def calc_instrument_vol_cone(db_session,
instrument_id,
start_date,
end_date,
windows,
percentiles,
is_primary=False):
origin_start_date = start_date
holidays = TradingDayService.get_holiday_list(db_session)
# 判断是否时节假日
if DateTimeUtils.is_trading_day(end_date, holidays):
start_date = TradingDayService.go_trading_day(db_session,
start_date,
max(windows) - 1,
direction=-1)
else:
start_date = TradingDayService.go_trading_day(db_session,
start_date,
max(windows),
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.\
get_instrument_quote_close_dict_by_period(db_session, instrument_id, start_date, end_date, is_primary)
vol_cone_dto_list = HistoricalVolService.\
calc_multiple_window_percentiles_by_quotes(origin_start_date, end_date, quote_close_dto_dict, windows,
percentiles)
return vol_cone_dto_list, diagnostics
def check_date_params(db_session, start_date, end_date, window):
if start_date > date.today() or end_date > date.today():
raise CustomException('所选日期不能超过今天')
if TradingDayService.get_effective_days_num(db_session, start_date,
end_date) < window:
raise CustomException('所选日期范围[%s,%s]交易日个数小于窗口大小，无法进行计算' %
(DateTimeUtils.date2str(start_date),
DateTimeUtils.date2str(end_date)))
async def get_heat_map(self, trade_date=None):
with self.make_session() as db_session:
if trade_date is None:
trade_date = datetime.now().date()
# 求上一个交易日
holidays = TradingDayService.get_holiday_list(db_session)
trade_date = DateTimeUtils.get_trading_day(trade_date, holidays, special_dates=[], step=2, direction=-1)
heat_map_dto_list, diagnostics = OtcAtmQuoteService.get_heat_map(db_session, trade_date)
heat_map_schema = HeatMapSchema(many=True, exclude=[])
return DiagnosticResponse(heat_map_schema.dump(heat_map_dto_list).data, diagnostics)
def update_eod_date(start_date_str=EODDateConfig.eod_start_date,
end_date_str=DateTimeUtils.date2str(date.today()),
eod_cutoff_time=EODDateConfig.eod_cutoff_time):
end_date = DateTimeUtils.str2date(end_date_str)
start_date = DateTimeUtils.str2date(start_date_str)
# 获取节假日信息
db_session = create_db_session()
# TODO: 需要从配置文件读取
if not TradingDayService.is_trading_day(db_session, end_date):
# 如果当天不是交易日则直接计算上一个交易日的值
end_date = TradingDayService.go_trading_day(db_session, end_date, 1, -1)
else:
# 如果是交易日，小于cutoff time还是返回上一个交易日
if datetime.now().time() < DateTimeUtils.str2time(eod_cutoff_time):
end_date = TradingDayService.go_trading_day(db_session, end_date, 1, -1)
else:
end_date = end_date
# 设置变量到airflow variable
AirflowVariableUtils.set_eod_start_date(start_date)
AirflowVariableUtils.set_eod_end_date(end_date)
def calc_instrument_rolling_vol(db_session,
instrument_id,
start_date,
end_date,
window,
is_primary=False):
holidays = TradingDayService.get_holiday_list(db_session)
# 判断是否时节假日
if DateTimeUtils.is_trading_day(end_date, holidays):
start_date = TradingDayService.go_trading_day(db_session,
start_date,
window - 1,
direction=-1)
else:
start_date = TradingDayService.go_trading_day(db_session,
start_date,
window,
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.get_instrument_quote_close_dict_by_period(
db_session, instrument_id, start_date, end_date, is_primary)
