def test_calc_iv_put(self):
quote = OptionQuote('ABC', consts.PUT, date(2015, 1, 31), 60.,
date(2015, 1, 1), None, None, None, 52, None, None)
iv = math.calc_iv(quote, 7.86, interest_rate=0.05)
self.assertAlmostEqual(iv, 0.2998, places=3)
def _parse_data(symbol, data, is_eod, db_name=None, timestamp=None):
"""Parses realtime (delayed) options quotes from CBOE and saves to
database.
Args:
symbol (str): Symbol.
data (str): Raw quotes for the symbol.
is_eod (bool): If True: mark received quotes as EOD (time=None),
if False: store actual time.
db_name (str): Optional database name.
timestamp (datetime): Optional datetime for the data.
Returns:
list: List of OptionQuote objects.
"""
logger = logging.getLogger(__name__)
if timestamp is None:
timestamp = dates.get_database_timestamp()
date = timestamp.date()
time = None if is_eod else timestamp.time()
quotes = []
stock_price = None
expirations = dates.get_expirations(symbol)
with database.connect_db(db_name) as db:
for line in data.splitlines():
values = line.strip().split(',')
if (len(values) == 4) and (stock_price is None):
stock_price = utils.to_float(values[1])
continue
if len(values) != 15:
continue
if values[0] == 'Calls' or values[0].find('-') >= 0:
continue
code_values = values[0].split(' ')
if len(code_values) != 4:
continue
position = code_values[3].find(code_values[0])
if code_values[3][1:position] in SKIP_SYMBOLS:
continue
expiration_year = 2000 + int(code_values[0])
expiration_month = MONTHS[code_values[1]]
expiration_day = int(code_values[3][position + 2:position + 4])
expiration = datetime(expiration_year, expiration_month,
expiration_day).date()
if expiration not in expirations:
continue
strike = utils.to_float(code_values[2])
for type_, bid, ask in [
(consts.CALL, values[3], values[4]),
(consts.PUT, values[10], values[11]),
]:
bid = utils.to_float(bid)
ask = utils.to_float(ask)
quote = OptionQuote(
symbol, type_, expiration, strike, date, time,
bid, ask, stock_price, None, None)
iv_bid = math.calc_iv(quote, bid) * 100
iv_ask = math.calc_iv(quote, ask) * 100
quote = OptionQuote(
symbol, type_, expiration, strike, date, time,
bid, ask, stock_price, iv_bid, iv_ask)
save_quote(db, quote)
quotes.append(quote)
logger.info('... quotes parsed: %d', len(quotes))
return quotes
def test_calc_iv_call(self):
quote = OptionQuote('ABC', consts.CALL, date(2015, 1, 31), 60.,
date(2015, 1, 1), None, None, None, 52, None, None)
iv = math.calc_iv(quote, 3.00, interest_rate=0.05)
self.assertAlmostEqual(iv, 0.9780, places=3)
