def fetch_quote(symbols=None):
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
if note in '5T 10T'.split(): continue
url = 'http://dsdx.shcifco.com:10084/shcifco_option/custom/atm.json'
params = {'qryDay': expiry_date.replace('-', '')}
r = requests.post(url, data=params)
if r.ok:
for item in r.json():
symbol = replace_expiry_month(item['instrumentId'])
exchange = market.exchange(symbol)
opt_price = float(item['lastprice'])
call_bid0 = float(item['absBuyPrice'])
call_ask0 = float(item['absSalePrice'])
put_bid0 = float(item['absBuyPrice'])
put_ask0 = float(item['absSalePrice'])
opt_prices.append(opt_price)
call_asks.append(call_ask0)
call_bids.append(call_bid0)
put_asks.append(put_ask0)
put_bids.append(put_bid0)
exchanges.append(exchange)
ss.append(replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append(note)
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
assert type(symbols) is list
exchanges = []
ss = []
notes = []
expiry_dates = []
bid_vols = []
bid_pcts = []
ask_vols = []
ask_pcts = []
header = {
'accept-encoding': 'gzip, deflate, br',
'accept-language': 'zh-CN,zh;q=0.9,en;q=0.8',
'user-agent':
'Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Ubuntu Chromium/71.0.3578.80 Chrome/71.0.3578.80 Safari/537.36',
'accept': 'application/json',
'referer': 'https://otc.mycapital.net/oop/pricing-management2.html',
'authority': 'otc.mycapital.net',
'cookie': cookie
}
r = requests.get(
'https://otc.mycapital.net/api/v1/otc_lw/atm_option/pricing?show_diff=true',
headers=header)
quote_date = None
if r.ok:
if r.json()['code'] == 0:
quote_date = r.json()['data']['date']
for datas in r.json()['data']['pricing']:
for data in datas['rows']:
# print datas
# print '\n', data
expiry_date = bid_vol = bid_pct = ask_vol = ask_pct = None
symbol = utils.replace_expiry_month(data['contract'])
bid_vol = data['atm_bid_vol']
bid_pct = data['atm_bid_percentage']
ask_vol = data['atm_ask_vol']
ask_pct = data['atm_ask_percentage']
expiry_date = data['maturity']
bid_vols.append(bid_vol)
bid_pcts.append(bid_pct)
ask_vols.append(ask_vol)
ask_pcts.append(ask_pct)
expiry_dates.append(expiry_date)
ss.append(symbol)
notes.append('30C')
exchanges.append(market.exchange(symbol))
close_prices = [
close_price(symbol, last_settlement_date()) for symbol in ss
]
bids = [mul(pct, price) for pct, price in zip(bid_pcts, close_prices)]
asks = [mul(pct, price) for pct, price in zip(ask_pcts, close_prices)]
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'quote_date': [quote_date] * len(ss),
'expiry_date': expiry_dates,
'time': [datetime.datetime.now()] * len(ss),
'note': notes,
'bid_vol_src': bid_vols,
'bid_pct': bid_pcts,
'ask_vol_src': ask_vols,
'ask_pct': ask_pcts,
'opt_price': close_prices,
'call_bid': bids,
'call_ask': asks,
'put_bid': bids,
'put_ask': asks,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
assert type(symbols) is list
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
if note in '5T 10T'.split(): continue
r = requests.get('http://www.jhotc.com/QuoteList')
if not r.ok:
return False, None
trs = []
soup = BeautifulSoup(r.content, 'lxml')
for index, tr in enumerate(soup.find_all('tr')):
if index < 3: continue
trs.append(tr)
for symbol, tr in zip(symbols, trs):
tds = tr.find_all('td')
opt_price = float(tds[2].get_text())
call_bid0 = float(tds[1].get_text())
call_ask0 = float(tds[0].get_text())
put_bid0 = float(tds[4].get_text())
put_ask0 = float(tds[3].get_text())
exchange = market.exchange(symbol)
opt_prices.append(opt_price)
call_asks.append(call_ask0)
call_bids.append(call_bid0)
put_asks.append(put_ask0)
put_bids.append(put_bid0)
exchanges.append(exchange)
ss.append(replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append('30C')
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
assert type(symbols) is list
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
params = []
http_headers = []
