def insert_pairs_into_dictionary(self, directorylocal,showresults):
        print('readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes,showresults='+str(showresults))
        import nameddictionary
        
        #nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
        nd = nameddictionary.read(directorylocal,showresults)
        if showresults==1:
            print('111111 readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes.py 111111')
        #from datetime import datetime
        
        dPairs = {}
        symbols = nd.NamedDictionaries
        print('Building dictionary of valid calendar spread pairs using non-matchingstrikes (slower)')
        for symbol in symbols:
            print(symbol + ' - readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes')
            for exdate0 in nd.NamedDictionaries[symbol]:
                #print(symbol,exdate0)
                for exdate1 in nd.NamedDictionaries[symbol]:
                    if exdate0 < exdate1:
                        #print(symbol,exdate0,exdate1)
                        #print(nd.NamedDictionaries[symbol][exdate0])
                        for optiontype0 in nd.NamedDictionaries[symbol][exdate0]:
                            for optiontype1 in nd.NamedDictionaries[symbol][exdate1]:
                                if optiontype0==optiontype1:
                                    optiontype = optiontype0
                                    for strike0 in nd.NamedDictionaries[symbol][exdate0][optiontype]:
                                        for strike1 in nd.NamedDictionaries[symbol][exdate1][optiontype]:
                                            #if strike0 >= strike1:
                                            if (optiontype == 'C' and float(strike0) >= float(strike1)) or (optiontype == 'P' and float(strike0) <= float(strike1)): 
                                                if symbol == 'FB' and optiontype =='C':
                                                    print(str(strike0),str(strike1))
                                                for bqd0 in nd.NamedDictionaries[symbol][exdate0][optiontype][strike0]:
                                                    for bqd1 in nd.NamedDictionaries[symbol][exdate1][optiontype][strike1]:
                                                        if bqd0 == bqd1:
                                                            exdate0s = exdate0.strftime('%Y-%m-%d')
                                                            exdate1s = exdate1.strftime('%Y-%m-%d')
                                                            bqds = bqd0.strftime('%Y-%m-%d %H:%M:%S')
                                                            #print(symbol,exdate0s,exdate1s,optiontype,strike,bqds)
                                                            
                                                            d0 =  nd.optioninstances(symbol,exdate0s,optiontype,strike0,bqds)
                                                            d1 =  nd.optioninstances(symbol,exdate1s,optiontype,strike1,bqds)
        
                                                            if len(d0) >= 1 and len(d1) >= 1:
                                                                earlieroption=d0[0]
                                                                lateroption=d1[0]
                                                                dPairs[len(dPairs)] = [earlieroption,lateroption]
#                                                                ls = dPairs[0]
#                                                                print(ls[0].optionsymbol)
        self.PairsDictionary = dPairs
                                                                
    def insert_pairs_into_dictionary(self, directorylocal, showresults):
        print('-------')
        print('     Building dictionary using non-matching strikes (slower)')
        print('-------')
        #import os
        import nameddictionary

        #nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
        nd = nameddictionary.read(directorylocal, showresults)

        print('*****************************')
        print(directorylocal)
        #        from os.path import normpath, basename
        #        finishedbuildingbucketquotedatetime = False
        #        basepath = directorylocal
        #        while not finishedbuildingbucketquotedatetime:
        #            #... do something...
        #            #mypath = 'C:/Documents and Settings/jmalinchak/My Documents/My Python/Active/py'
        #            print(basename(normpath(basepath)))
        #            basepath = os.path.dirname(basepath)
        #
        #            finishedbuildingbucketquotedatetime = evaluate_end_condition()
        print('*****************************')

        if showresults == 1:
            print(
                '111111 readintomemorybuilddictionaryofpairsdictionariesbysymbol.py 111111'
            )
        #from datetime import datetime

