def test_chain_handle_missing_data(self):
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
futures_limit = 3
options_limit = 20
datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit, options_limit)
base_date = datetime(2014, 2, 18, 11, 10, 0)
instr = datasource.get("CL", base_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
# opt_chain.get_by_delta(0.05) on the CL on this date is has absent data
# opt_chain selects next available date
self.assertEqual(opt_chain.get_by_delta(0.05), opt_chain.get_by_delta(0.04))
base_date = datetime(2016, 2, 17, 11, 10, 0)
instr = datasource.get("ZN", base_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
# opt_chain[11] is an absent strike inside DB, if it absent opt_chain selects next available strike
self.assertEqual(opt_chain[11], opt_chain[12])
self.assertEqual(opt_chain[-11], opt_chain[-12])
def process_day(self):
"""
Main EXO's position management method
:return: list of Transactions to process
"""
if len(self.position) == 0:
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
if fut is None or opt_chain is None:
if self.debug_mode:
self.logger.write(
'Futures contract or option chain not found.\n\tFuture: {0}\tOption chain: {1}\n'
.format(fut, opt_chain))
return []
call = opt_chain[0].C
trans_list = [
Transaction(call,
self.date,
1.0,
call.price,
leg_name='opt_call'),
]
return trans_list
def test_active_chains_current(self):
inst_dict = {
'name':
'TEST',
'futures': [{
'days':
5,
'name':
'fut1',
'expiration':
datetime(2015, 1, 10),
'options': [
{
'days': 3,
'expiration': datetime(2015, 1, 8),
'name': 'fut1_opt1'
},
]
}]
}
dinst = DummyInstrument(inst_dict)
rh = RolloverHelper(dinst)
fut, opt = rh.get_active_chains()
self.assertEqual(fut.name, 'fut1')
self.assertEqual(opt.name, 'fut1_opt1')
def test_active_chains_rollover_options_no_options_chains(self):
inst_dict = {
'name':
'TEST',
'futures': [{
'days': 20,
'name': 'fut1',
'expiration': datetime(2015, 1, 10),
'options': []
}, {
'days': 20,
'name': 'fut2',
'expiration': datetime(2015, 2, 10),
'options': []
}, {
'days': 40,
'name': 'fut3',
'expiration': datetime(2015, 3, 10),
'options': []
}]
}
dinst = DummyInstrument(inst_dict)
rh = RolloverHelper(dinst)
rh.rollover_months = [1, 3]
rh.days_before_expiration = 10
fut, opt = rh.get_active_chains()
self.assertEqual(fut.name, 'fut1')
self.assertEqual(opt, None)
def test_active_chains_rollover_options_no_futures(self):
inst_dict = {'name': 'TEST', 'futures': []}
dinst = DummyInstrument(inst_dict)
rh = RolloverHelper(dinst)
rh.rollover_months = [1, 3]
rh.days_before_expiration = 10
fut, opt = rh.get_active_chains()
self.assertEqual(fut, None)
self.assertEqual(opt, None)
def process_day(self):
"""
Main EXO's position management method
:return: list of Transactions to process
"""
if len(self.position) == 0:
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
if fut is None or opt_chain is None:
if self.debug_mode:
self.logger.write(
'Futures contract or option chain not found.\n\tFuture: {0}\tOption chain: {1}\n'
.format(fut, opt_chain))
return []
if self._direction == 1:
itm_call = opt_chain[-2].C
otm_call = opt_chain[10].C
return [
Transaction(itm_call,
self.date,
1.0,
itm_call.price,
leg_name='opt_itm_leg'),
Transaction(otm_call,
self.date,
-1.0,
otm_call.price,
leg_name='opt_otm_leg'),
]
if self._direction == -1:
itm_put = opt_chain[2].P
otm_put = opt_chain[-10].P
return [
Transaction(itm_put,
self.date,
1.0,
itm_put.price,
leg_name='opt_itm_leg'),
Transaction(otm_put,
self.date,
-1.0,
otm_put.price,
leg_name='opt_otm_leg'),
]
