def get_single_contracts_4date(**kwargs):
option_frame = ops.get_option_ticker_indicators(**kwargs)
if 'open_interest_filter' in kwargs.keys():
open_interest_filter = kwargs['open_interest_filter']
else:
open_interest_filter = 100
option_frame = option_frame[
option_frame['open_interest'] >= open_interest_filter]
option_frame['ticker_class'] = [
cmi.ticker_class[x] for x in option_frame['ticker_head']
]
selection_indx = (option_frame['ticker_class'] == 'Livestock') | (option_frame['ticker_class'] == 'Ag') | \
(option_frame['ticker_class'] == 'Treasury') | (option_frame['ticker_head'] == 'CL') | \
(option_frame['ticker_class'] == 'FX') | (option_frame['ticker_class'] == 'Index') | \
(option_frame['ticker_class'] == 'Metal')
#selection_indx = (option_frame['ticker_head'] == 'S')
option_frame = option_frame[selection_indx]
option_frame = option_frame[option_frame['tr_dte'] >= 20]
option_frame.reset_index(drop=True, inplace=True)
return option_frame[['ticker', 'ticker_head', 'ticker_class', 'tr_dte']]
def get_single_contracts_4date(**kwargs):
option_frame = ops.get_option_ticker_indicators(**kwargs)
if 'open_interest_filter' in kwargs.keys():
open_interest_filter = kwargs['open_interest_filter']
else:
open_interest_filter = 100
option_frame = option_frame[option_frame['open_interest']>=open_interest_filter]
option_frame['ticker_class'] = [cmi.ticker_class[x] for x in option_frame['ticker_head']]
selection_indx = (option_frame['ticker_class'] == 'Livestock') | (option_frame['ticker_class'] == 'Ag') | \
(option_frame['ticker_class'] == 'Treasury') | (option_frame['ticker_head'] == 'CL') | \
(option_frame['ticker_class'] == 'FX') | (option_frame['ticker_class'] == 'Index') | \
(option_frame['ticker_class'] == 'Metal')
#selection_indx = (option_frame['ticker_head'] == 'S')
option_frame = option_frame[selection_indx]
option_frame = option_frame[option_frame['tr_dte'] >= 20]
option_frame.reset_index(drop=True,inplace=True)
return option_frame[['ticker','ticker_head','ticker_class','tr_dte']]
def get_vcs_pairs_4date(**kwargs):
option_frame = ops.get_option_ticker_indicators(**kwargs)
if 'open_interest_filter' in kwargs.keys():
open_interest_filter = kwargs['open_interest_filter']
else:
open_interest_filter = 100
option_frame = option_frame[
option_frame['open_interest'] >= open_interest_filter]
option_frame['ticker_class'] = [
cmi.ticker_class[x] for x in option_frame['ticker_head']
]
selection_indx = (option_frame['ticker_class'] == 'Livestock') | (option_frame['ticker_class'] == 'Ag') | \
(option_frame['ticker_class'] == 'Treasury') | (option_frame['ticker_class'] == 'Energy') | \
(option_frame['ticker_class'] == 'FX') | (option_frame['ticker_class'] == 'Index') | \
(option_frame['ticker_class'] == 'Metal')
option_frame = option_frame[selection_indx]
option_frame = option_frame[option_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_values(['ticker_year', 'ticker_month'],
ascending=[True, 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(**kwargs):
option_frame = ops.get_option_ticker_indicators(**kwargs)
if 'open_interest_filter' in kwargs.keys():
open_interest_filter = kwargs['open_interest_filter']
else:
open_interest_filter = 100
option_frame = option_frame[option_frame['open_interest']>=open_interest_filter]
option_frame['ticker_class'] = [cmi.ticker_class[x] for x in option_frame['ticker_head']]
selection_indx = (option_frame['ticker_class'] == 'Livestock') | (option_frame['ticker_class'] == 'Ag') | \
(option_frame['ticker_class'] == 'Treasury') | (option_frame['ticker_class'] == 'Energy') | \
