def get_primary_instrument_id(db_session, instrument_id, trade_date,
is_primary):
if InstrumentService.is_commodity_variety_type(db_session,
instrument_id):
# 如果传入的是大宗合约类型, 则直接获取当天的主力合约代码
variety_type = instrument_id
else:
if is_primary is False:
return instrument_id
# 如果传入的是具体的大宗标的代码, 则直接获取当天的主力合约代码
variety_type = InstrumentService.get_commodity_variety_type(
db_session, instrument_id)
# 如果获取到的合约种类为空, 则说明该标的不是大宗商品, 直接返回标的代码
if variety_type is None:
instrument = InstrumentRepo.get_instrument(db_session,
instrument_id)
if instrument is None:
raise CustomException('不支持标的%s' % instrument_id)
return instrument_id
else:
future_contract = CommodityFutureContractRepo.get_commodity_future_contract(
db_session, variety_type, trade_date)
if future_contract is None or future_contract.primaryContractId is None:
raise CustomException(
"合约类型%s在%s下无主力合约数据" %
(variety_type, DateTimeUtils.date2str(trade_date)))
return future_contract.primaryContractId
def get_instrument_quote_close_list_by_period(db_session, instrument_id, start_date, end_date, is_primary=False):
if not InstrumentService.is_commodity_variety_type(db_session, instrument_id):
variety_type = None
if is_primary:
# 如果是大宗商品标的，则直接使用variety_type
variety_type = InstrumentService.get_commodity_variety_type(db_session, instrument_id)
if variety_type is None:
instrument = InstrumentRepo.get_instrument(db_session, instrument_id)
if instrument is None:
raise CustomException('暂不支持标的物%s，请导入该标的物行情' % instrument_id)
quote_close_dbo_list = QuoteCloseRepo.\
get_instrument_quote_close_list_by_period(db_session, instrument_id, start_date, end_date)
else:
quote_close_dbo_list = QuoteCloseService.\
get_commodity_future_quote_close_list_by_period(db_session, variety_type, start_date, end_date)
else:
quote_close_dbo_list = QuoteCloseService.\
get_commodity_future_quote_close_list_by_period(db_session, instrument_id, start_date, end_date)
return QuoteCloseService.to_dtos(quote_close_dbo_list)
def get_instrument_atm_quote_list_by_period(db_session, underlyer,
start_date, end_date,
is_primary):
if not InstrumentService.is_commodity_variety_type(
db_session, underlyer):
variety_type = None
if is_primary:
# 如果是大宗商品标的，则直接使用variety_type
variety_type = InstrumentService.get_commodity_variety_type(
db_session, underlyer)
if variety_type is None:
instrument = InstrumentRepo.get_instrument(
db_session, underlyer)
if instrument is None:
raise CustomException('暂不支持标的物%s，请导入该标的物行情' % underlyer)
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_instrument_atm_quote_list_by_period(db_session, underlyer, start_date, end_date)
else:
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_commodity_future_atm_quote_list_by_period(db_session, variety_type, start_date, end_date)
else:
atm_quote_dbo_list = OtcAtmQuoteRepo.\
get_commodity_future_atm_quote_list_by_period(db_session, underlyer, start_date, end_date)
return OtcAtmQuoteService.to_dtos(atm_quote_dbo_list)
def calc_instrument_otc_implied_vol_points(
db_session,
instrument,
trade_date,
strike_type,
contract_order=FutureContractOrder.PRIMARY.name,
percents=[0.8, 0.9, 0.95, 1, 1.05, 1.1, 1.2]):
last_trade_date = trade_date
logging.info("现在计算%s的vol surface" % instrument)
quote_close_instrument = QuoteCloseService.get_instrument_quote_close_list_by_period(
db_session,
instrument,
last_trade_date,
last_trade_date,
is_primary=True)[0]
instrument = InstrumentRepo.get_instrument(db_session, instrument)
if not quote_close_instrument:
raise Exception('trading_date: %s, instrument_id: %s的收盘价信息为空' %
(instrument.instrumentId, last_trade_date))
if not quote_close_instrument.closePrice:
raise Exception('标的instrument_id: %s,trading_date: %s没有收盘价' %
(instrument.instrumentId, last_trade_date))
if strike_type is None:
strike_type = VolSurfaceStrikeType.PERCENT
if strike_type == VolSurfaceStrikeType.PERCENT:
