output
]
atm_vol_frame['ticker_year'] = [
x['ticker_year'] for x in contract_specs_output
]
column_names = atm_vol_frame.columns.tolist()
ticker_indx = column_names.index('ticker')
cal_dte_indx = column_names.index('cal_dte')
tr_dte_indx = column_names.index('tr_dte')
ticker_head_indx = column_names.index('ticker_head')
ticker_month_indx = column_names.index('ticker_month')
ticker_year_indx = column_names.index('ticker_year')
imp_vol_indx = column_names.index('delta_vol')
strike_indx = column_names.index('strike')
theta_indx = column_names.index('theta')
open_interest_indx = column_names.index('open_interest')
volume_indx = column_names.index('volume')
real_vol_indx = column_names.index('real_vol')
now = dt.datetime.now()
settle_datetime = cu.convert_doubledate_2datetime(kwargs['settle_date'])
tuples = [
tuple([
x[ticker_indx], x[ticker_head_indx], x[ticker_month_indx],
x[ticker_year_indx],
None if np.isnan(x[cal_dte_indx]) else x[cal_dte_indx],
None if np.isnan(x[tr_dte_indx]) else x[tr_dte_indx],
None if np.isnan(x[imp_vol_indx]) else 100 * x[imp_vol_indx], 0.5,
None if np.isnan(x[theta_indx]) else x[theta_indx],
None if np.isnan(x[strike_indx]) else x[strike_indx],
None if np.isnan(x[real_vol_indx]) else x[real_vol_indx],
None if np.isnan(x[open_interest_indx]) else x[open_interest_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
settle_datetime.date(), now, now
]) for x in atm_vol_frame.values
]
column_str = "ticker, ticker_head, ticker_month, ticker_year, " \
" cal_dte, tr_dte, imp_vol, delta, theta, strike, " \
"close2close_vol20, open_interest, volume, price_date, created_date, last_updated_date"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO option_ticker_indicators (%s) VALUES (%s)" % (
column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
load_pnls_4settle_date(**kwargs)
if close_connection_before_exit:
con.close()
def get_vcs_pairs_4date_legacy(**kwargs):
settle_date = kwargs['settle_date']
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
con = msu.get_my_sql_connection(**kwargs)
liquid_options_frame = cl.generate_liquid_options_list_dataframe(settle_date=settle_date,con=con)
contract_specs_output = [cmi.get_contract_specs(x) for x in liquid_options_frame['ticker']]
liquid_options_frame['ticker_head'] = [x['ticker_head'] for x in contract_specs_output]
liquid_options_frame['ticker_month'] = [x['ticker_month_num'] for x in contract_specs_output]
liquid_options_frame['ticker_class'] = [x['ticker_class'] for x in contract_specs_output]
liquid_options_frame['cal_dte'] = [(x-settle_datetime.date()).days for x in liquid_options_frame['expiration_date']]
liquid_options_frame = liquid_options_frame[((liquid_options_frame['ticker_head'] == 'LN')&(liquid_options_frame['cal_dte'] <= 360))|
((liquid_options_frame['ticker_head']=='LC')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']%2==0))|
((liquid_options_frame['ticker_head']=='LC')&(liquid_options_frame['cal_dte']<=40)&
(liquid_options_frame['ticker_month']%2==1))|
((liquid_options_frame['ticker_head']=='ES')&(liquid_options_frame['cal_dte']<=270))|
((liquid_options_frame['ticker_class']=='FX')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month']%3==0))|
((liquid_options_frame['ticker_class']=='FX')&(liquid_options_frame['cal_dte']<=70)&
(liquid_options_frame['ticker_month']%3!=0))|
((liquid_options_frame['ticker_head']=='GC')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month'].isin([6,12])))|
((liquid_options_frame['ticker_head']=='GC')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month'].isin([2,4,8,10])))|
((liquid_options_frame['ticker_head']=='GC')&(liquid_options_frame['cal_dte']<=70))|
((liquid_options_frame['ticker_head']=='SI')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month'].isin([7,12])))|