urls = []
for symbol in symbols:
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
header = {
'Origin': 'https://xinhu.tongyuquant.com:9140',
'Accept-Encoding': 'gzip, deflate, br',
'Accept-Language': 'zh-CN,zh;q=0.9,en;q=0.8',
'User-Agent':
'Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Ubuntu Chromium/70.0.3538.77 Chrome/70.0.3538.77 Safari/537.36',
'Content-Type': 'application/x-www-form-urlencoded',
'Accept': 'application/json, text/plain, */*',
'Referer':
'https://xinhu.tongyuquant.com:9140/option?code=%s' % symbol,
'Connection': 'keep-alive'
}
http_headers.append(header)
data = {
"method": "tQuoting",
"params": {
"underlying": symbol,
"expireDate": expiry_date,
"optionName": "euro"
}
}
param = urlencode({'json': json.dumps(data)})
params.append(param)
url = 'https://xinhu.tongyuquant.com/bct/quote'
urls.append(url)
exchanges.append(market.exchange(symbol))
ss.append(replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append(note)
http_requests = (grequests.post(
url, headers=headers,
data=param) for url, headers, param in zip(urls, http_headers, params))
http_responses = grequests.map(http_requests,
size=18,
exception_handler=on_error)
for r in http_responses:
opt_price = call_bid0 = call_ask0 = put_bid0 = put_ask0 = None
if r.ok:
data = r.json()
if data['success'] == True:
if data['data'] != None:
price_levels = data['data']['quotingUnits']
index = int(len(price_levels) * 0.5)
price_level = price_levels[index]
opt_price = float(data['data']['spot'])
call_bid0 = float(price_level['buyCall'])
call_ask0 = float(price_level['sellCall'])
put_bid0 = float(price_level['buyPut'])
put_ask0 = float(price_level['sellPut'])
opt_prices.append(opt_price)
call_asks.append(call_bid0)
call_bids.append(call_ask0)
put_asks.append(put_bid0)
put_bids.append(put_ask0)
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
assert type(symbols) is list
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
begin_date = getExpiryByShift(datetime.date.today(), 9, 'T',
getHolidays()).strftime("%Y-%m-%d")
#print 'begin_date', begin_date
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
if expiry_date > begin_date:
encrypt_date = aes.encrypt(expiry_date, encrypt_key)
encrypt_date = urlencode({'valueDate': encrypt_date})
url = 'http://101.95.0.114:8092/quotation/atMoneyOptionQuotes?' + encrypt_date
r = requests.post(url)
opt_price = call_bid0 = call_ask0 = put_bid0 = put_ask0 = None
if r.ok:
#print r.content
data = json.loads(
aes.decrypt(r.json()['msgContent'], decrypt_key))
#print data
for item in data:
opt_price = float(item['spotPrice'])
call_bid0 = float(item['buyOptionPrice'])
call_ask0 = float(item['sellOptionPrice'])
put_bid0 = float(item['buyOptionPrice'])
put_ask0 = float(item['sellOptionPrice'])
exchanges.append(item['marketCode'])
symbol = item['underlyingCode']
opt_prices.append(opt_price)
call_asks.append(call_ask0)
call_bids.append(call_bid0)
put_asks.append(put_ask0)
put_bids.append(put_bid0)
ss.append(replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append(note)
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
assert type(symbols) is list
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
urls = []
for symbol in symbols:
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
url = 'http://www.lzqh.net.cn/rest/weixin/getOptionPrice?contractcode=%s&expiryDate=%s' % (
symbol, expiry_date)
urls.append(url)
exchanges.append(market.exchange(symbol))
ss.append(replace_expiry_month(symbol)) # M905 -> M1905
expiry_dates.append(expiry_date)
notes.append(note)
http_requests = (grequests.get(url) for url in urls)
http_responses = grequests.map(http_requests,
size=18,
exception_handler=on_error)
for r in http_responses:
opt_price = call_bid0 = call_ask0 = put_bid0 = put_ask0 = None
if r.ok:
data = r.json()
if data['success'] == True:
price_levels = data["obj"]["priceList"]
index = int(len(price_levels) * 0.5)
