def longStrangle(s):
#买入宽跨式套利
try:
#获取合约编号，标的代码，合约名称
r = requests.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
#标的代码
stockId = j['data'][0]['stockId']
#买入低行权价认沽合约编号，名称
lowExercisePricePutOptionDict = j['data'][0]['list'][nextMonth]['list'][0]['list'][put]
lowExercisePricePutOptionCode = lowExercisePricePutOptionDict['code']
lowExercisePricePutOptionName = lowExercisePricePutOptionDict['name']
#买入高行权价认购合约编号，名称
highExercisePriceCallOptionDict = j['data'][0]['list'][nextMonth]['list'][-1]['list'][call]
highExercisePriceCallOptionCode = highExercisePriceCallOptionDict['code']
highExercisePriceCallOptionName = highExercisePriceCallOptionDict['name']
#开仓
payloadLongPut = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':lowExercisePricePutOptionCode, 'cntrName':lowExercisePricePutOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'P', 'coverOrUncovered':'N'}
payloadLongCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':highExercisePriceCallOptionCode, 'cntrName':highExercisePriceCallOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
longPut = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadLongPut)
longCall = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadLongCall)
#加入待平仓序列
month = utils.getNextMonth()
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, payloadLongPut)
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][-1]['price'], 0, 0, payloadLongCall)
except:
return 0
else:
return 1
def bullPutSpread(s):
#牛市认沽价差套利
try:
#获取合约编号，标的代码，合约名称
r = requests.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
#标的代码
stockId = j['data'][0]['stockId']
#买入低行权价认沽合约编号，名称
lowExercisePricePutOptionDict = j['data'][0]['list'][nextMonth]['list'][0]['list'][put]
lowExercisePricePutOptionCode = lowExercisePricePutOptionDict['code']
lowExercisePricePutOptionName = lowExercisePricePutOptionDict['name']
print lowExercisePricePutOptionName
#卖出高行权价认沽合约编号，名称
highExercisePricePutOptionDict = j['data'][0]['list'][nextMonth]['list'][-1]['list'][put]
highExercisePricePutOptionCode = highExercisePricePutOptionDict['code']
highExercisePricePutOptionName = highExercisePricePutOptionDict['name']
print highExercisePricePutOptionName
#开仓
payloadLongPut = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':lowExercisePricePutOptionCode, 'cntrName':lowExercisePricePutOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'P', 'coverOrUncovered':'N'}
payloadShortPut = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':highExercisePricePutOptionCode, 'cntrName':highExercisePricePutOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'S', 'optType':'P', 'coverOrUncovered':'N'}
longPut = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadLongPut)
shortPut = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadShortPut)
#计算止盈(损失有限)，当卖出的卖权成为平值时，达到盈利极限
upPrice = float(j['data'][0]['list'][nextMonth]['list'][-1]['price'])
#加入待平仓序列
month = utils.getNextMonth()
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 1, upPrice, 1, 0, payloadLongCall)
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][-1]['price'], 0, 0, 1, upPrice, 1, 0, payloadShortCall)
except:
return 0
else:
return 1
def bearCallSpread(s):
#熊市认购价差套利
try:
#获取合约编号，标的代码，合约名称
r = requests.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
#标的代码
stockId = j['data'][0]['stockId']
#卖出低行权价认购合约编号，名称
lowExercisePriceCallOptionDict = j['data'][0]['list'][nextMonth]['list'][0]['list'][call]
lowExercisePriceCallOptionCode = lowExercisePriceCallOptionDict['code']
lowExercisePriceCallOptionName = lowExercisePriceCallOptionDict['name']
#买入高行权价认购合约编号，名称
highExercisePriceCallOptionDict = j['data'][0]['list'][nextMonth]['list'][-1]['list'][call]
highExercisePriceCallOptionCode = highExercisePriceCallOptionDict['code']
highExercisePriceCallOptionName = highExercisePriceCallOptionDict['name']
#开仓
payloadShortCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':lowExercisePriceCallOptionCode, 'cntrName':lowExercisePriceCallOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'S', 'optType':'C', 'coverOrUncovered':'N'}
payloadLongCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':highExercisePriceCallOptionCode, 'cntrName':highExercisePriceCallOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
longCall = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadLongCall)
shortCall = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadShortCall)
#计算止盈，当卖出的买权成为平值时，达到盈利极限
downPrice = float(j['data'][0]['list'][nextMonth]['list'][0]['price'])
#加入待平仓序列
month = utils.getNextMonth()
