def __init__(self,
underlying_pair,
db,
underlying_price=None,
expirations=[],
strikes={},
atm_volatility=0.5,
interest_rate=0):
self.underlying_pair = underlying_pair
self.db = db
self.underlying_price = underlying_price
self.expirations = expirations
self.strikes = {e: strikes for e in self.expirations}
self.atm_volatility = atm_volatility
self.interest_rate = interest_rate
self.currency = self.underlying_pair.split('/')[0]
self.time = utils.get_current_time()
self.options = {'call': {}, 'put': {}}
self.exchange_symbols = []
self.options_by_name = {}
self.underlying_exchange_symbol = self.get_exchange_symbol(
pair=self.underlying_pair)
self.client = None
if underlying_price is None:
self.setup_client()
self.get_underlying_price()
def get_metadata(self, timestamp=None):
if timestamp is None:
timestamp = str(utils.get_current_time())
return {
'timestamp': timestamp,
'expiry': str(self.expiry)[:10],
'type': self.option_type,
'strike': str(self.strike),
'delta': str(self.delta),
'gamma': str(self.gamma),
'theta': str(self.theta),
'wvega': str(self.wvega),
'vega': str(self.vega),
'vol': str(self.vol),
'best_bid': str(self.best_bid),
'best_ask': str(self.best_ask),
'exchange_symbol': self.exchange_symbol
}
def iterate_options(self):
expirys_to_remove = []
for option_type in self.options:
for expiry in self.options[option_type]:
if expiry > utils.get_current_time():
for strike in self.options[option_type][expiry]:
yield self.options[option_type][expiry][strike]
else:
logging.info("Expiry to remove: " + str(expiry))
expirys_to_remove.append(expiry)
if expirys_to_remove:
for option_type in self.options:
self.options[option_type] = {
k: v
for k, v in self.options[option_type].items()
if k not in expirys_to_remove
}
logging.info("Expirys after removal: " +
str(self.options[option_type]))
def __init__(self,
underlying_pair,
option_type,
strike,
expiry,
interest_rate=0,
volatility=None,
underlying_price=None,
time=utils.get_current_time(),
exchange_symbol=None):
self.underlying_pair = underlying_pair
if not option_type == 'call' and not option_type == 'put':
raise ValueError('Expected "call" or "put", got ' + option_type)
self.option_type = option_type
self.strike = int(strike)
self.expiry = expiry
self.interest_rate = interest_rate
if volatility is not None:
self.vol = volatility
else:
self.vol = None
self.underlying_price = underlying_price
self.time = time
self.exchange_symbol = exchange_symbol
self.time_left = self.get_time_left(self.time)
self.d1 = None
self.d2 = None
self.theo = None
self.delta = None
self.gamma = None
self.theta = None
self.vega = None
self.wvega = None
self.present_value = None
self.mid_market = None
self.best_bid = None
self.best_ask = None
def get_time_left(self, current_datetime=utils.get_current_time()):
return (self.expiry - current_datetime).total_seconds() / (day * 365)