def build_chain(self, px, bound, trade_vol):
self.set_trade_vol(trade_vol)
undlypx = round(px / self.spd_size) * self.spd_size
upper_limit = undlypx * (1 + bound)
lower_limit = undlypx * (1 - bound)
base_opt_contract = json.loads(
ContractHelper.object2kvstring(
self.get_underlying().get_contract()))
#for i in self.xfrange(int(undlypx), int(upper_limit ), self.spd_size):
for i in self.xfrange(undlypx, upper_limit, self.spd_size):
base_opt_contract['m_secType'] = 'OPT'
base_opt_contract['m_strike'] = i
base_opt_contract['m_expiry'] = self.expiry
base_opt_contract['m_right'] = 'C'
base_opt_contract['m_multiplier'] = self.multiplier
#self.options.append(ContractHelper.kv2object(base_opt_contract, Contract))
self.options.append(
Option(ContractHelper.kv2object(base_opt_contract, Contract)))
base_opt_contract['m_right'] = 'P'
#self.options.append(ContractHelper.kv2object(base_opt_contract, Contract))
self.options.append(
Option(ContractHelper.kv2object(base_opt_contract, Contract)))
for i in self.xfrange(undlypx - self.spd_size, lower_limit,
-self.spd_size):
base_opt_contract['m_secType'] = 'OPT'
base_opt_contract['m_strike'] = i
base_opt_contract['m_expiry'] = self.expiry
base_opt_contract['m_right'] = 'C'
base_opt_contract['m_multiplier'] = self.multiplier
#self.options.append(ContractHelper.kv2object(base_opt_contract, Contract))
self.options.append(
Option(ContractHelper.kv2object(base_opt_contract, Contract)))
base_opt_contract['m_right'] = 'P'
#self.options.append(ContractHelper.kv2object(base_opt_contract, Contract))
self.options.append(
Option(ContractHelper.kv2object(base_opt_contract, Contract)))
def tickPrice(self, items):
try:
contract = self.tickerMap[items.__dict__['tickerId']]
field = items.__dict__['field']
ct = ContractHelper.kv2object(contract, Contract)
print 'tickPrice>> %s' % ('[%d:%s] %s=%0.4f [%s]' % \
(items.__dict__['tickerId'], ContractHelper.makeRedisKeyEx(ct),\
'bid_q' if field == 1 else ('ask_q' if field == 2 else ('last_q' if field == 4 else field)), \
items.__dict__['price'], datetime.datetime.fromtimestamp(items.__dict__['ts']).strftime('%Y-%m-%d %H:%M:%S.%f')))
except KeyError:
print 'tickPrice: keyerror:'
print items
def tickSize(self, items):
try:
contract = self.tickerMap[items.__dict__['tickerId']]
field = items.__dict__['field']
ct = ContractHelper.kv2object(contract, Contract)
print 'tickSize>> %s' % ('[%d:%s] %s=%0.4f [%s]' % \
(items.__dict__['tickerId'], ContractHelper.makeRedisKeyEx(ct),\
'bid' if field == 0 else ('ask' if field == 3 else ('last' if field == 5 else field)), \
items.__dict__['size'], datetime.datetime.fromtimestamp(items.__dict__['ts']).strftime('%Y-%m-%d %H:%M:%S.%f')))
except KeyError:
print 'tickSize: keyerror: (this could happen on the 1st run as the subscription manager sub list is still empty.'
print items