((liquid_options_frame['ticker_head']=='SI')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month'].isin([1,3,5,9])))|
((liquid_options_frame['ticker_head']=='SI')&(liquid_options_frame['cal_dte']<=70))|
((liquid_options_frame['ticker_class']=='Treasury')&(liquid_options_frame['cal_dte']<=180)&
(liquid_options_frame['ticker_month']%3==0))|
((liquid_options_frame['ticker_class']=='Treasury')&(liquid_options_frame['cal_dte']<=70)&
(liquid_options_frame['ticker_month']%3!=0))|
((liquid_options_frame['ticker_head']=='C')&(liquid_options_frame['cal_dte']<=540)&
(liquid_options_frame['ticker_month']==12))|
((liquid_options_frame['ticker_head']=='C')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']==7))|
((liquid_options_frame['ticker_head']=='C')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month'].isin([3,5,9])))|
((liquid_options_frame['ticker_head']=='C')&(liquid_options_frame['cal_dte']<=40))|
((liquid_options_frame['ticker_head']=='S')&(liquid_options_frame['cal_dte']<=540)&
(liquid_options_frame['ticker_month']==11))|
((liquid_options_frame['ticker_head']=='S')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']==7))|
((liquid_options_frame['ticker_head']=='S')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month'].isin([1,3,5,8,9])))|
((liquid_options_frame['ticker_head']=='S')&(liquid_options_frame['cal_dte']<=40))|
((liquid_options_frame['ticker_head']=='SM')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']==12))|
((liquid_options_frame['ticker_head']=='SM')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month']==7))|
((liquid_options_frame['ticker_head']=='SM')&(liquid_options_frame['cal_dte']<=180)&
(liquid_options_frame['ticker_month'].isin([1,3,5,8,9,10])))|
((liquid_options_frame['ticker_head']=='SM')&(liquid_options_frame['cal_dte']<=40))|
((liquid_options_frame['ticker_head']=='BO')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']==12))|
((liquid_options_frame['ticker_head']=='BO')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month']==7))|
((liquid_options_frame['ticker_head']=='BO')&(liquid_options_frame['cal_dte']<=180)&
(liquid_options_frame['ticker_month'].isin([1,3,5,8,9,10])))|
((liquid_options_frame['ticker_head']=='BO')&(liquid_options_frame['cal_dte']<=40))|
((liquid_options_frame['ticker_head']=='W')&(liquid_options_frame['cal_dte']<=360)&
(liquid_options_frame['ticker_month']==12))|
((liquid_options_frame['ticker_head']=='W')&(liquid_options_frame['cal_dte']<=270)&
(liquid_options_frame['ticker_month']==7))|
((liquid_options_frame['ticker_head']=='W')&(liquid_options_frame['cal_dte']<=180)&
(liquid_options_frame['ticker_month'].isin([3,5,9])))|
((liquid_options_frame['ticker_head']=='W')&(liquid_options_frame['cal_dte']<=40))|
((liquid_options_frame['ticker_head']=='CL')&(liquid_options_frame['cal_dte']<=720)&
(liquid_options_frame['ticker_month']==12))|
((liquid_options_frame['ticker_head']=='CL')&(liquid_options_frame['cal_dte']<=540)&
(liquid_options_frame['ticker_month']==6))|
((liquid_options_frame['ticker_head']=='CL')&(liquid_options_frame['cal_dte']<=180))|
((liquid_options_frame['ticker_head']=='NG')&(liquid_options_frame['cal_dte']<=360))]
liquid_options_frame.sort(['ticker_head','cal_dte'],ascending=[True,True],inplace=True)
liquid_options_frame['tr_dte'] = [exp.get_days2_expiration(date_to=settle_date,con=con,instrument='options',ticker=x)['tr_dte'] for x in liquid_options_frame['ticker']]
if 'con' not in kwargs.keys():
con.close()
option_frame = liquid_options_frame[liquid_options_frame['tr_dte'] >= 35]
option_frame.reset_index(drop=True,inplace=True)
unique_ticker_heads = option_frame['ticker_head'].unique()
tuples = []