(option_frame['ticker_class'] == 'FX') | (option_frame['ticker_class'] == 'Index') | \
(option_frame['ticker_class'] == 'Metal')
option_frame = option_frame[selection_indx]
option_frame = option_frame[option_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(['ticker_year', 'ticker_month'], ascending=[True, 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 load_pnls_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
settle_date_ex = exp.doubledate_shift_bus_days(
double_date=kwargs['settle_date'], shift_in_days=7)
indicator_frame = ops.get_option_ticker_indicators(
settle_date=settle_date_ex,
delta=0.5,
column_names=['id', 'ticker', 'price_date', 'tr_dte', 'ticker_head'])
if indicator_frame.empty:
if close_connection_before_exit:
con.close()
return
indicator_frame.reset_index(drop=True, inplace=True)
delta_vol_output = [
ops.calc_delta_vol_4ticker(ticker=x,
settle_date=settle_date_ex,
delta_target=0.5)
for x in indicator_frame['ticker']
]
delta_vol_output = pd.DataFrame(delta_vol_output)
indicator_frame['option_pnl5'] = delta_vol_output['option_pnl5']
indicator_frame['delta_pnl5'] = delta_vol_output['delta_pnl5']
indicator_frame.dropna(inplace=True)
column_names = indicator_frame.columns.tolist()
#indicator_frame['option_pnl5'] = indicator_frame['option_pnl5'].astype(object)
#indicator_frame['delta_pnl5'] = indicator_frame['delta_pnl5'].astype(object)
id_indx = column_names.index('id')
option_pnl_indx = column_names.index('option_pnl5')
delta_pnl_indx = column_names.index('delta_pnl5')
tuples = [
tuple([x[option_pnl_indx], x[delta_pnl_indx], x[id_indx]])
for x in indicator_frame.values
]
final_str = "UPDATE option_ticker_indicators SET option_pnl5 = %s, delta_pnl5 = %s WHERE id=%s"
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if close_connection_before_exit:
con.close()
def generate_vcs_sheet_4date(**kwargs):
kwargs['settle_date'] = kwargs['date_to']
num_cal_days_back = 20*365
output_dir = ts.create_strategy_output_dir(strategy_class='vcs', report_date=kwargs['date_to'])
if os.path.isfile(output_dir + '/summary.pkl'):
vcs_pairs = pd.read_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs,'success': True}
vcs_pairs = get_vcs_pairs_4date(**kwargs)
num_pairs = len(vcs_pairs.index)
unique_ticker_heads = list(set(vcs_pairs['tickerHead']))
con = msu.get_my_sql_connection(**kwargs)
option_ticker_indicator_dictionary = {x: ops.get_option_ticker_indicators(ticker_head=x,
settle_date_to=kwargs['date_to'],
num_cal_days_back=num_cal_days_back,
con=con) for x in unique_ticker_heads}
if 'con' not in kwargs.keys():
con.close()
q_list = [None]*num_pairs
q1_list = [None]*num_pairs
fwd_vol_q_list = [None]*num_pairs
downside_list = [None]*num_pairs
upside_list = [None]*num_pairs
atm_vol_ratio_list = [None]*num_pairs
real_vol_ratio_list = [None]*num_pairs
atm_real_vol_ratio_list = [None]*num_pairs
theta_list = [None]*num_pairs
fwd_vol = [None]*num_pairs
for i in range(num_pairs):
vcs_output = ops.get_vcs_signals(ticker_list=[vcs_pairs['ticker1'].iloc[i], vcs_pairs['ticker2'].iloc[i]],
option_ticker_indicator_dictionary=option_ticker_indicator_dictionary,
settle_date=kwargs['date_to'])
q_list[i] = vcs_output['q']
q1_list[i] = vcs_output['q1']
fwd_vol_q_list[i] = vcs_output['fwd_vol_q']
downside_list[i] = vcs_output['downside']
upside_list[i] = vcs_output['upside']
atm_vol_ratio_list[i] = vcs_output['atm_vol_ratio']
fwd_vol[i] = vcs_output['fwd_vol']
real_vol_ratio_list[i] = vcs_output['real_vol_ratio']
atm_real_vol_ratio_list[i] = vcs_output['atm_real_vol_ratio']