realized_vol_dto_list = HistoricalVolService.calc_one_rolling_vol_by_quotes(
quote_close_dto_dict, window)
return realized_vol_dto_list, diagnostics
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 calc_instrument_otc_implied_vol_points(
db_session,
instrument,
trade_date,
strike_type,
contract_order=FutureContractOrder.PRIMARY.name,
percents=[0.8, 0.9, 0.95, 1, 1.05, 1.1, 1.2]):
last_trade_date = trade_date
logging.info("现在计算%s的vol surface" % instrument)
quote_close_instrument = QuoteCloseService.get_instrument_quote_close_list_by_period(
db_session,
instrument,
last_trade_date,
last_trade_date,
is_primary=True)[0]
instrument = InstrumentRepo.get_instrument(db_session, instrument)
if not quote_close_instrument:
raise Exception('trading_date: %s, instrument_id: %s的收盘价信息为空' %
(instrument.instrumentId, last_trade_date))
if not quote_close_instrument.closePrice:
raise Exception('标的instrument_id: %s,trading_date: %s没有收盘价' %
(instrument.instrumentId, last_trade_date))
if strike_type is None:
strike_type = VolSurfaceStrikeType.PERCENT
if strike_type == VolSurfaceStrikeType.PERCENT:
# 根据 percentage 计算vor grid
percents = percents
elif strike_type == VolSurfaceStrikeType.STRIKE:
# 根据 strike 计算 vor grid ,需要获取instrument last_trade_date时的spot_price 也就是 quote_close表的close_price
percents = [
quote_close_instrument.closePrice * i for i in percents
]
instrument_id = instrument.instrumentId
start_date = TradingDayService.go_trading_day(db_session,
last_trade_date, 132, -1)
end_date = last_trade_date
default_windows = [44, 66, 132]
default_percentiles = [50]
realised_vol_dto_list, realised_vol_log = HistoricalVolService.calc_instrument_realized_vol(
db_session, instrument_id, last_trade_date, [1, 3, 5, 10, 22],
contract_order)
if realised_vol_log:
logging.warning(realised_vol_log)
realised_vol = {}
for item in realised_vol_dto_list:
realised_vol[item.window] = item.vol
rolling_vol_dto_list, rolling_vol_log = HistoricalVolService.calc_instrument_rolling_vol(
db_session, instrument_id, start_date, end_date, 22,
contract_order)
if rolling_vol_log:
logging.warning(rolling_vol_log)
vol_cone_dto_list, vol_cone_log = HistoricalVolService.calc_instrument_vol_cone(
db_session, instrument_id, start_date, end_date, default_windows,
default_percentiles, contract_order)
if vol_cone_log:
logging.warning(vol_cone_log)
vol_cone = {}
for item in vol_cone_dto_list:
vol_cone[item.window] = {}
for vol_item in item.vols:
vol_cone[item.window][vol_item.percentile] = vol_item.vol
# 按日期从小到大排序
rolling_vol_list = [
item.vol for item in sorted(
rolling_vol_dto_list, key=lambda x: x.tradeDate, reverse=True)
]
vol_surface = {
'2W':
(realised_vol[1] * 40 + realised_vol[3] * 20 + realised_vol[5] * 20
+ realised_vol[10] * 10 + realised_vol[22] * 10) / 100,
'1M': ((sum(rolling_vol_list) / len(rolling_vol_list)) * 30 +
realised_vol[1] * 30 + realised_vol[3] * 20 +
realised_vol[5] * 20) / 100,
'2M': (vol_cone[44][50] * 60 + realised_vol[1] * 10 +
realised_vol[22] * 30) / 100,
'3M': (vol_cone[66][50] * 80 + realised_vol[1] * 10 +
realised_vol[22] * 10) / 100,
'6M': (vol_cone[132][50] * 90 + realised_vol[1] * 5 +
realised_vol[22] * 5) / 100
}
dto_vol_surface = VolSurfaceDTO()