def plot_transactions_payoff(self, smart_exo_position_func, analysis_date,
analysis_instrument, **whatif_kwargs):
payoff = PayoffAnalyzer(self.datasource)
instr = self.datasource.get(analysis_instrument, analysis_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
strikes_on_graph = whatif_kwargs.get('strikes_on_graph', 30)
whatif_iv_change = whatif_kwargs.get('whatif_iv_change', 0)
whatif_days_to_expiration = whatif_kwargs.get(
'whatif_days_to_expiration', int(opt_chain.to_expiration_days / 2))
payoff.load_transactions(
smart_exo_position_func(analysis_date, fut, opt_chain),
analysis_date)
payoff.plot(strikes_on_graph, whatif_iv_change,
whatif_days_to_expiration)
def test_max_min_offset(self):
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
base_date = datetime(2015, 6, 13, 12, 45, 0)
futures_limit = 3
options_limit = 20
datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit, options_limit)
instr = datasource.get("ES", base_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
offset = opt_chain.maxoffset
self.assertEqual(20, offset)
offset = opt_chain.minoffset
self.assertEqual(-20, offset)
def process_day(self):
"""
Main EXO's position management method
:return: list of Transactions to process
"""
# Get cont futures price for EXO
exo_df, exo_info = self.datasource.exostorage.load_series(
self._base_exo_name)
regime = self.calculate_regime(self.date, exo_df)
logging.debug("Regime {0}".format(regime))
trans_list = []
if regime is None and len(self.position) > 0:
return self.position.close_all_translist()
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
if regime == 1 and 'bullish' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
tl = self.new_position_bullish_zone(self.date, fut, opt_chain)
if len(tl) > 0:
tl[0]._leg_name = 'bullish'
trans_list += tl
self._log_transactions(trans_list)
return trans_list
if regime == -1 and 'bearish' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
tl = self.new_position_bearish_zone(self.date, fut, opt_chain)
if len(tl) > 0:
tl[0]._leg_name = 'bearish'
trans_list += tl
self._log_transactions(trans_list)
return trans_list
if regime == 0 and 'neutral' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
tl = self.new_position_neutral_zone(self.date, fut, opt_chain)
if len(tl) > 0:
tl[0]._leg_name = 'neutral'
trans_list += tl
self._log_transactions(trans_list)
return trans_list
#
# Writing custom values to store inside DB
#
self.custom_values = {
'regime': regime if regime is not None else float('nan')
}
#
# Manage opened position
#
return self.manage_opened_position(self.date, fut, opt_chain, regime,
self.position)
def test_chain_get_by_delta(self):
assetindex = AssetIndexMongo(MONGO_CONNSTR, MONGO_EXO_DB)
base_date = datetime(2015, 6, 13, 12, 45, 0)
futures_limit = 3
options_limit = 20
datasource = DataSourceSQL(SQL_HOST, SQL_USER, SQL_PASS, assetindex, futures_limit, options_limit)
instr = datasource.get("ES", base_date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
atm_strike = opt_chain.atmstrike
opt = opt_chain.get_by_delta(0.5)
self.assertEqual(opt.strike, atm_strike)
self.assertEqual(opt.putorcall, 'C')
opt = opt_chain.get_by_delta(-0.5)
self.assertEqual(opt.strike, atm_strike)
self.assertEqual(opt.putorcall, 'P')
self.assertRaises(ValueError, opt_chain.get_by_delta, 0)
self.assertRaises(ValueError, opt_chain.get_by_delta, float('nan'))
self.assertRaises(ValueError, opt_chain.get_by_delta, 1)
self.assertRaises(ValueError, opt_chain.get_by_delta, 2)
self.assertRaises(ValueError, opt_chain.get_by_delta, -2)
self.assertRaises(ValueError, opt_chain.get_by_delta, -1)
