def get_option_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs["start_year"]
end_year = kwargs["end_year"]
tickerhead_list = cmi.cme_option_tickerhead_list
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year, end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = cmi.get_option_contract_months(ticker_head=i)
for j in contract_months:
for k in year_list:
ticker = i + j + str(k)
print(ticker)
ticker_list.append(
(
ticker,
i,
k,
cmi.letter_month_string.find(j) + 1,
exp.get_options_expiration(ticker),
"options",
contract_name_dict[i],
ticker_class_dict[i],
"USD",
now,
now,
)
)
return ticker_list
def generate_liquid_options_list_dataframe(**kwargs):
settle_date = kwargs["settle_date"]
con = msu.get_my_sql_connection(**kwargs)
contract_list = []
for ticker_head in cmi.option_tickerhead_list:
for ticker_month in cmi.get_option_contract_months(ticker_head=ticker_head):
ticker_month_num = cmi.letter_month_string.find(ticker_month) + 1
max_cal_dte = cmi.get_max_cal_dte(ticker_head=ticker_head, ticker_month=ticker_month_num)
contract_list.extend(
get_db_contract_list_filtered(
expiration_date_from=settle_date,
expiration_date_to=cu.doubledate_shift(settle_date, -max_cal_dte),
ticker_head=ticker_head,
ticker_month=ticker_month_num,
con=con,
instrument="options",
)
)
if "con" not in kwargs.keys():
con.close()
return pd.DataFrame(contract_list, columns=["id", "ticker", "expiration_date"])
def generate_liquid_options_list_dataframe(**kwargs):
settle_date = kwargs['settle_date']
con = msu.get_my_sql_connection(**kwargs)
contract_list = []
for ticker_head in cmi.option_tickerhead_list:
for ticker_month in cmi.get_option_contract_months(ticker_head=ticker_head):
ticker_month_num = cmi.letter_month_string.find(ticker_month)+1
max_cal_dte = cmi.get_max_cal_dte(ticker_head=ticker_head, ticker_month=ticker_month_num)
contract_list.extend(get_db_contract_list_filtered(expiration_date_from=settle_date,
expiration_date_to=cu.doubledate_shift(settle_date, -max_cal_dte),
ticker_head=ticker_head, ticker_month=ticker_month_num, con=con,
instrument='options'))
if 'con' not in kwargs.keys():
con.close()
return pd.DataFrame(contract_list,columns=['id', 'ticker', 'expiration_date'])
def get_option_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs['start_year']
end_year = kwargs['end_year']
tickerhead_list = cmi.cme_option_tickerhead_list
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year,end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = cmi.get_option_contract_months(ticker_head=i)
for j in contract_months:
for k in year_list:
ticker = i+j+str(k)
print(ticker)
ticker_list.append((ticker,i,k,cmi.letter_month_string.find(j)+1,exp.get_options_expiration(ticker),
'options',contract_name_dict[i],ticker_class_dict[i],'USD',now,now))
return ticker_list
def generate_test_cases_from_aligned_option_data(**kwargs):
test_data_dir = dn.get_directory_name(ext='option_model_test_data')
if os.path.isfile(test_data_dir + '/option_model_test_data.pkl'):
data_frame_test = pd.read_pickle(test_data_dir + '/option_model_test_data.pkl')
return data_frame_test
ticker_head_list = cmi.cme_option_tickerhead_list
tr_dte_center_list = [10, 15, 20, 25, 30, 35, 40, 45, 50,
60, 70, 80, 90, 100, 120, 140, 180,
200, 220, 240, 260, 280, 300, 330, 360, 390]
delta_list = [0.1, 0.15, 0.25, 0.35, 0.5, -0.1, -0.15, -0.25, -0.35, -0.5]
data_frame_list = []
aligned_column_names = ['TickerYear','TickerMonth','settleDates','calDTE','rate2OptExp', 'theoValue' , 'impVol', 'atmVol', 'delta',
'strike', 'underlying', 'dollarVega', 'dollarTheta','gamma','dollarGamma', 'optionPnL', 'deltaPnL', 'gammaPnL', 'thetaPnL']
#ticker_head_list = ticker_head_list[3:5]
for i in range(len(ticker_head_list)):
if ticker_head_list[i] in ['ED', 'E0', 'E2', 'E3', 'E4', 'E5']:
model = 'OU'
else:
model = 'BS'
ticker_class = cmi.ticker_class[ticker_head_list[i]]
contract_multiplier = cmi.contract_multiplier[ticker_head_list[i]]
if ticker_class in ['Livestock', 'Ag'] or ticker_head_list[i] == 'NG':
month_specificQ = True
contract_month_list = cmi.get_option_contract_months(ticker_head=ticker_head_list[i])
else:
month_specificQ = False
for j in range(len(tr_dte_center_list)):
for k in range(len(delta_list)):
if month_specificQ:
for contract_month in contract_month_list:
data_frame = gop.load_aligend_options_data_file(ticker_head=ticker_head_list[i],
tr_dte_center=tr_dte_center_list[j],
delta_center=delta_list[k],
contract_month_letter=contract_month,
model=model)
if data_frame.empty:
continue
else:
x1 = round(len(data_frame.index)/4)
x2 = round(2*len(data_frame.index)/4)
x3 = round(3*len(data_frame.index)/4)
data_frame_select = data_frame[aligned_column_names].iloc[[-x3, -x2, -x1, -1]]
data_frame_select['tickerHead'] = ticker_head_list[i]
data_frame_select['contractMultiplier'] = contract_multiplier
data_frame_select['exercise_type'] = cmi.get_option_exercise_type(ticker_head=ticker_head_list[i])
data_frame_list.append(data_frame_select)
else:
data_frame = gop.load_aligend_options_data_file(ticker_head=ticker_head_list[i],
tr_dte_center=tr_dte_center_list[j],
delta_center=delta_list[k],
model=model)
if data_frame.empty:
continue
else:
x1 = round(len(data_frame.index)/4)
x2 = round(2*len(data_frame.index)/4)
x3 = round(3*len(data_frame.index)/4)
data_frame_select = data_frame[aligned_column_names].iloc[[-x3, -x2, -x1, -1]]
data_frame_select['tickerHead'] = ticker_head_list[i]
data_frame_select['contractMultiplier'] = contract_multiplier
data_frame_select['exercise_type'] = cmi.get_option_exercise_type(ticker_head=ticker_head_list[i])
data_frame_list.append(data_frame_select)
data_frame_test = pd.concat(data_frame_list)
data_frame_test['optionPnL'] = data_frame_test['optionPnL']*data_frame_test['contractMultiplier']
data_frame_test['deltaPnL'] = data_frame_test['deltaPnL']*data_frame_test['contractMultiplier']
data_frame_test['ticker'] = [data_frame_test['tickerHead'].iloc[x] +
cmi.letter_month_string[int(data_frame_test['TickerMonth'].iloc[x]-1)] +
str(int(data_frame_test['TickerYear'].iloc[x]))
for x in range(len(data_frame_test.index))]
data_frame_test['option_type'] = 'C'
data_frame_test['option_type'][data_frame_test['delta'] < 0] = 'P'
data_frame_test.to_pickle(test_data_dir + '/option_model_test_data.pkl')
return data_frame_test