#print index
price_level = price_levels[index]
#assert len(price_levels) == 11
opt_price = float(price_level['optPrice'])
call_bid0 = float(price_level['call1'])
call_ask0 = float(price_level['call2'])
put_bid0 = float(price_level['put1'])
put_ask0 = float(price_level['put2'])
opt_prices.append(opt_price)
call_asks.append(call_ask0)
call_bids.append(call_bid0)
put_asks.append(put_ask0)
put_bids.append(put_bid0)
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})
def fetch_quote(symbols):
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
symbols = symbols
exchanges = []
headers = {
'Origin': 'http://wx.cnzsqh.com',
'Accept-Encoding': 'gzip, deflate',
'Accept-Language': 'zh-CN,zh;q=0.9,en;q=0.8',
'User-Agent':
'Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Ubuntu Chromium/71.0.3578.98 Chrome/71.0.3578.98 Safari/537.36',
'Content-type': 'application/x-www-form-urlencoded',
'Accept': '*/*',
'Referer':
'http://wx.cnzsqh.com/QDQuest_page/weixin/pages-react/index.html',
#'Cookie': 'token=59bea888-d99c-4076-9e58-612bb2526e9d; expire_time=20190123184204',
'Cookie': 'token=59bea888-d99c-4076-9e58-612bb2526e9d',
'Connection': 'keep-alive'
}
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
if note == '5T': continue
url = 'http://wx.cnzsqh.com/QDQuest/service/weixinService/queryOptions'
params = 'params=["%s"]' % expiry_date.replace('-', '')
r = requests.post(url, headers=headers, data=params)
if not r.ok:
continue
datas = r.json()
if datas['errorCode'] != 0: continue
for price_level in json.loads(datas['data']):
exchange = price_level['exchId']
symbol = price_level['instrumentId']
opt_price = float(price_level['underlyingPrice'])
call_bid0 = float(price_level['askPrice'])
call_ask0 = float(price_level['bidPrice'])
put_bid0 = float(price_level['askPrice'])
put_ask0 = float(price_level['bidPrice'])
opt_prices.append(opt_price)
call_asks.append(call_bid0)
call_bids.append(call_ask0)
put_asks.append(put_bid0)
put_bids.append(put_ask0)
symbols.append(replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append(note)
exchanges.append(exchange)
return pd.DataFrame({
'exchange': exchanges,
'symbol': symbols,
'time': [datetime.datetime.now()] * len(symbols),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(symbols)
})
def fetch_quote(symbols):
assert type(symbols) is list
expiry_dates = []
notes = []
opt_prices = []
call_asks = []
call_bids = []
put_asks = []
put_bids = []
ss = []
exchanges = []
urls = []
start_date = begin_date()
#print 'start_date', start_date
for symbol in symbols:
for expiry_date, note in zip(dates(datetime.date.today()),
'5T 10T 30C'.split()):
url = 'http://rh.dzqh.com.cn/RefreshPrice/?TargetCode=%s&EndDate=%s' % (
symbol, expiry_date)
#print url
urls.append(url)
exchanges.append(market.exchange(symbol))
ss.append(utils.replace_expiry_month(symbol))
expiry_dates.append(expiry_date)
notes.append(note)
http_requests = (grequests.get(url) for url in urls)
http_responses = grequests.map(http_requests,
size=12,
exception_handler=on_error)
for r, expiry_date in zip(http_responses, expiry_dates):
opt_price = call_bid0 = call_ask0 = put_bid0 = put_ask0 = None
if r.ok:
if expiry_date >= start_date:
data = r.json()
price_levels = data
price_level = price_levels[5]
assert len(price_levels) == 11
opt_price = float(price_level[0])
call_bid0 = float(price_level[1])
call_ask0 = float(price_level[2])
put_bid0 = float(price_level[3])
put_ask0 = float(price_level[4])
opt_prices.append(opt_price)
call_asks.append(call_ask0)
call_bids.append(call_bid0)
put_asks.append(put_ask0)
put_bids.append(put_bid0)
return pd.DataFrame({
'exchange': exchanges,
'symbol': ss,
'time': [datetime.datetime.now()] * len(ss),
'expiry_date': expiry_dates,
'note': notes,
'opt_price': opt_prices,
'call_ask': call_asks,
'call_bid': call_bids,
'put_ask': put_asks,
'put_bid': put_bids,
'rate': [1] * len(ss)
})