def update_implied_vol(start_date, end_date, force_update):
"""
根据日期循环导入数到数据平台otc_position_snapshot表
:param start_date:
:param end_date:
:param force_update:
:return:
"""
db_session = create_db_session()
try:
for index in range(0, (end_date - start_date).days + 1):
report_date = (start_date + timedelta(index))
logging.info('开始获取report_date: %s的数据' % report_date)
clean_position_dict = ROTCPositionService.clean_one_day_implied_vol(
db_session, report_date)
position_snapshots = ROTCPositionService.convert_data_to_position_snapshot(
clean_position_dict)
exiting_trans_codes = OTCPositionSnapshotRepo.get_trans_codes_by_report_date(
db_session, report_date)
ROTCPositionService.save_position_snapshot(
db_session, report_date, exiting_trans_codes,
position_snapshots, force_update)
except Exception as e:
logging.error('运行错误: %s' % e)
db_session.close()
raise Exception(e)
def update_day_instrument_realized_vol(db_session, instrument_id_dict,
instruments, valuation_date):
"""
保存一天所有标的的历史波动率
:param db_session:
:param instrument_id_dict:
:param instruments:
:param valuation_date:
:return:
"""
logging.info('开始计算交易日: %s的历史波动率' % valuation_date)
failed_instrument_id_dict = {}
realized_vol_dict = {}
for index, instrument in enumerate(instruments):
instrument_id = instrument.instrumentId
try:
if instrument_id_dict[
instrument_id] in BCTSpecialConfig.instrument_types:
# 计算realized vol 时, 过滤掉基金, 期权
logging.debug('instrument_id: %s 不支持realized_vol计算' %
instrument_id)
continue
logging.debug('开始计算: %s的历史波动率, 进度为: %d of %d' %
(instrument_id, index, len(instruments)))
realized_vol_dto_list, diagnostics = HistoricalVolService. \
calc_instrument_realized_vol(db_session, instrument_id, valuation_date,
windows=RealizedVolService.windows, is_primary=True)
if len(realized_vol_dto_list) == 0:
failed_instrument_id_dict[
instrument_id] = instrument_id_dict[instrument_id]
for realized_vol_dto in realized_vol_dto_list:
realized_vol = RealizedVol(uuid=str(uuid.uuid1()),
instrumentId=instrument_id,
valuationDate=valuation_date,
vol=realized_vol_dto.vol,
exfsid=instrument.contractType,
windows=realized_vol_dto.window,
updatedAt=datetime.now())
if realized_vol.instrumentId not in realized_vol_dict:
realized_vol_dict[realized_vol.instrumentId] = {}
realized_vol_dict[realized_vol.instrumentId][
realized_vol.windows] = realized_vol
except Exception as e:
logging.error('计算: %s的历史波动率失败, 错误: %s' % (instrument_id, e))
failed_instrument_id_dict[instrument_id] = instrument_id_dict[
instrument_id]
logging.info('完成计算交易日: %s的历史波动率，成功%s条，失败%s条' %
(valuation_date, len(realized_vol_dict),
len(failed_instrument_id_dict)))
return realized_vol_dict, failed_instrument_id_dict
def clean_one_day_implied_vol(db_session, report_date):
"""
清洗一天的数据
:param db_session:
:param report_date:
:return:
"""
report_date = DateTimeUtils.date2str(report_date)
trans_code_list = ROTCPositionRepo.get_trans_code_list_by_date(
db_session, report_date)
logging.info('正在获取持仓表数据长度为: %d' % (len(trans_code_list)))
position_data_list = ROTCPositionRepo.get_otc_position_by_trans_codes(
db_session, report_date, trans_code_list)
trans_code_list = [
position_data.TRANSCODE for position_data in position_data_list
]
logging.info('正在获取成交表数据,长度为: %d' % (len(trans_code_list)))
trade_data_dict = ROTCTradedataRepo.get_trade_data_by_trans_codes(
db_session, report_date, trans_code_list)
clean_position_dict = {}
for index, position_data in enumerate(position_data_list):
trans_code = position_data.TRANSCODE
trade_data = trade_data_dict.get(trans_code)
if trade_data is not None:
try:
logging.debug('正在组合数据, 当前进度为: %d of %d' %
(index, len(position_data_list)))
clean_position = ROTCPositionService.organize_trade_data(
position_data, trade_data)
implied_vol = clean_position.get('implied_vol')
if implied_vol is not None:
clean_position_dict[trans_code] = clean_position
