def fn(date, c_strike_price, p_strike_price):
if date != None:
return float(
ts.find_volatility_by_date(date, c_strike_price).get(
"volatility", init_vol)) + float(
ts.find_volatility_by_date(date, p_strike_price).get(
"volatility", init_vol))
else:
return init_vol * 2
def take_position(self):
option_gamma = {}
left = self.hsi_price * (1 - bandwidth)
right = self.hsi_price * (1 + bandwidth)
if self.maturity in [call_month, put_month]:
for call_option_dict in db.find_all_option(call_month, 'call'):
# call = util.to_HSIOption(call_option_dict)
call = call_option_dict
strike_price = call.get_strike_price()
put_option_dict = db.find_option(call_month, strike_price, 'put')
if put_option_dict is not None:
# put = util.to_HSIOption(db.find_option('W', strike_price, 'put'))
put = put_option_dict
if None not in [call, put] and 999999.0 not in [call.get_option_price(),put.get_option_price()] \
and util.range_in_defined(left, strike_price, right):
time_to_maturity = util.time_to_maturity(self.maturity, self.date)
c_volatility = bs.get_volatility_quick(self.hsi_price, strike_price, R, time_to_maturity,
call.get_option_price(), 'call')
call_delta = bs.get_delta(self.hsi_price, strike_price, R, time_to_maturity, c_volatility, 'call')
p_volatility = bs.get_volatility_quick(self.hsi_price, strike_price, R, time_to_maturity,
put.get_option_price(), 'put')
put_delta = bs.get_delta(self.hsi_price, strike_price, R, time_to_maturity, p_volatility, 'put')
if (strike_price, call_month, 'call') not in self.today_volatility:
self.today_volatility[(strike_price, call_month, 'call')] = [c_volatility]
else:
self.today_volatility[(strike_price, call_month, 'call')].append(c_volatility)
if (strike_price, put_month, 'put') not in self.today_volatility:
self.today_volatility[(strike_price, put_month, 'put')] = [p_volatility]
else:
self.today_volatility[(strike_price, put_month, 'put')].append(p_volatility)
if True and (c_volatility > mean_vol and p_volatility > mean_vol):
if abs(call_delta + put_delta) < 0.1:
if ts.compare_volatility(ts.fn(yesterday, (strike_price, call_month, 'call'), (strike_price, put_month, 'put'),[init_vol_k, init_vol_w]), c_volatility + p_volatility):
option_gamma[(call, put)] = bs.get_gamma(self.hsi_price, strike_price, R, time_to_maturity, c_volatility) + bs.get_gamma(self.hsi_price, strike_price,R, time_to_maturity,p_volatility)
if option_gamma == {}:
return None
call, put = ts.get_max_gamma(option_gamma)
calls = map(lambda x:call.generate_option(1),range(0,2))
puts = map(lambda x:put.generate_option(1),range(0,2))
tran = Transaction([],calls,puts,3,self.tick,self.date)
db.insert_position(tran.to_dict())
return tran
def update_tickdate(self, row):
self.tick, self.product, self.last_trade_price, self.accumulated_num, self.bid_price, self.ask_price = util.format_row(
row)
if self.sche == 0:
self.sche = float(util.tick_convert_to_seconds(self.tick))
self.maturity = ts.save_tick_data(self.date, self.tick, self.product,
self.last_trade_price,
self.accumulated_num, self.bid_price,
self.ask_price, call_month,
put_month)
def get_adjustment_option(self, current_delta, option_type):
# if current_delta >= 0:
# trade_type = -1
# else:
# trade_type = 1
trade_type = 1
option = ts.get_atm_option(self.tick, self.hsi_price, self.maturity, option_type, trade_type)
if option.get_price() == 999999.0:
return 0, 0
delta = option.get_delta(self.hsi_price, R)
# print "current_delta:", current_delta
# print "delta:", delta
count = abs(current_delta / float(delta))
# print "count", count
if count < 1:
return 0, 0
else:
return int(count), option
def get_adjustment_option(self, current_delta, option_type):
# if current_delta >= 0:
# trade_type = -1
# else:
# trade_type = 1
trade_type = 1
option = ts.get_atm_option(self.tick, self.hsi_price, self.maturity,
option_type, trade_type)
if option.get_price() == 999999.0:
return 0, 0
delta = option.get_delta(self.hsi_price, R)
# print "current_delta:", current_delta
# print "delta:", delta
count = abs(current_delta / float(delta))
# print "count", count
if count < 1:
return 0, 0
else:
return int(count), option
def save_volatility(self):
ts.save_today_volatility(self.date, self.today_volatility)
ts.save_normal_volatility()
def update_hsi_price(self):
self.hsi_price = ts.find_hsi_price(self.date, self.tick)
def __init__(self, date):
self.sche = 0
ts.clearTempDB()
self.today_volatility = {}
self.hsi_interval = 1.0
self.date = date
def save_volatility(self):
ts.save_today_volatility(self.date, self.today_volatility)
ts.save_normal_volatility()
def save_init_vol(self):
c, p = ts.get_init_vol(call_month, put_month)
import numpy
return numpy.mean(c), numpy.mean(p)
if __name__ == '__main__':
all_files = util.read_raw_filename(local_path)
start = time.time()
print "start algo", start
yesterday = None
ts.clearALLDB()
trade_number = 0
win = 0
loss = 0
winPL = 0
lossPL = 0
for day in all_files: # one day
# s = time.time()
all_day_tick = util.read_csvfile(file(day, 'rb'))
