hedging.synthetic_unit = 0
empty_position = True
if empty_position and open_signal(optionset.eval_date, df_iv_stats):
buy_write = c.BuyWrite.WRITE
long_short = c.LongShort.SHORT
maturity1 = optionset.select_maturity_date(nbr_maturity=0,
min_holding=15)
list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(
0, maturity1)
atm_call = optionset.select_higher_volume(list_atm_call)
atm_put = optionset.select_higher_volume(list_atm_put)
atm_strike = atm_call.strike()
spot = atm_call.underlying_close()
# if abs(atm_strike-spot) < 0.5: # 存在平值期权
hedging.amt_option = 1 / 1000 # 50ETF与IH点数之比
unit_c = np.floor(
np.floor(account.portfolio_total_value / atm_call.strike()) /
atm_call.multiplier()) * m
unit_p = np.floor(
np.floor(account.portfolio_total_value / atm_put.strike()) /
atm_put.multiplier()) * m
order_c = account.create_trade_order(atm_call, long_short, unit_c)
order_p = account.create_trade_order(atm_put, long_short, unit_p)
record_call = atm_call.execute_order(order_c, slippage=slippage)
record_put = atm_put.execute_order(order_p, slippage=slippage)
account.add_record(record_call, atm_call)
account.add_record(record_put, atm_put)
empty_position = False
if not empty_position: # Delta hedge
empty_position = True
if empty_position and open_signal(optionset.eval_date, df_iv_stats):
buy_write = c.BuyWrite.WRITE
long_short = c.LongShort.SHORT
maturity1 = optionset.select_maturity_date(nbr_maturity=0,
min_holding=15)
list_atm_call, list_atm_put = optionset.get_options_list_by_moneyness_mthd1(
0, maturity1)
atm_call = optionset.select_higher_volume(list_atm_call)
atm_put = optionset.select_higher_volume(list_atm_put)
atm_strike = atm_call.strike()
spot = atm_call.underlying_close()
# if abs(atm_strike-spot) < 0.5: # 存在平值期权
# hedging.amt_option = 1 / 1000 # 50ETF与IH点数之比
hedging.amt_option = 1 # 商品期权标的即为期货
unit_c = np.floor(
np.floor(account.portfolio_total_value / atm_call.strike()) /
atm_call.multiplier()) * m
unit_p = np.floor(
np.floor(account.portfolio_total_value / atm_put.strike()) /
atm_put.multiplier()) * m
order_c = account.create_trade_order(atm_call, long_short, unit_c)
order_p = account.create_trade_order(atm_put, long_short, unit_p)
record_call = atm_call.execute_order(order_c, slippage=slippage)
record_put = atm_put.execute_order(order_p, slippage=slippage)
account.add_record(record_call, atm_call)
account.add_record(record_put, atm_put)
empty_position = False
if not empty_position: # Delta hedge