def update_options_price_database_from_cme_files(**kwargs):
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
if not exp.is_business_day(double_date=settle_date):
if close_connection_before_exit:
con.close()
return
data_read_out = {}
data_read_out['commodity'] = rcf.read_cme_settle_txt_files(
file_name='commodity', report_date=settle_date)
data_read_out['equity'] = rcf.read_cme_settle_txt_files(
file_name='equity', report_date=settle_date)
data_read_out['fx'] = rcf.read_cme_settle_txt_files(
file_name='fx', report_date=settle_date)
data_read_out['interest_rate'] = rcf.read_cme_settle_txt_files(
file_name='interest_rate', report_date=settle_date)
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
for i in range(len(options_frame.index)):
ticker = options_frame['ticker'].iloc[i]
expiration_date = options_frame['expiration_date'].iloc[i]
update_options_price_database_from_cme_files_4ticker(
ticker=ticker,
expiration_date=expiration_date,
data_read_out=data_read_out,
**kwargs)
if close_connection_before_exit:
con.close()
def update_options_price_database_from_cme_files(**kwargs):
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
if not exp.is_business_day(double_date=settle_date):
if close_connection_before_exit:
con.close()
return
data_read_out = {}
data_read_out['commodity'] = rcf.read_cme_settle_txt_files(file_name='commodity', report_date=settle_date)
data_read_out['equity'] = rcf.read_cme_settle_txt_files(file_name='equity', report_date=settle_date)
data_read_out['fx'] = rcf.read_cme_settle_txt_files(file_name='fx', report_date=settle_date)
data_read_out['interest_rate'] = rcf.read_cme_settle_txt_files(file_name='interest_rate', report_date=settle_date)
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
for i in range(len(options_frame.index)):
ticker = options_frame['ticker'].iloc[i]
expiration_date = options_frame['expiration_date'].iloc[i]
print(ticker)
update_options_price_database_from_cme_files_4ticker(ticker=ticker,
expiration_date=expiration_date,
data_read_out=data_read_out,
**kwargs)
if close_connection_before_exit:
con.close()
def update_options_price_database_from_cme_files_4ticker(**kwargs):
ticker = kwargs['ticker']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
ticker_month_num = contract_specs_output['ticker_month_num']
ticker_year = contract_specs_output['ticker_year']
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
kwargs['report_date'] = settle_date
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
kwargs['report_date'] = settle_date
if not exp.is_business_day(double_date=settle_date,
reference_tickerhead=ticker_head):
return
if 'expiration_date' in kwargs.keys():
expiration_date = kwargs['expiration_date']
else:
expiration_date = exp.get_options_expiration(ticker)
expiration_date = expiration_date.date()
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
if 'cal_dte' in kwargs.keys():
cal_dte = kwargs['cal_dte']
else:
cal_dte = (expiration_date - settle_datetime.date()).days
if 'tr_dte' in kwargs.keys():
tr_dte = kwargs['tr_dte']
else:
bday_us = CustomBusinessDay(
calendar=exp.get_calendar_4ticker_head(ticker_head))
dts = pd.date_range(start=settle_datetime,
end=expiration_date,
freq=bday_us)
tr_dte = len(
[x for x in dts if x.to_pydatetime().date() < expiration_date])
data_vendor_id = 2
now = dt.datetime.now()
con = msu.get_my_sql_connection(**kwargs)
process_output = pco.process_cme_options_4ticker(**kwargs)
if process_output['success']:
settle_frame = process_output['settle_frame']
else:
if 'con' not in kwargs.keys():
con.close()
return
column_names = settle_frame.columns.tolist()
option_type_indx = column_names.index('option_type')
strike_indx = column_names.index('strike')
settle_indx = column_names.index('settle')
volume_indx = column_names.index('volume')
interest_indx = column_names.index('interest')
tuples = [
tuple([
data_vendor_id, ticker_head, ticker_month_num, ticker_year, ticker,
x[option_type_indx], x[strike_indx],
settle_datetime.date(), cal_dte, tr_dte, now, now,
None if np.isnan(x[settle_indx]) else x[settle_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
None if np.isnan(x[interest_indx]) else x[interest_indx]
]) for x in settle_frame.values
]
column_str = "data_vendor_id, ticker_head, ticker_month, ticker_year, ticker, " \