date = str(day).split('/')[9].split('.')[0]
call_month, put_month, fut_month = util.get_month(date)
no_tran_date = util.get_no_tran_date(date)
LS = LongStaddle(date)
def save_init_vol(self):
c, p = ts.get_init_vol(call_month,put_month)
import numpy
return numpy.mean(c), numpy.mean(p)
def save_volatility(self):
ts.save_today_volatility(self.date, self.today_volatility)
ts.save_normal_volatility()
def update_hsi_price(self):
self.hsi_price = ts.find_hsi_price(self.date, self.tick)
def update_tickdate(self, row):
self.tick, self.product, self.last_trade_price, self.accumulated_num, self.bid_price, self.ask_price = util.format_row(row)
if self.sche == 0:
self.sche = float(util.tick_convert_to_seconds(self.tick))
self.maturity = ts.save_tick_data(self.date, self.tick, self.product, self.last_trade_price, self.accumulated_num, self.bid_price, self.ask_price,call_month, put_month)
def __init__(self, date):
self.sche = 0
ts.clearTempDB()
self.today_volatility = {}
self.hsi_interval = 1.0
self.date = date
def save_volatility(self):
ts.save_today_volatility(self.date, self.today_volatility)
ts.save_normal_volatility()
def save_init_vol(self):
c, p = ts.get_init_vol(call_month,put_month)
import numpy
return numpy.mean(c), numpy.mean(p)
if __name__ == '__main__':
all_files = util.read_raw_filename(local_path)
start = time.time()
print "start algo", start
yesterday = None
ts.clearALLDB()
trade_number = 0
win = 0
loss = 0
winPL = 0
lossPL = 0
for day in all_files: # one day
# s = time.time()
all_day_tick = util.read_csvfile(file(day, 'rb'))
date = str(day).split('/')[9].split('.')[0]
call_month, put_month, fut_month = util.get_month(date)
no_tran_date = util.get_no_tran_date(date)
LS = LongStaddle(date)
def save_init_vol(self):
c, p = ts.get_init_vol(call_month, put_month)
import numpy
return numpy.mean(c), numpy.mean(p)
def take_position(self):
option_gamma = {}
left = self.hsi_price * (1 - bandwidth)
right = self.hsi_price * (1 + bandwidth)
if self.maturity in [call_month, put_month]:
for call_option_dict in db.find_all_option(call_month, 'call'):
# call = util.to_HSIOption(call_option_dict)
call = call_option_dict
strike_price = call.get_strike_price()
put_option_dict = db.find_option(call_month, strike_price,
'put')
if put_option_dict is not None:
# put = util.to_HSIOption(db.find_option('W', strike_price, 'put'))
put = put_option_dict
if None not in [call, put] and 999999.0 not in [call.get_option_price(),put.get_option_price()] \
and util.range_in_defined(left, strike_price, right):
time_to_maturity = util.time_to_maturity(
self.maturity, self.date)
c_volatility = bs.get_volatility_quick(
self.hsi_price, strike_price, R, time_to_maturity,
call.get_option_price(), 'call')
call_delta = bs.get_delta(self.hsi_price, strike_price,
R, time_to_maturity,
c_volatility, 'call')
p_volatility = bs.get_volatility_quick(
self.hsi_price, strike_price, R, time_to_maturity,
put.get_option_price(), 'put')
put_delta = bs.get_delta(self.hsi_price, strike_price,
R, time_to_maturity,
p_volatility, 'put')
if (strike_price, call_month,
'call') not in self.today_volatility:
self.today_volatility[(strike_price, call_month,
'call')] = [c_volatility]
else:
self.today_volatility[(
strike_price, call_month,
'call')].append(c_volatility)
if (strike_price, put_month,
'put') not in self.today_volatility:
self.today_volatility[(strike_price, put_month,
'put')] = [p_volatility]
else:
self.today_volatility[(strike_price, put_month,
'put')].append(p_volatility)
if True and (c_volatility > mean_vol
and p_volatility > mean_vol):
if abs(call_delta + put_delta) < 0.1:
if ts.compare_volatility(
ts.fn(
yesterday,
(strike_price, call_month, 'call'),
(strike_price, put_month, 'put'),
[init_vol_k, init_vol_w]),
c_volatility + p_volatility):
option_gamma[(call, put)] = bs.get_gamma(
self.hsi_price, strike_price, R,
time_to_maturity,
c_volatility) + bs.get_gamma(
self.hsi_price, strike_price, R,
time_to_maturity, p_volatility)
if option_gamma == {}:
return None
call, put = ts.get_max_gamma(option_gamma)
calls = map(lambda x: call.generate_option(1), range(0, 2))
puts = map(lambda x: put.generate_option(1), range(0, 2))
tran = Transaction([], calls, puts, 3, self.tick, self.date)
db.insert_position(tran.to_dict())
return tran
# print "tick:", tick
print "pl is ", pl
count += 1
# print "hsi_price",hsi_price
# print "tran.get_payoff(hsi_price):", tran.get_payoff(hsi_price)
PL += pl
return PL, count
if __name__ == '__main__':
all_files = util.read_raw_filename(local_path)
start = time.time()
print "start algo", start
yesterday = None
ts.clearALLDB()
trade_number = 0
for f in all_files: # one day
csvfile = file(f, 'rb')
reader = util.read_csvfile(csvfile)
filename = str(f)
date = filename.split('/')[9].split('.')[0]
sche = 0
ts.clearTempDB()
today_volatility = {}
s = time.time()
hsi_interval = 1.0
end_hsi_price = 0.0
for row in reader: # one tick
tick, product, last_trade_price, accumulated_num, bid_price, ask_price = format_raw(