        symbols = nd.NamedDictionaries

        dSymbols = {}

        dPairsBySymbol = {}
        for symbol in symbols:
            dSymbols[len(dSymbols)] = symbol
            dPairs = {}
            print(
                symbol +
                '= symbol found in readintomemorybuilddictionaryofpairsdictionariesbysymbol.py'
            )
            for exdate0 in nd.NamedDictionaries[symbol]:
                #print(symbol,exdate0)
                for exdate1 in nd.NamedDictionaries[symbol]:
                    if exdate0 < exdate1:
                        #if showresults == 1:
                        print(symbol, exdate0, exdate1)
                        #print(nd.NamedDictionaries[symbol][exdate0])
                        for optiontype0 in nd.NamedDictionaries[symbol][
                                exdate0]:
                            for optiontype1 in nd.NamedDictionaries[symbol][
                                    exdate1]:
                                if optiontype0 == optiontype1:
                                    optiontype = optiontype0
                                    if showresults == 1:
                                        print(
                                            symbol, optiontype, exdate0,
                                            exdate1, 'checking ' + str(
                                                len(nd.
                                                    NamedDictionaries[symbol]
                                                    [exdate0][optiontype])) +
                                            ' vs. ' + str(
                                                len(nd.
                                                    NamedDictionaries[symbol]
                                                    [exdate1][optiontype])) +
                                            ' strikes')
                                    for strike0 in nd.NamedDictionaries[
                                            symbol][exdate0][optiontype]:
                                        for strike1 in nd.NamedDictionaries[
                                                symbol][exdate1][optiontype]:
                                            #if strike0 >= strike1:
                                            if (optiontype == 'C'
                                                    and float(strike0) >=
                                                    float(strike1)) or (
                                                        optiontype == 'P'
                                                        and float(strike0) <=
                                                        float(strike1)):
                                                #                                                if symbol == 'FB' and optiontype =='C':
                                                #                                                    print(str(strike0),str(strike1))
                                                for bqd0 in nd.NamedDictionaries[
                                                        symbol][exdate0][
                                                            optiontype][
                                                                strike0]:
                                                    for bqd1 in nd.NamedDictionaries[
                                                            symbol][exdate1][
                                                                optiontype][
                                                                    strike1]:
                                                        if bqd0 == bqd1:
                                                            exdate0s = exdate0.strftime(
                                                                '%Y-%m-%d')
                                                            exdate1s = exdate1.strftime(
                                                                '%Y-%m-%d')
                                                            bqds = bqd0.strftime(
                                                                '%Y-%m-%d %H:%M:%S'
                                                            )
                                                            #print(symbol,exdate0s,exdate1s,optiontype,strike,bqds)

                                                            d0 = nd.optioninstances(
                                                                symbol,
                                                                exdate0s,
                                                                optiontype,
                                                                strike0, bqds)
                                                            d1 = nd.optioninstances(
                                                                symbol,
                                                                exdate1s,
                                                                optiontype,
                                                                strike1, bqds)

                                                            if len(
                                                                    d0
                                                            ) >= 1 and len(
                                                                    d1) >= 1:
                                                                earlieroption = d0[
                                                                    0]
                                                                lateroption = d1[
                                                                    0]
                                                                dPairs[len(
                                                                    dPairs
                                                                )] = [
                                                                    earlieroption,
                                                                    lateroption
                                                                ]
#                                                                ls = dPairs[0]
#                                                                print(ls[0].optionsymbol)
#########################################################################################################
            print('=================================')
            print(str(len(dPairs)) + ' pairs created on ' + symbol)
            print('=================================')
            dPairsBySymbol[symbol] = dPairs
        #########################################################################################################
        self.DictionaryOfPairsDictionariesBySymbol = dPairsBySymbol
        self.DictionaryOfSymbols = dSymbols
        print(
            'completed readintomemoryinsertcalendarspreadpairsintodictionary')
コード例 #3
0
    def insert_pairs_into_dictionary(self, directorylocal, showresults):
        print(
            'readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes,showresults='
            + str(showresults))
        import nameddictionary

        #nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
        nd = nameddictionary.read(directorylocal, showresults)
        if showresults == 1:
            print(
                '111111 readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes.py 111111'
            )
        #from datetime import datetime

        dPairs = {}
        symbols = nd.NamedDictionaries
        print(
            'Building dictionary of valid calendar spread pairs using non-matchingstrikes (slower)'
        )
        for symbol in symbols:
            print(
                symbol +
                ' - readintomemoryinsertcalendarspreadpairsintodictionarynonmatchingstrikes'
            )
            for exdate0 in nd.NamedDictionaries[symbol]:
                #print(symbol,exdate0)
                for exdate1 in nd.NamedDictionaries[symbol]:
                    if exdate0 < exdate1:
                        #print(symbol,exdate0,exdate1)
                        #print(nd.NamedDictionaries[symbol][exdate0])
                        for optiontype0 in nd.NamedDictionaries[symbol][
                                exdate0]:
                            for optiontype1 in nd.NamedDictionaries[symbol][
                                    exdate1]:
                                if optiontype0 == optiontype1:
                                    optiontype = optiontype0
                                    for strike0 in nd.NamedDictionaries[
                                            symbol][exdate0][optiontype]:
                                        for strike1 in nd.NamedDictionaries[
                                                symbol][exdate1][optiontype]:
                                            #if strike0 >= strike1:
                                            if (optiontype == 'C'
                                                    and float(strike0) >=
                                                    float(strike1)) or (
                                                        optiontype == 'P'
                                                        and float(strike0) <=
                                                        float(strike1)):
                                                if symbol == 'FB' and optiontype == 'C':
                                                    print(
                                                        str(strike0),
                                                        str(strike1))
                                                for bqd0 in nd.NamedDictionaries[
                                                        symbol][exdate0][
                                                            optiontype][
                                                                strike0]:
                                                    for bqd1 in nd.NamedDictionaries[
                                                            symbol][exdate1][
                                                                optiontype][
                                                                    strike1]:
                                                        if bqd0 == bqd1:
                                                            exdate0s = exdate0.strftime(
                                                                '%Y-%m-%d')
                                                            exdate1s = exdate1.strftime(
                                                                '%Y-%m-%d')
                                                            bqds = bqd0.strftime(
                                                                '%Y-%m-%d %H:%M:%S'
                                                            )
                                                            #print(symbol,exdate0s,exdate1s,optiontype,strike,bqds)