dto_vol_surface.instrumentId = instrument_id
dto_vol_surface.valuationDate = last_trade_date
dto_vol_surface.strikeType = strike_type.name
dto_vol_surface.instance = InstanceType.INTRADAY.name
# TODO WHAT IS T-A-G?
# dto_vol_surface.tag =
# get model_info
dto_model_info = VolSurfaceModelInfoDTO()
dto_model_info.daysInYear = 245
dto_model_info.modelName = 'TRADER_VOL'
dto_underlyer = VolSurfaceUnderlyerDTO()
dto_underlyer.instrumentId = instrument_id
dto_underlyer.quote = quote_close_instrument.closePrice
# dto_underlyer.field =
dto_underlyer.instance = InstanceType.INTRADAY.name
dto_model_info.underlyer = dto_underlyer
dto_model_info.save = True
dto_vol_grids = OtcModelService.calc_vol_grid_item(
vol_surface, percents)
dto_vol_grid_list = []
for tenor, quote in vol_surface.items():
dto_vol_grid = VolGridItemDTO()
# vol_grid_item.expiry =
dto_vol_grid.tenor = tenor
dto_vol_grid.vols = [
x.vols for x in dto_vol_grids if x.tenor == tenor
][0]
dto_vol_grid_list.append(dto_vol_grid)
dto_model_info.instruments = dto_vol_grid_list
dto_vol_surface.model_name = 'TRADER_VOL'
dto_vol_surface.field = 'LAST'
dto_vol_surface.modelInfo = dto_model_info
dto_fitting_model_list = []
for item in dto_model_info.instruments:
dto_fitting_model = FittingModelDTO()
dto_fitting_model.scatter = item.vols
dto_fitting_model.daysInYear = dto_model_info.daysInYear
dto_fitting_model_list.append(dto_fitting_model)
dto_vol_surface.fittingModels = dto_fitting_model_list
return dto_vol_surface
def get_instrument_vol_surface(db_session, instrument_id, valuation_date,
strike_type, instance, is_primary):
diagnostic = None
origin_instrument_id = instrument_id
# 如果不是交易日,则直接返回上一个交易日的波动率曲面
if not TradingDayService.is_trading_day(db_session, valuation_date):
valuation_date = TradingDayService.go_trading_day(db_session,
valuation_date,
step=1,
direction=-1)
# 如果传入大宗的合约类型, 直接返回主力结果; 如果是具体标的, 看is_primary是否需要主力
instrument_id = InstrumentService.get_primary_instrument_id(
db_session, instrument_id, valuation_date, is_primary)
# 判断是要百分比还是绝对值的波动率曲面
if strike_type == VolSurfaceStrikeType.PERCENT.name:
vol_surface_dbo = ImpliedVolService.get_official_vol_surface(
db_session, instrument_id, valuation_date, strike_type,
instance)
if vol_surface_dbo is None:
message = '标的物%s在%s中时没有波动率曲面' % (instrument_id, valuation_date)
diagnostic = DiagnosticDTO(DiagnosticType.WARNING, message,
instrument_id)
return ImpliedVolService.to_dto(vol_surface_dbo), diagnostic
else:
vol_surface_dbo = ImpliedVolService.get_official_vol_surface(
db_session, instrument_id, valuation_date, strike_type,
instance)
if vol_surface_dbo is not None:
return ImpliedVolService.to_dto(vol_surface_dbo), diagnostic
# 如果取不到Strike的波动率曲面,则尝试取Percent的波动率曲面
strike_type = VolSurfaceStrikeType.PERCENT.name
vol_surface_dbo = ImpliedVolService.get_official_vol_surface(
db_session, instrument_id, valuation_date, strike_type,
instance)
if vol_surface_dbo is None:
# 如果波动率曲面为空,不需要再获取收盘价
message = '标的物%s在%s中时没有波动率曲面' % (instrument_id, valuation_date)
diagnostic = DiagnosticDTO(DiagnosticType.WARNING, message,
instrument_id)
return ImpliedVolService.to_dto(vol_surface_dbo), diagnostic
if InstrumentService.is_commodity_variety_type(
db_session, origin_instrument_id):
# 如果传入的是合约类型, 获取收盘价时使用主力合约标的id的收盘价
quote_close = QuoteCloseRepo.get_instrument_quote_close_by_date(
db_session, instrument_id, valuation_date)
else:
# 如果传入的是标的id, 获取收盘价时使用传入的原始标的id
quote_close = QuoteCloseRepo.get_instrument_quote_close_by_date(
db_session, origin_instrument_id, valuation_date)
if quote_close is None or quote_close.closePrice is None:
message = '标的物%s在%s中时有波动率曲面, 但没有收盘价' % (instrument_id,
valuation_date)
diagnostic = DiagnosticDTO(DiagnosticType.WARNING, message,
instrument_id)
return ImpliedVolService.to_dto(None), diagnostic
# 收盘价和波动率曲面不为空时,将Percent换算成Strike
vol_surface_dto = ImpliedVolService.to_dto(vol_surface_dbo)
vol_surface_dto.modelInfo.underlyer.quote = quote_close.closePrice
for instrument in vol_surface_dto.modelInfo.instruments:
for vol in instrument.vols:
vol.strike = quote_close.closePrice * vol.percent
# fittingModels可能为空
if vol_surface_dto.fittingModels:
for fitting_model in vol_surface_dto.fittingModels:
if fitting_model is None:
continue
for _ in fitting_model.scatter:
_.strike = quote_close.closePrice * _.percent
return vol_surface_dto, diagnostic