def execute(tick: str):
ticker = Ticker(tick)
optionManager = OptionManager(ticker)
output = pd.DataFrame
for now in range(date1, date2, increment): # Compute day by day
try:
# Exclude bad results and weekends
if optionManager.setNow(now) is not False and datetime.fromtimestamp(now).weekday() not in [5, 6]:
exp = optionManager.getExpirationByMaturity(maturity_min, method='greater')
optionChain = optionManager.getOptionChain(exp=exp)
deepOptionChain = DeepOptionChain(optionChain, computeIV=computeIV, progressBar=False)
summary = {'Date': unixtimestamp_to_date(optionChain.getChainDate()),
'Exp': unixtimestamp_to_date(optionChain.getChainExpiration()),
'Maturity': optionChain.getTimeToMaturity().days,
'ForwardPrice': optionChain.getForwardPrice(),
'SpotPrice': optionChain.getSpotPrice(),
}
# compute signals
chainWeights = ChainWeights(optionChain)
for mode, weights in {'EW': chainWeights.computeEquallyWeights(),
'Beta': chainWeights.computeBetaWeights(),
'ATM': chainWeights.computeATMWeights(),
'OI': chainWeights.computeOpenInterestsWeights(),
'Moneyness': chainWeights.computeMoneynessWeights()}.items():
synopsis = OptionChainSinopsys(deepOptionChain, weights=weights)
OPS = synopsis.computeOptionPriceSpread()
IVS = synopsis.computeImpliedVolatilitySpread()
NAP = synopsis.computeNoArbitragePrice()
OIR = synopsis.computeOpenInterestRatio()
summary['OPS_[{}]'.format(mode)] = OPS.mean
summary['IVS_[{}]'.format(mode)] = IVS.mean
summary['NAP_[{}]'.format(mode)] = NAP.value
summary['NAP_ret_[{}]'.format(mode)] = NAP.ret
summary['OIR_[{}]'.format(mode)] = OIR.mean
PCD = synopsis.computePutCallDelta()
summary['PCD'] = PCD
# Compute volatility metrics
VIX = EquityVIX(deepOptionChain)
summary['VIX_[hist]'] = VIX.getHistoricalVolatility()
summary['VIX_[mean]'] = VIX.getMeanVIX().value
summary['VIX_[beta]'] = VIX.getBetaVIX().value
summary['VIX_[CBOE]'] = VIX.getCBOEVIX()
if output.empty:
output = pd.DataFrame(columns=list(summary.keys()), index=[])
output = output.append(summary, ignore_index=True)
except Exception as e:
logs.append('Error with [{}] - [{}]: {}'.format(ticker.ticker, now, e))
pass
# ----------------------[EXPORT BLOCK]--------------------------------
path = '../Export/BackTest/{}'.format(ticker.ticker)
if not os.path.exists(path):
os.makedirs(path)
try:
with pd.ExcelWriter('{}/backTest_[{}].xlsx'.format(path, maturity_min)) as writer:
output.to_excel(writer, sheet_name='Results', index=False)
except:
pass
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
optionManager = OptionManager(ticker)
# Custom
increment = 86400 # 1 day
date1 = 1483228800 # Sunday 01 January 2017
date2 = date1 + increment * 365 * 3
# ----------------------------------------------------------
ticker_info = ticker.getInfo()
output = []
for now in tqdm(range(date1, date2, increment),
desc='Compute history'): # Compute day by day
if optionManager.setNow(now) is not False:
exp = optionManager.getExpirationByMaturity(5, method='greater')
optionChain = optionManager.getOptionChain(exp=exp)
deepOptionChain = DeepOptionChain(optionChain,
computeIV=True,
progressBar=False)
VIX = EquityVIX(deepOptionChain)
summary = {
'Date': unixtimestamp_to_date(optionChain.getChainDate()),
'SpotPrice': optionChain.getSpotPrice(),
'CBOE_VIX': VIX.getCBOEVIX(),
'Mean': VIX.getMeanVIX().value,
'Beta': VIX.getBetaVIX().value,
'ATM': VIX.getATMVIX().value,
This file is part of the EcoFin-Library (https://github.com/LucaCamerani/EcoFin-Library),
and is released under the "BSD Open Source License".
"""
from EcoFin.dataDownload.optionsManager import OptionManager
from EcoFin.dataDownload.ticker import Ticker
# -------------------------[Set-up]-------------------------
ticker = Ticker('MSFT')
# 1Y
increment = 86400
maturity = 30
date1 = 1546300800
date2 = 1577664000
# ----------------------------------------------------------
optionManager = OptionManager(ticker)
ticker_info = ticker.getInfo()
for now in range(date1, date2, increment): # Compute day by day
try:
optionManager.setNow(now)
exp = optionManager.getExpirationByMaturity(maturity, 'greater')
optionChain = optionManager.getOptionChain(exp=exp)
print('Maturity: {} days'.format(optionChain.getTimeToMaturity().days))
except:
pass