def __init__(self):
self.circle = 20
self.option_dao = OptionDAO()
# get the equity records from 100 date ago.
#from_date_str = (datetime.date.today() - datetime.timedelta(100)).strftime('%Y-%m-%d')
from_date = (datetime.date.today() - datetime.timedelta(100))
#self.spy_records = YahooEquityDAO().get_all_equity_price_by_symbol('SPY', from_date_str)
self.spy_records = EquityDAO().get_all_equity_price_by_symbol(
'SPY', from_date)
self.hv_spy = OptionCalculater.get_year_history_volatility_list(
self.spy_records, self.circle)
self.spy_delta_records = self.get_delta_records(
'SPY', self.spy_records)
from_date = TradeTime.get_latest_trade_date() - datetime.timedelta(50)
self.vix_index_records = VIXDAO().get_vix_price_by_symbol_and_date(
'VIY00', from_date=from_date)
(records_f1, records_f2,
records_f3) = VIXDAO().get_following_vix(from_date)
self.vixf1_records = records_f1
self.vix_delta_records = map(lambda x, y: [x[0], y[1] - x[1]],
self.vix_index_records,
self.vixf1_records)
self.hv_vix = list(self.calculate_f1_volatilities())
#vxx_records = YahooEquityDAO().get_all_equity_price_by_symbol('VXX', from_date_str)
vxx_records = EquityDAO().get_all_equity_price_by_symbol(
'VXX', from_date)
self.vxx_delta_records = self.get_delta_records('VXX', vxx_records)
def GET(self, symbol, days):
try:
days = int(days)
except Exception:
days = 63
from_date = TradeTime.get_latest_trade_date() - datetime.timedelta(days)
equity_records = EquityDAO().get_all_equity_price_by_symbol(symbol, from_date)
if datetime.date.today() > TradeTime.get_latest_trade_date():
new_spy_price = YahooScraper.get_data_by_symbol(symbol)
equity_records.append([datetime.date.today(), new_spy_price])
dates = map(lambda x: x[0], equity_records)
equity_prices = map(lambda x: x[1], equity_records)
fig = Figure(figsize=[16, 4])
ax = fig.add_axes([.1, .1, .8, .9])
ax.plot(dates, equity_prices, label='price')
ax.legend(loc='upper left')
ax.grid()
ax.xaxis.set_major_formatter(DateFormatter('%y%m%d'))
ax.set_xticks(dates)
for tick in ax.get_xticklabels():
tick.set_rotation(45)
# conver to canvas
canvas = FigureCanvasAgg(fig)
buf = cStringIO.StringIO()
canvas.print_png(buf)
data = buf.getvalue()
return data
def push_to_db(self):
self.logger.info('Push equity data to db...')
EquityDAO().insert(self.parser.equity_records)
self.logger.info('Push option data to db...')
OptionDAO().insert(self.parser.option_records)
self.logger.info('Push vix data to db...')
VIXDAO().insert(self.parser.vix_records)
def init_option_symbols(self):
expiration_date = self.find_expiration_date()
start_date_price = EquityDAO().get_equity_price_by_date(
self.symbol, self.start_date)
days_to_current_date = (datetime.datetime.today() -
self.start_date).days
self.call_symbol = OptionDAO().find_symbol(self.symbol, expiration_date, start_date_price * (1+self.delta),\
current_date=self.start_date, days_to_current_date=days_to_current_date, option_type='Call')
self.put_symbol = OptionDAO().find_symbol(self.symbol, expiration_date, start_date_price * (1 - self.delta), \
current_date=self.start_date, days_to_current_date=days_to_current_date, option_type='Put')
def plot_equity_lines(symbols):
df = EquityDAO().select_by_symbols(symbols)
print df
fig, ax = plt.subplots()
x = None
for the_symbol in symbols:
sub_df = df[df.symbol == the_symbol]
x = sub_df['tradeTime']
y = sub_df['lastPrice']
ax.plot(x, y)
plt.show()
def __init__(self):
from_date = (datetime.date.today() - datetime.timedelta(150))
self.spy_records = EquityDAO().get_all_equity_price_by_symbol('SPY', from_date)
self.vix_records = VIXDAO().get_vix_price_by_symbol_and_date('VIY00', from_date=from_date)
if datetime.date.today() > TradeTime.get_latest_trade_date():
new_spy_price = YahooScraper.get_data_by_symbol('SPY')
new_vix_price = YahooScraper.get_data_by_symbol('VIX')
self.spy_records.append([datetime.date.today(), new_spy_price])
self.vix_records.append([datetime.date.today(), new_vix_price])
self.dates = map(lambda x: x[0], self.spy_records)
self.spy_values = map(lambda x: x[1], self.spy_records)
self.vix_values = map(lambda x: x[1], self.vix_records)
def get_selected_strike_price(self, selected_symbol, strike_prices):
selected_strike_price = self.query_dic.get('strike_price')
if selected_strike_price is None:
if selected_symbol == '^VIX':
current_equity_price = YahooEquityDAO().get_latest_price(selected_symbol)
else:
current_equity_price = EquityDAO().get_latest_price(selected_symbol)
min_delta = sys.maxint
for strike_price in strike_prices:
delta = abs(strike_price - current_equity_price)
if delta < min_delta:
min_delta = delta
selected_strike_price = strike_price
return selected_strike_price
def init_data(self, symbol):
# df_equity = EquityDAO().get_date_price_list(symbol)
# price_list = df_equity['price'].to_list()
# OptionCalculater().get_year_history_volatility(price_list)
# get the equity records from 150 date ago.
#from_date_str = (datetime.date.today() - datetime.timedelta(150)).strftime('%Y-%m-%d')
from_date = (datetime.date.today() - datetime.timedelta(150))
#equity_records = YahooEquityDAO().get_all_equity_price_by_symbol(symbol, from_date_str)
equity_records = EquityDAO().get_all_equity_price_by_symbol(symbol, from_date)
current_quity_price = equity_records[-1][1]
option_iv_records = OptionDAO().get_corresponding_implied_volatilities(symbol, current_quity_price)
first_tradetime = option_iv_records[0][0]
circle = 30
equity_start_date = first_tradetime - datetime.timedelta(circle)
# trade_day_circle = len(filter(lambda x: x[0] >= equity_start_date and x[0] < first_tradetime, equity_records))
hv_records = OptionCalculater.get_year_history_volatility_list(filter(lambda x: x[0] >= equity_start_date, equity_records), circle)
self.equity_records = filter(lambda x: x[0] >= first_tradetime, equity_records)
self.hv_records = hv_records
self.iv_records = option_iv_records
if symbol.upper() == 'SPY':
self.iv_records = VIXDAO().get_vix_price_by_symbol('VIY00')