for ticker_head_i in unique_ticker_heads:
ticker_head_data = option_frame[option_frame['ticker_head'] == ticker_head_i]
ticker_head_data.sort('cal_dte', ascending=True, inplace=True)
if len(ticker_head_data.index) >= 2:
for i in range(len(ticker_head_data.index)-1):
for j in range(i+1,len(ticker_head_data.index)):
tuples = tuples + [(ticker_head_data.index[i], ticker_head_data.index[j])]
return pd.DataFrame([(option_frame['ticker'][indx[0]],
option_frame['ticker'][indx[1]],
option_frame['ticker_head'][indx[0]],
option_frame['ticker_class'][indx[0]],
option_frame['tr_dte'][indx[0]],
option_frame['tr_dte'][indx[1]]) for indx in tuples],columns=['ticker1','ticker2','tickerHead','tickerClass','trDte1','trDte2'])
def get_vcs_pairs_4date_legacy(**kwargs):
settle_date = kwargs['settle_date']
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
con = msu.get_my_sql_connection(**kwargs)
liquid_options_frame = cl.generate_liquid_options_list_dataframe(
settle_date=settle_date, con=con)
contract_specs_output = [
cmi.get_contract_specs(x) for x in liquid_options_frame['ticker']
]
liquid_options_frame['ticker_head'] = [
x['ticker_head'] for x in contract_specs_output
]
liquid_options_frame['ticker_month'] = [
x['ticker_month_num'] for x in contract_specs_output
]
liquid_options_frame['ticker_class'] = [
x['ticker_class'] for x in contract_specs_output
]
liquid_options_frame['cal_dte'] = [
(x - settle_datetime.date()).days
for x in liquid_options_frame['expiration_date']
]
liquid_options_frame = liquid_options_frame[
((liquid_options_frame['ticker_head'] == 'LN') &
(liquid_options_frame['cal_dte'] <= 360)) |
((liquid_options_frame['ticker_head'] == 'LC') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] % 2 == 0)) |
((liquid_options_frame['ticker_head'] == 'LC') &
(liquid_options_frame['cal_dte'] <= 40) &
(liquid_options_frame['ticker_month'] % 2 == 1)) |
((liquid_options_frame['ticker_head'] == 'ES') &
(liquid_options_frame['cal_dte'] <= 270)) |
((liquid_options_frame['ticker_class'] == 'FX') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'] % 3 == 0)) |
((liquid_options_frame['ticker_class'] == 'FX') &
(liquid_options_frame['cal_dte'] <= 70) &
(liquid_options_frame['ticker_month'] % 3 != 0)) |
((liquid_options_frame['ticker_head'] == 'GC') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'].isin([6, 12]))) |
((liquid_options_frame['ticker_head'] == 'GC') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'].isin([2, 4, 8, 10]))) |
((liquid_options_frame['ticker_head'] == 'GC') &
(liquid_options_frame['cal_dte'] <= 70)) |
((liquid_options_frame['ticker_head'] == 'SI') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'].isin([7, 12]))) |
((liquid_options_frame['ticker_head'] == 'SI') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'].isin([1, 3, 5, 9]))) |
((liquid_options_frame['ticker_head'] == 'SI') &
(liquid_options_frame['cal_dte'] <= 70)) |
((liquid_options_frame['ticker_class'] == 'Treasury') &
(liquid_options_frame['cal_dte'] <= 180) &
(liquid_options_frame['ticker_month'] % 3 == 0)) |
((liquid_options_frame['ticker_class'] == 'Treasury') &
(liquid_options_frame['cal_dte'] <= 70) &
(liquid_options_frame['ticker_month'] % 3 != 0)) |
((liquid_options_frame['ticker_head'] == 'C') &
(liquid_options_frame['cal_dte'] <= 540) &
(liquid_options_frame['ticker_month'] == 12)) |
((liquid_options_frame['ticker_head'] == 'C') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] == 7)) |
((liquid_options_frame['ticker_head'] == 'C') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'].isin([3, 5, 9]))) |
((liquid_options_frame['ticker_head'] == 'C') &
(liquid_options_frame['cal_dte'] <= 40)) |
((liquid_options_frame['ticker_head'] == 'S') &
(liquid_options_frame['cal_dte'] <= 540) &