theta_list[i] = vcs_output['theta']
vcs_pairs['Q'] = q_list
vcs_pairs['Q1'] = q1_list
vcs_pairs['fwdVolQ'] = fwd_vol_q_list
vcs_pairs['downside'] = downside_list
vcs_pairs['upside'] = upside_list
vcs_pairs['atmVolRatio'] = atm_vol_ratio_list
vcs_pairs['fwdVol'] = fwd_vol
vcs_pairs['realVolRatio'] = real_vol_ratio_list
vcs_pairs['atmRealVolRatio'] = atm_real_vol_ratio_list
vcs_pairs['theta'] = theta_list
vcs_pairs['downside'] = vcs_pairs['downside'].round(3)
vcs_pairs['upside'] = vcs_pairs['upside'].round(3)
vcs_pairs['atmVolRatio'] = vcs_pairs['atmVolRatio'].round(3)
vcs_pairs['fwdVol'] = vcs_pairs['fwdVol'].round(3)
vcs_pairs['realVolRatio'] = vcs_pairs['realVolRatio'].round(3)
vcs_pairs['atmRealVolRatio'] = vcs_pairs['atmRealVolRatio'].round(3)
vcs_pairs['theta'] = vcs_pairs['theta'].round(3)
vcs_pairs.to_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs,'success': True}
def generate_vcs_sheet_4date(**kwargs):
kwargs['settle_date'] = kwargs['date_to']
num_cal_days_back = 20 * 365
output_dir = ts.create_strategy_output_dir(strategy_class='vcs',
report_date=kwargs['date_to'])
if os.path.isfile(output_dir + '/summary.pkl'):
vcs_pairs = pd.read_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs, 'success': True}
vcs_pairs = get_vcs_pairs_4date(**kwargs)
num_pairs = len(vcs_pairs.index)
unique_ticker_heads = list(set(vcs_pairs['tickerHead']))
con = msu.get_my_sql_connection(**kwargs)
option_ticker_indicator_dictionary = {
x:
ops.get_option_ticker_indicators(ticker_head=x,
settle_date_to=kwargs['date_to'],
num_cal_days_back=num_cal_days_back,
con=con)
for x in unique_ticker_heads
}
if 'con' not in kwargs.keys():
con.close()
q_list = [None] * num_pairs
q1_list = [None] * num_pairs
fwd_vol_q_list = [None] * num_pairs
downside_list = [None] * num_pairs
upside_list = [None] * num_pairs
atm_vol_ratio_list = [None] * num_pairs
real_vol_ratio_list = [None] * num_pairs
atm_real_vol_ratio_list = [None] * num_pairs
theta_list = [None] * num_pairs
fwd_vol = [None] * num_pairs
for i in range(num_pairs):
vcs_output = ops.get_vcs_signals(ticker_list=[
vcs_pairs['ticker1'].iloc[i], vcs_pairs['ticker2'].iloc[i]
],
option_ticker_indicator_dictionary=
option_ticker_indicator_dictionary,
settle_date=kwargs['date_to'])
q_list[i] = vcs_output['q']
q1_list[i] = vcs_output['q1']
fwd_vol_q_list[i] = vcs_output['fwd_vol_q']
downside_list[i] = vcs_output['downside']
upside_list[i] = vcs_output['upside']
atm_vol_ratio_list[i] = vcs_output['atm_vol_ratio']
fwd_vol[i] = vcs_output['fwd_vol']
real_vol_ratio_list[i] = vcs_output['real_vol_ratio']
atm_real_vol_ratio_list[i] = vcs_output['atm_real_vol_ratio']
theta_list[i] = vcs_output['theta']
vcs_pairs['Q'] = q_list
vcs_pairs['Q1'] = q1_list
vcs_pairs['fwdVolQ'] = fwd_vol_q_list
vcs_pairs['downside'] = downside_list
vcs_pairs['upside'] = upside_list
vcs_pairs['atmVolRatio'] = atm_vol_ratio_list
vcs_pairs['fwdVol'] = fwd_vol
vcs_pairs['realVolRatio'] = real_vol_ratio_list
vcs_pairs['atmRealVolRatio'] = atm_real_vol_ratio_list
vcs_pairs['theta'] = theta_list
vcs_pairs['downside'] = vcs_pairs['downside'].round(3)
vcs_pairs['upside'] = vcs_pairs['upside'].round(3)
vcs_pairs['atmVolRatio'] = vcs_pairs['atmVolRatio'].round(3)
vcs_pairs['fwdVol'] = vcs_pairs['fwdVol'].round(3)
vcs_pairs['realVolRatio'] = vcs_pairs['realVolRatio'].round(3)
vcs_pairs['atmRealVolRatio'] = vcs_pairs['atmRealVolRatio'].round(3)
vcs_pairs['theta'] = vcs_pairs['theta'].round(3)
vcs_pairs.to_pickle(output_dir + '/summary.pkl')
return {'vcs_pairs': vcs_pairs, 'success': True}