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0, downPrice, 1, 100000, payloadShortCall)
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][-1]['price'], 0, 0, 0, downPrice, 1, 100000, payloadLongCall)
except:
return 0
else:
return 1
def longIronButterfly(s):
#买入铁蝴蝶式套利
try:
#获取合约编号，标的代码，合约名称
r = s.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
#标的代码
stockId = j['data'][0]['stockId']
#自动检索平值期权在list中的位置，注意不同月份的行权价格数不同
a = collectData.getAtTheMoneyOption(s)
#
optionDict = j['data'][0]['list'][nextMonth]['list'][0]['list'][put]
optionCode = optionDict['code']
optionName = optionDict['name']
optionDict1 = j['data'][0]['list'][nextMonth]['list'][a[1]]['list'][put]
optionCode1 = optionDict1['code']
optionName1 = optionDict1['name']
optionDict2 = j['data'][0]['list'][nextMonth]['list'][a[1]]['list'][call]
optionCode2 = optionDict2['code']
optionName2 = optionDict2['name']
optionDict3 = j['data'][0]['list'][nextMonth]['list'][-1]['list'][call]
optionCode3 = optionDict3['code']
optionName3 = optionDict3['name']
#开仓
payloadShortPut1 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':optionCode, 'cntrName':optionName, 'orderQty':'5', 'businessType':'200', 'buySell':'S', 'optType':'P', 'coverOrUncovered':'N'}
payloadLongPut2 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':optionCode1, 'cntrName':optionName1, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'P', 'coverOrUncovered':'N'}
payloadLongCall3 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':optionCode2, 'cntrName':optionName2, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
payloadShortCall4 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':optionCode3, 'cntrName':optionName3, 'orderQty':'5', 'businessType':'200', 'buySell':'S', 'optType':'C', 'coverOrUncovered':'N'}
shortPut1 = s.post(starURL+"/optapi/order/apply",json = payloadShortPut1)
longPut2 = s.post(starURL+"/optapi/order/apply",json = payloadLongPut2)
longCall3 = s.post(starURL+"/optapi/order/apply",json = payloadLongCall3)
shortCall4 = s.post(starURL+"/optapi/order/apply",json = payloadShortCall4)
#待完成：判断平仓条件
#加入待平仓序列
month1 = (collectData.getThisMonthAndNextMonth())[0]
month2 = (collectData.getThisMonthAndNextMonth())[1]
month3 = (collectData.getThisMonthAndNextMonth())[2]
month4 = (collectData.getThisMonthAndNextMonth())[3]
utils.addToClosePositionList(month1, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0, j['data'][0]['list'][nextMonth]['list'][0]['price'], 1, j['data'][0]['list'][nextMonth]['list'][-1]['price'], payloadShortPut1)
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0, j['data'][0]['list'][nextMonth]['list'][0]['price'], 1, j['data'][0]['list'][nextMonth]['list'][-1]['price'], payloadLongPut2)
utils.addToClosePositionList(month3, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0, j['data'][0]['list'][nextMonth]['list'][0]['price'], 1, j['data'][0]['list'][nextMonth]['list'][-1]['price'], payloadLongCall3)
utils.addToClosePositionList(month4, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0, j['data'][0]['list'][nextMonth]['list'][0]['price'], 1, j['data'][0]['list'][nextMonth]['list'][-1]['price'], payloadShortCall4)
except:
return 0
else:
return 1
def calendarSpread(s):
#日历套利
try:
#获取合约编号，标的代码，合约名称
r = s.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
print r.text
#标的代码
stockId = j['data'][0]['stockId']
#自动检索平值期权在list中的位置，注意不同月份的行权价格数不同
a = collectData.getAtTheMoneyOption(s)
#卖出近期认购合约编号，名称
currentOptionDict = j['data'][0]['list'][thisMonth]['list'][a[0]]['list'][call]
currentOptionCode = currentOptionDict['code']
currentOptionName = currentOptionDict['name']
#买入远期认购合约编号，名称
futureOptionDict = j['data'][0]['list'][futureMonth]['list'][a[2]]['list'][call]
futureOptionCode = futureOptionDict['code']
futureOptionName = futureOptionDict['name']
print stockId
print currentOptionCode,futureOptionCode
print currentOptionName,futureOptionName
#开仓
payloadLongCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':futureOptionCode, 'cntrName':futureOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
payloadShortCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':currentOptionCode, 'cntrName':currentOptionName, 'orderQty':'5', 'businessType':'200', 'buySell':'S', 'optType':'C', 'coverOrUncovered':'N'}
rLongCall = s.post(starURL+"/optapi/order/apply",json = payloadLongCall)
rShortCall = s.post(starURL+"/optapi/order/apply",json = payloadShortCall)
#近期合约到期即平仓，无需止盈止损
#加入待平仓序列
month1 = (collectData.getThisMonthAndNextMonth())[0]
month2 = (collectData.getThisMonthAndNextMonth())[2]