else:
# TODO: 如果没有implied_vol，则直接根据价格反推隐含波动率，按以下规则进行
# 除了价格，利率 / 分红，还需要检查行权价，到期日和期权类型：
# 行权价可能需要注意是否为百分比，如果为百分比，需要继续检查是否有期初价格。
# 反推隐含波动率需要知道每份期权的价格，因此价格需要检查是否有对应的数量。没有数量，则需要名义本金，参与率，期限（如果年化），期初价格。
clean_position_dict[trans_code] = None
except Exception as e:
logging.error('交易数据转化错误，trans_code: %s, 异常：%s' %
(trans_code, str(e)))
return clean_position_dict
def update_days_instrument_realized_vol(start_date,
end_date,
force_update=False):
"""
保存不同交易日的标的历史波动率
:param start_date:
:param end_date:
:param force_update:
:return:
"""
db_session = create_db_session
while start_date <= end_date:
try:
valuation_date = start_date
# 获取全量instrument表数据
instrument_id_dict = {}
for instrument in InstrumentRepo.get_all_instrument(
db_session):
instrument_id_dict[
instrument.instrumentId] = instrument.instrumentType
# 获取instrument id list
instruments = InstrumentRepo.get_instruments_by_trade_date(
db_session, valuation_date)
# 获取valuation_date的标的历史波动率
realized_vol_dict, failed_instrument_id_dict = RealizedVolService. \
update_day_instrument_realized_vol(db_session, instrument_id_dict, instruments, valuation_date)
# 获取valuation_date已经存在的标的历史波动率
existed_realized_vol_dict = RealizedVolRepo. \
get_realized_vol_dict_by_valuation_date(db_session, valuation_date)
# 保存历史波动率
RealizedVolService. \
save_realized_vol(db_session, valuation_date, realized_vol_dict, existed_realized_vol_dict,
force_update)
start_date = start_date + timedelta(days=1)
if len(failed_instrument_id_dict) != 0:
failed_length = len(failed_instrument_id_dict)
total_length = len(instruments)
logging.error('交易日为: %s, 计算历史波动率失败为 %d of %d, 标的id为: %s' %
(valuation_date, failed_length, total_length,
failed_instrument_id_dict))
except Exception as e:
db_session.close()
raise e
db_session.close()
def calc_instrument_atm_vol_list(db_session, underlyer, start_date,
end_date, is_primary):
atm_quote_list = OtcAtmQuoteService.get_instrument_atm_quote_list_by_period(
db_session, underlyer, start_date, end_date, is_primary)
# TODO：去掉重复数据,相同valuation date, underlyer, source, expire date的数据需要去重
# 根据valuation date进行分类
atm_quote_dict = {}
for atm_quote in atm_quote_list:
if atm_quote.valuationDate not in atm_quote_dict:
atm_quote_dict[atm_quote.valuationDate] = []
atm_quote_dict[atm_quote.valuationDate].append(atm_quote)
# 取一个自然月后到期日的前后3天的ask_vol和bid_vol的平均值作为当天的atm_vol
atm_vol_dict = {}
for valuation_date in atm_quote_dict:
quote_list = atm_quote_dict[valuation_date]
atm_vol = OtcAtmQuoteService.calc_one_atm_vol(
valuation_date, quote_list)
if atm_vol is not None:
atm_vol_dict[valuation_date] = atm_vol
# 检测哪些日期缺失
missing_dates = []
holidays = TradingDayService.get_holiday_list(db_session, start_date,
end_date)
trade_date = start_date
while trade_date <= end_date:
if DateTimeUtils.is_trading_day(trade_date, holidays):
if trade_date not in atm_vol_dict:
# 将缺失的日期添加到诊断中
missing_dates.append(trade_date)
# TODO： 是否需要将缺失的数据按0补足
trade_date += timedelta(days=1)
# 添加诊断信息
diagnostics = []
if len(missing_dates) != 0:
message = '标的物%s在[%s, %s]时段内中缺失%d条ATM Vol数据' % (
underlyer, DateTimeUtils.date2str(start_date),
DateTimeUtils.date2str(end_date), len(missing_dates))
diagnostics.append(
DiagnosticDTO(DiagnosticType.WARNING, message, missing_dates))
logging.error(message)
return atm_vol_dict.values(), diagnostics
def auth_sys_log_save(auth_ret, body, token, ip):
try:
body = json.loads(body)
method = body['method']
operation = auth_sys_operation_type.get(method)
if operation:
params = {
"username": auth_ret['username'],
"operation": operation,
"service": Constant.SERVICE,
"method": method,
"params": body.get('params')
}
headers = {
'Authorization': 'Bearer ' + token,
'X-Forwarded-For': ip
}
ServerUtils.call_request_bct('auth-service', 'authSysLogSave',
params, headers)
except CustomException as e:
logging.error('调用接口: authSysLogSave保存用户操作失败')