# ITM Put
opt = opt_chain.get_by_delta(-0.7)
self.assertEqual(opt.strike, 2115)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.75, 2)
opt = opt_chain.get_by_delta(-0.999999)
self.assertEqual(opt.strike, 2195.0)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.989, 3)
# OTM Put
opt = opt_chain.get_by_delta(-0.3)
self.assertEqual(opt.strike, 2070)
self.assertEqual(opt.putorcall, 'P')
self.assertAlmostEqual(opt.delta, -0.27, 2)
opt = opt_chain.get_by_delta(-0.00001)
self.assertEqual(opt, opt_chain[-20].P)
# ITM Call
opt = opt_chain.get_by_delta(0.7)
self.assertEqual(opt.strike, 2070)
self.assertEqual(opt.putorcall, 'C')
self.assertAlmostEqual(opt.delta, 0.73, 2)
opt = opt_chain.get_by_delta(0.9999999)
self.assertEqual(opt, opt_chain[-20].C)
# OTM Call
opt = opt_chain.get_by_delta(0.3)
self.assertEqual(opt.strike, 2115)
self.assertEqual(opt.putorcall, 'C')
self.assertAlmostEqual(opt.delta, 0.24, 2)
opt = opt_chain.get_by_delta(0.000001)
self.assertEqual(opt, opt_chain[20].C)
def process_day(self):
"""
Main EXO's position management method
:return: list of Transactions to process
"""
if len(self.position) == 0:
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
if fut is None or opt_chain is None:
if self.debug_mode:
self.logger.write(
'Futures contract or option chain not found.\n\tFuture: {0}\tOption chain: {1}\n'
.format(fut, opt_chain))
return []
if self._direction == 1:
# the bullish broken wings are long the -5 put , long the future, short the + 5 call and long the +9 call
put_dn5 = opt_chain[-5].P
call_up5 = opt_chain[5].C
call_up9 = opt_chain[9].C
return [
Transaction(put_dn5,
self.date,
1.0,
put_dn5.price,
leg_name='opt_otm_leg'),
Transaction(fut,
self.date,
1.0,
fut.price,
leg_name='fut_leg'),
Transaction(call_up5,
self.date,
-1.0,
call_up5.price,
leg_name='call_up5_short_leg'),
Transaction(call_up9,
self.date,
1.0,
call_up9.price,
leg_name='call_up9_long_leg'),
]
if self._direction == -1:
# the bearish BW long the -9 put, short the -5 put , short the future, long the + 5 call
call_up5 = opt_chain[5].C
put_dn9 = opt_chain[-9].P
put_dn5 = opt_chain[-5].P
return [
Transaction(call_up5,
self.date,
1.0,
call_up5.price,
leg_name='opt_otm_leg'),
Transaction(fut,
self.date,
-1.0,
fut.price,
leg_name='fut_leg'),
Transaction(put_dn9,
self.date,
1.0,
put_dn9.price,
leg_name='put_dn9_long_leg'),
Transaction(put_dn5,
self.date,
-1.0,
put_dn5.price,
leg_name='put_dn5_short_leg'),
]
def process_day(self):
"""
Main EXO's position management method
:return: list of Transactions to process
"""
# Get cont futures price for EXO
exo_df, exo_info = self.datasource.exostorage.load_series(
"{0}_ContFut".format(self._symbol))
regime = self.ichimoku_regimes(exo_df['exo'])
trans_list = []
if regime is None and len(self.position) > 0:
return self.position.close_all_translist()
if regime == 1 and 'bullish' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
trans_list += [
Transaction(fut,
self.date,
15.0,
fut.price,
leg_name='bullish'),
]
return trans_list
if regime == -1 and 'bearish' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
trans_list += [
Transaction(fut, self.date, 1.0, fut.price,
leg_name='bearish'),
]
return trans_list
if regime == 0 and 'neutral' not in self.position.legs:
# Close all
trans_list += self.position.close_all_translist()
instr = self.datasource.get(self._symbol, self.date)
rh = RolloverHelper(instr)
fut, opt_chain = rh.get_active_chains()
trans_list += [
Transaction(fut, self.date, 5.0, fut.price,
leg_name='neutral'),
]
return trans_list
return []