(liquid_options_frame['ticker_month'] == 11)) |
((liquid_options_frame['ticker_head'] == 'S') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] == 7)) |
((liquid_options_frame['ticker_head'] == 'S') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'].isin([1, 3, 5, 8, 9]))) |
((liquid_options_frame['ticker_head'] == 'S') &
(liquid_options_frame['cal_dte'] <= 40)) |
((liquid_options_frame['ticker_head'] == 'SM') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] == 12)) |
((liquid_options_frame['ticker_head'] == 'SM') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'] == 7)) |
((liquid_options_frame['ticker_head'] == 'SM') &
(liquid_options_frame['cal_dte'] <= 180) &
(liquid_options_frame['ticker_month'].isin([1, 3, 5, 8, 9, 10]))) |
((liquid_options_frame['ticker_head'] == 'SM') &
(liquid_options_frame['cal_dte'] <= 40)) |
((liquid_options_frame['ticker_head'] == 'BO') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] == 12)) |
((liquid_options_frame['ticker_head'] == 'BO') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'] == 7)) |
((liquid_options_frame['ticker_head'] == 'BO') &
(liquid_options_frame['cal_dte'] <= 180) &
(liquid_options_frame['ticker_month'].isin([1, 3, 5, 8, 9, 10]))) |
((liquid_options_frame['ticker_head'] == 'BO') &
(liquid_options_frame['cal_dte'] <= 40)) |
((liquid_options_frame['ticker_head'] == 'W') &
(liquid_options_frame['cal_dte'] <= 360) &
(liquid_options_frame['ticker_month'] == 12)) |
((liquid_options_frame['ticker_head'] == 'W') &
(liquid_options_frame['cal_dte'] <= 270) &
(liquid_options_frame['ticker_month'] == 7)) |
((liquid_options_frame['ticker_head'] == 'W') &
(liquid_options_frame['cal_dte'] <= 180) &
(liquid_options_frame['ticker_month'].isin([3, 5, 9]))) |
((liquid_options_frame['ticker_head'] == 'W') &
(liquid_options_frame['cal_dte'] <= 40)) |
((liquid_options_frame['ticker_head'] == 'CL') &
(liquid_options_frame['cal_dte'] <= 720) &
(liquid_options_frame['ticker_month'] == 12)) |
((liquid_options_frame['ticker_head'] == 'CL') &
(liquid_options_frame['cal_dte'] <= 540) &
(liquid_options_frame['ticker_month'] == 6)) |
((liquid_options_frame['ticker_head'] == 'CL') &
(liquid_options_frame['cal_dte'] <= 180)) |
((liquid_options_frame['ticker_head'] == 'NG') &
(liquid_options_frame['cal_dte'] <= 360))]
liquid_options_frame.sort(['ticker_head', 'cal_dte'],
ascending=[True, True],
inplace=True)
liquid_options_frame['tr_dte'] = [
exp.get_days2_expiration(date_to=settle_date,
con=con,
instrument='options',
ticker=x)['tr_dte']
for x in liquid_options_frame['ticker']
]
if 'con' not in kwargs.keys():
con.close()
option_frame = liquid_options_frame[liquid_options_frame['tr_dte'] >= 35]
option_frame.reset_index(drop=True, inplace=True)
unique_ticker_heads = option_frame['ticker_head'].unique()
tuples = []
for ticker_head_i in unique_ticker_heads:
ticker_head_data = option_frame[option_frame['ticker_head'] ==
ticker_head_i]
ticker_head_data.sort('cal_dte', ascending=True, inplace=True)
if len(ticker_head_data.index) >= 2:
for i in range(len(ticker_head_data.index) - 1):
for j in range(i + 1, len(ticker_head_data.index)):
tuples = tuples + [
(ticker_head_data.index[i], ticker_head_data.index[j])
]
return pd.DataFrame(
[(option_frame['ticker'][indx[0]], option_frame['ticker'][indx[1]],
option_frame['ticker_head'][indx[0]],
option_frame['ticker_class'][indx[0]],
option_frame['tr_dte'][indx[0]], option_frame['tr_dte'][indx[1]])
for indx in tuples],
columns=[
'ticker1', 'ticker2', 'tickerHead', 'tickerClass', 'trDte1',
'trDte2'
])
def update_options_greeks_4date(**kwargs):
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
[update_options_greek_database_4ticker(ticker=x, **kwargs) for x in options_frame['ticker']]