# 根据 percentage 计算vor grid
percents = percents
elif strike_type == VolSurfaceStrikeType.STRIKE:
# 根据 strike 计算 vor grid ,需要获取instrument last_trade_date时的spot_price 也就是 quote_close表的close_price
percents = [
quote_close_instrument.closePrice * i for i in percents
]
instrument_id = instrument.instrumentId
start_date = TradingDayService.go_trading_day(db_session,
last_trade_date, 132, -1)
end_date = last_trade_date
default_windows = [44, 66, 132]
default_percentiles = [50]
realised_vol_dto_list, realised_vol_log = HistoricalVolService.calc_instrument_realized_vol(
db_session, instrument_id, last_trade_date, [1, 3, 5, 10, 22],
contract_order)
if realised_vol_log:
logging.warning(realised_vol_log)
realised_vol = {}
for item in realised_vol_dto_list:
realised_vol[item.window] = item.vol
rolling_vol_dto_list, rolling_vol_log = HistoricalVolService.calc_instrument_rolling_vol(
db_session, instrument_id, start_date, end_date, 22,
contract_order)
if rolling_vol_log:
logging.warning(rolling_vol_log)
vol_cone_dto_list, vol_cone_log = HistoricalVolService.calc_instrument_vol_cone(
db_session, instrument_id, start_date, end_date, default_windows,
default_percentiles, contract_order)
if vol_cone_log:
logging.warning(vol_cone_log)
vol_cone = {}
for item in vol_cone_dto_list:
vol_cone[item.window] = {}
for vol_item in item.vols:
vol_cone[item.window][vol_item.percentile] = vol_item.vol
# 按日期从小到大排序
rolling_vol_list = [
item.vol for item in sorted(
rolling_vol_dto_list, key=lambda x: x.tradeDate, reverse=True)
]
vol_surface = {
'2W':
(realised_vol[1] * 40 + realised_vol[3] * 20 + realised_vol[5] * 20
+ realised_vol[10] * 10 + realised_vol[22] * 10) / 100,
'1M': ((sum(rolling_vol_list) / len(rolling_vol_list)) * 30 +
realised_vol[1] * 30 + realised_vol[3] * 20 +
realised_vol[5] * 20) / 100,
'2M': (vol_cone[44][50] * 60 + realised_vol[1] * 10 +
realised_vol[22] * 30) / 100,
'3M': (vol_cone[66][50] * 80 + realised_vol[1] * 10 +
realised_vol[22] * 10) / 100,
'6M': (vol_cone[132][50] * 90 + realised_vol[1] * 5 +
realised_vol[22] * 5) / 100
}
dto_vol_surface = VolSurfaceDTO()
dto_vol_surface.instrumentId = instrument_id
dto_vol_surface.valuationDate = last_trade_date
dto_vol_surface.strikeType = strike_type.name
dto_vol_surface.instance = InstanceType.INTRADAY.name
# TODO WHAT IS T-A-G?
# dto_vol_surface.tag =
# get model_info
dto_model_info = VolSurfaceModelInfoDTO()
dto_model_info.daysInYear = 245
dto_model_info.modelName = 'TRADER_VOL'
dto_underlyer = VolSurfaceUnderlyerDTO()
dto_underlyer.instrumentId = instrument_id
dto_underlyer.quote = quote_close_instrument.closePrice
# dto_underlyer.field =
dto_underlyer.instance = InstanceType.INTRADAY.name
dto_model_info.underlyer = dto_underlyer
dto_model_info.save = True
dto_vol_grids = OtcModelService.calc_vol_grid_item(
vol_surface, percents)
dto_vol_grid_list = []
for tenor, quote in vol_surface.items():
dto_vol_grid = VolGridItemDTO()
# vol_grid_item.expiry =
dto_vol_grid.tenor = tenor
dto_vol_grid.vols = [
x.vols for x in dto_vol_grids if x.tenor == tenor
][0]
dto_vol_grid_list.append(dto_vol_grid)
dto_model_info.instruments = dto_vol_grid_list
dto_vol_surface.model_name = 'TRADER_VOL'
dto_vol_surface.field = 'LAST'
dto_vol_surface.modelInfo = dto_model_info
dto_fitting_model_list = []
for item in dto_model_info.instruments:
dto_fitting_model = FittingModelDTO()
dto_fitting_model.scatter = item.vols
dto_fitting_model.daysInYear = dto_model_info.daysInYear
dto_fitting_model_list.append(dto_fitting_model)
dto_vol_surface.fittingModels = dto_fitting_model_list
return dto_vol_surface
def get_commodity_variety_type(db_session, instrument_id):
instrument = InstrumentRepo.get_instrument(db_session, instrument_id)
# 不是大宗商品主力合约为空
if instrument is None:
return None
return instrument.contractType