                                                            d0 = nd.optioninstances(
                                                                symbol,
                                                                exdate0s,
                                                                optiontype,
                                                                strike0, bqds)
                                                            d1 = nd.optioninstances(
                                                                symbol,
                                                                exdate1s,
                                                                optiontype,
                                                                strike1, bqds)

                                                            if len(
                                                                    d0
                                                            ) >= 1 and len(
                                                                    d1) >= 1:
                                                                earlieroption = d0[
                                                                    0]
                                                                lateroption = d1[
                                                                    0]
                                                                dPairs[len(
                                                                    dPairs
                                                                )] = [
                                                                    earlieroption,
                                                                    lateroption
                                                                ]
#                                                                ls = dPairs[0]
#                                                                print(ls[0].optionsymbol)
        self.PairsDictionary = dPairs
コード例 #4
0
# -*- coding: utf-8 -*-
"""
Created on Sun Nov 23 00:17:18 2014

@author: jmalinchak
"""

import nameddictionary

#nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
nd = nameddictionary.read(
    'C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\$test01\\20141202'
)

ndoi = nd.optioninstances('COP', '2014-12-20', 'C', '72.5')
for KeyOfOptionInstances, ValueOfOptionInstances in ndoi.items():
    ValueOfOptionInstances.printdelim('|')

ndoi = nd.optioninstances('COP', '2015-01-17', 'C', '72.5')
for KeyOfOptionInstances, ValueOfOptionInstances in ndoi.items():
    ValueOfOptionInstances.printdelim('|')
    def insert_pairs_into_dictionary(self, directorylocal,showresults):
        print('-------')
        print('     Building dictionary using non-matching strikes (slower)')
        print('-------')
        #import os
        import nameddictionary
        
        #nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
        nd = nameddictionary.read(directorylocal,showresults)
        
        print('*****************************')        
        print(directorylocal)   
#        from os.path import normpath, basename
#        finishedbuildingbucketquotedatetime = False
#        basepath = directorylocal
#        while not finishedbuildingbucketquotedatetime:
#            #... do something...
#            #mypath = 'C:/Documents and Settings/jmalinchak/My Documents/My Python/Active/py'
#            print(basename(normpath(basepath)))
#            basepath = os.path.dirname(basepath)
#            
#            finishedbuildingbucketquotedatetime = evaluate_end_condition()
        print('*****************************')
        
        if showresults==1:
            print('111111 readintomemorybuilddictionaryofpairsdictionariesbysymbol.py 111111')
        #from datetime import datetime
        
        symbols = nd.NamedDictionaries

        dSymbols = {}
        
        dPairsBySymbol = {}
        for symbol in symbols:
            dSymbols[len(dSymbols)] = symbol
            dPairs = {}
            print(symbol + ' = symbol found in readintomemorybuilddictionaryofpairsdictionariesbysymbol.py')
            for exdate0 in nd.NamedDictionaries[symbol]:
                print('finding condor pairs for',symbol,exdate0,'...')
                for exdate1 in nd.NamedDictionaries[symbol]:
                    if exdate0==exdate1:
                        exdate = exdate0
                        for optiontype0 in nd.NamedDictionaries[symbol][exdate0]:
                            for optiontype1 in nd.NamedDictionaries[symbol][exdate1]:
                                optiontype = optiontype0
                                for strike0 in nd.NamedDictionaries[symbol][exdate0][optiontype]:
                                    for strike1 in nd.NamedDictionaries[symbol][exdate1][optiontype]:
                                        #if strike0 >= strike1:
                                        if (optiontype == 'C' and float(strike0) < float(strike1)) or (optiontype == 'P' and float(strike0) > float(strike1)):                                                                                         
                                            for bqd0 in nd.NamedDictionaries[symbol][exdate0][optiontype][strike0]:
                                                for bqd1 in nd.NamedDictionaries[symbol][exdate1][optiontype][strike1]:
                                                    if bqd0 == bqd1:
                                                        exdate_s = exdate.strftime('%Y-%m-%d')
                                                        bqds = bqd0.strftime('%Y-%m-%d %H:%M:%S')
                                                        #print(symbol,exdate0s,exdate1s,optiontype,strike,bqds)
                                                        