utils.addToClosePositionList(month1, j['data'][0]['list'][thisMonth]['list'][a[0]]['price'], 3, 0, 0, 0, 0, 0, payloadShortCall)
utils.addToClosePositionList(month2, j['data'][0]['list'][futureMonth]['list'][a[2]]['price'], 3, 0, 0, 0, 0, 0, payloadLongCall)
except:
return 0
else:
return 1
def PCRCall(s):
#PCR投机
try:
#获取合约编号，标的代码，合约名称，寻找平值期权
r = s.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
#寻找平值期权位置
month = 201707
optData = collectData.getOptionPriceAndStatics(month)
currentEtfPrice = collectData.getEtfCurrentPrice(s)
a = 0
b = 100000
c = 0
while a < len( j['data'][0]['list'][nextMonth]['list']):
if math.fabs(float(j['data'][0]['list'][nextMonth]['list'][a]['price']) - currentEtfPrice) < b:
b = math.fabs(float(j['data'][0]['list'][nextMonth]['list'][a]['price']) - currentEtfPrice)
c = a#取出平值期权
a = a+1
stockId = j['data'][0]['stockId']
optionDict = j['data'][0]['list'][nextMonth]['list'][c]['list'][call]
optionCode = optionDict['code']
optionName = optionDict['name']
#开仓
payloadCall = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':optionCode, 'cntrName':optionName, 'orderQty':'5', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
Call = s.post("http://star.sse.com.cn/optapi/order/apply",json = payloadCall)
#计算止盈止损
currentPrice = float(optData['a'][c][7])
downPrice = currentPrice * 0.96
upPrice = currentPrice * 1.1
#加入待平仓序列
utils.addToClosePositionList(month, j['data'][0]['list'][nextMonth]['list'][c]['price'], 0, 0, 0, downPrice, 1, upPrice, payloadCall)
except:
return 0
else:
return 1
def longButterfly(s):
try:
#获取合约编号，标的代码，合约名称
r = s.get(starURL+"/optapi/optmktrefdata/optRefdata")
j = json.loads(r.text)
month2 = (collectData.getThisMonthAndNextMonth())[1]
#标的代码
stockId = j['data'][0]['stockId']
#自动检索平值期权在list中的位置，注意不同月份的行权价格数不同
a = collectData.getAtTheMoneyOption(s)
#获取T型报价中各个期权的价格
ps = collectData.getOptionPriceAndStatics(int(month2))
op1 = ps['a'][0][tCall]
op2 = ps['a'][a[1]][tCall]
op3 = ps['a'][-1][tCall]
opx1 = j['data'][0]['list'][nextMonth]['list'][0]['price']
opx2 = j['data'][0]['list'][nextMonth]['list'][a[1]]['price']
opx3 = j['data'][0]['list'][nextMonth]['list'][-1]['price']
#买入认购合约编号，名称
currentOptionDict = j['data'][0]['list'][nextMonth]['list'][0]['list'][call]
currentOptionCode = currentOptionDict['code']
currentOptionName = currentOptionDict['name']
print currentOptionName
#卖出两份认购合约编号，名称
mediumOptionDict = j['data'][0]['list'][nextMonth]['list'][a[1]]['list'][call]
mediumOptionCode = mediumOptionDict['code']
mediumOptionName = mediumOptionDict['name']
print mediumOptionName
#买入认购合约编号，名称
futureOptionDict = j['data'][0]['list'][nextMonth]['list'][-1]['list'][call]
futureOptionCode = futureOptionDict['code']
futureOptionName = futureOptionDict['name']
print futureOptionName
#开仓
payloadLongCall1 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':currentOptionCode, 'cntrName':currentOptionName, 'orderQty':'2', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
payloadShortCall2 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':mediumOptionCode, 'cntrName':mediumOptionName, 'orderQty':'4', 'businessType':'200', 'buySell':'S', 'optType':'C', 'coverOrUncovered':'N'}
payloadLongCall3 = {'uStockCode':stockId,'posEffect':'O','orderType':'M','cntrCode':futureOptionCode, 'cntrName':futureOptionName, 'orderQty':'2', 'businessType':'200', 'buySell':'B', 'optType':'C', 'coverOrUncovered':'N'}
longCall1 = s.post(starURL+"/optapi/order/apply",json = payloadLongCall1)
longCall2 = s.post(starURL+"/optapi/order/apply",json = payloadShortCall2)
longCall3 = s.post(starURL+"/optapi/order/apply",json = payloadLongCall3)
#待完成：判断平仓条件
pointPrice = opx2#在卖出的认购期权恰好为平值时，达到盈利的顶点
lostPoint = -0.1#设置止损
downPrice = opx1 + (lostPoint + 1) * (op1 + op3 - 2 * op2)
upPrice = (2 * opx2 - opx1) - (lostPoint + 1) * (op1 + op3 - 2 * op2)
#加入待平仓序列
#止盈
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 2,pointPrice, 2, pointPrice, payloadLongCall1)
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][a[1]]['price'], 0, 0, 2,pointPrice, 2, pointPrice, payloadShortCall2)
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][-1]['price'], 0, 0, 2,pointPrice, 2, pointPrice, payloadLongCall3)
#止损
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][0]['price'], 0, 0, 0,downPrice, 1, upPrice, payloadLongCall1)
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][a[1]]['price'], 0, 0, 0,downPrice, 1, upPrice, payloadShortCall2)
utils.addToClosePositionList(month2, j['data'][0]['list'][nextMonth]['list'][-1]['price'], 0, 0, 0,downPrice, 1, upPrice, payloadLongCall3)
except:
return 0
else:
return 1