                                                        d0 =  nd.optioninstances(symbol,exdate_s,optiontype,strike0,bqds)
                                                        d1 =  nd.optioninstances(symbol,exdate_s,optiontype,strike1,bqds)
                                                                    
                                                        if len(d0) >= 1 and len(d1) >= 1:
                                                            shortoption=d0[0]
                                                            longoption=d1[0]
                                                            if (optiontype == 'C' and float(shortoption.strike) > float(shortoption.stockprice)) or (optiontype == 'P' and float(shortoption.strike) < float(shortoption.stockprice)):
                                                                if showresults == 1:                                                            
                                                                    print('shortoptionsymbol',shortoption.optionsymbol)
                                                                dPairs[len(dPairs)] = [shortoption,longoption]
                                                            
#                                                                ls = dPairs[0]
#                                                                print(ls[0].optionsymbol)
                                                            
        #########################################################################################################
                                    
#                for exdate1 in nd.NamedDictionaries[symbol]:
#                    if exdate0 < exdate1:
#                        #if showresults == 1:
#                        print(symbol,exdate0,exdate1)
#                        #print(nd.NamedDictionaries[symbol][exdate0])
#                        for optiontype0 in nd.NamedDictionaries[symbol][exdate0]:
#                            for optiontype1 in nd.NamedDictionaries[symbol][exdate1]:
#                                if optiontype0==optiontype1:
#                                    optiontype = optiontype0
#                                    if showresults ==1:
#                                        print(symbol,optiontype,exdate0,exdate1,'checking ' + str(len(nd.NamedDictionaries[symbol][exdate0][optiontype])) + ' vs. ' + str(len(nd.NamedDictionaries[symbol][exdate1][optiontype])) + ' strikes')
#                                    for strike0 in nd.NamedDictionaries[symbol][exdate0][optiontype]:
#                                        for strike1 in nd.NamedDictionaries[symbol][exdate1][optiontype]:
#                                            #if strike0 >= strike1:
#                                            if (optiontype == 'C' and float(strike0) >= float(strike1)) or (optiontype == 'P' and float(strike0) <= float(strike1)): 
##                                                if symbol == 'FB' and optiontype =='C':
##                                                    print(str(strike0),str(strike1))
#                                                for bqd0 in nd.NamedDictionaries[symbol][exdate0][optiontype][strike0]:
#                                                    for bqd1 in nd.NamedDictionaries[symbol][exdate1][optiontype][strike1]:
#                                                        if bqd0 == bqd1:
#                                                            exdate0s = exdate0.strftime('%Y-%m-%d')
#                                                            exdate1s = exdate1.strftime('%Y-%m-%d')
#                                                            bqds = bqd0.strftime('%Y-%m-%d %H:%M:%S')
#                                                            #print(symbol,exdate0s,exdate1s,optiontype,strike,bqds)
#                                                            
#                                                            d0 =  nd.optioninstances(symbol,exdate0s,optiontype,strike0,bqds)
#                                                            d1 =  nd.optioninstances(symbol,exdate1s,optiontype,strike1,bqds)
#        
#                                                            if len(d0) >= 1 and len(d1) >= 1:
#                                                                earlieroption=d0[0]
#                                                                lateroption=d1[0]
#                                                                dPairs[len(dPairs)] = [earlieroption,lateroption]
##                                                                ls = dPairs[0]
##                                                                print(ls[0].optionsymbol)
            #########################################################################################################
            print('=================================')
            print(str(len(dPairs)) + ' condor pairs created on ' + symbol)
            print('=================================')
            dPairsBySymbol[symbol] = dPairs
        #########################################################################################################
        self.DictionaryOfPairsDictionariesBySymbol = dPairsBySymbol
        self.DictionaryOfSymbols = dSymbols
        print('completed readintomemorybuildcondorpairsdictionariesbysymbol')
        
        
        
                                                                
コード例 #6
0
# -*- coding: utf-8 -*-
"""
Created on Sun Nov 23 00:17:18 2014

@author: jmalinchak
"""

import nameddictionary

#nameddictionaryfiltered.nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')
nd = nameddictionary.read('C:\\Documents and Settings\\jmalinchak\\My Documents\\My Python\Active\\downloads\\20141130b')

ndoi = nd.optioninstances('KMI','2014-12-12','C','42.5')
for KeyOfOptionInstances,ValueOfOptionInstances in ndoi.items():
    ValueOfOptionInstances.printdelim('|')
    
ndoi = nd.optioninstances('KMI','2014-12-20','C','42.5')
for KeyOfOptionInstances,ValueOfOptionInstances in ndoi.items():
    ValueOfOptionInstances.printdelim('|')