" option_type, strike, price_date, cal_dte, tr_dte, " \
" created_date,last_updated_date, close_price, volume, open_interest"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO daily_option_price (%s) VALUES (%s)" % (
column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if 'con' not in kwargs.keys():
con.close()
def update_futures_price_database_from_cme_file(**kwargs):
ticker_head_list = cmi.cme_futures_tickerhead_list
import time
con = msu.get_my_sql_connection(**kwargs)
if 'settle_date' in kwargs.keys():
run_date = kwargs['settle_date']
else:
run_date = int(time.strftime('%Y%m%d'))
#run_date = 20160225
data_vendor_id = 2
now = datetime.datetime.now()
run_datetime = cu.convert_doubledate_2datetime(run_date)
for ticker_head in ticker_head_list:
#print(ticker_head)
contract_list = []
bday_us = CustomBusinessDay(calendar=exp.get_calendar_4ticker_head(ticker_head))
if not exp.is_business_day(double_date=run_date, reference_tickerhead=ticker_head):
continue
cme_output = pcf.process_cme_futures_4tickerhead(ticker_head=ticker_head, report_date=run_date)
settle_frame = cme_output['settle_frame']
for ticker_month in cmi.futures_contract_months[ticker_head]:
ticker_month_num = cmi.letter_month_string.find(ticker_month)+1
max_cal_dte = cmi.get_max_cal_dte(ticker_head=ticker_head, ticker_month=ticker_month_num)
contract_list.extend(cl.get_db_contract_list_filtered(expiration_date_from=run_date,
expiration_date_to=cu.doubledate_shift(run_date, -max_cal_dte),
ticker_head=ticker_head, ticker_month=ticker_month_num, con=con,
instrument='futures'))
contract_frame = pd.DataFrame(contract_list, columns=['symbol_id', 'ticker', 'expiration_date'])
merged_frame = pd.merge(contract_frame,settle_frame, how='inner', on='ticker')
merged_frame.sort('expiration_date', ascending=True, inplace=True)
column_names = merged_frame.columns.tolist()
symbol_id_indx = column_names.index('symbol_id')
ticker_month_indx = column_names.index('ticker_month')
open_indx = column_names.index('open')
high_indx = column_names.index('high')
low_indx = column_names.index('low')
settle_indx = column_names.index('settle')
volume_indx = column_names.index('volume')
interest_indx = column_names.index('interest')
expiration_indx = column_names.index('expiration_date')
dts = pd.date_range(start=run_datetime, end=merged_frame['expiration_date'].iloc[-1], freq=bday_us)
tuples = [tuple([data_vendor_id, x[symbol_id_indx],
ticker_head,
x[ticker_month_indx],
run_datetime.date(),
(x[expiration_indx]-run_datetime.date()).days,
len([y for y in dts if y.to_datetime().date() < x[expiration_indx]]),
now, now,
None if np.isnan(x[open_indx]) else x[open_indx],
None if np.isnan(x[high_indx]) else x[high_indx],
None if np.isnan(x[low_indx]) else x[low_indx],
None if np.isnan(x[settle_indx]) else x[settle_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
None if np.isnan(x[interest_indx]) else x[interest_indx]]) for x in merged_frame.values]
column_str = "data_vendor_id, symbol_id, ticker_head, ticker_month, price_date,cal_dte, tr_dte, created_date,last_updated_date, open_price, high_price, low_price, close_price, volume, open_interest"
insert_str = ("%s, " * 15)[:-2]
final_str = "REPLACE INTO daily_price (%s) VALUES (%s)" % (column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if 'con' not in kwargs.keys():
con.close()
def load_pnls_4settle_date(**kwargs):
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
con = kwargs['con']
if not exp.is_business_day(double_date=kwargs['settle_date']):
if close_connection_before_exit:
con.close()
return
settle_date_ex = exp.doubledate_shift_bus_days(
double_date=kwargs['settle_date'], shift_in_days=7)
indicator_frame = ops.get_option_ticker_indicators(
settle_date=settle_date_ex,
delta=0.5,
column_names=['id', 'ticker', 'price_date', 'tr_dte', 'ticker_head'])
if indicator_frame.empty:
if close_connection_before_exit:
con.close()
return
indicator_frame.reset_index(drop=True, inplace=True)
delta_vol_output = [
ops.calc_delta_vol_4ticker(ticker=x,
settle_date=settle_date_ex,
delta_target=0.5)
for x in indicator_frame['ticker']
]
delta_vol_output = pd.DataFrame(delta_vol_output)
indicator_frame['option_pnl5'] = delta_vol_output['option_pnl5']
indicator_frame['delta_pnl5'] = delta_vol_output['delta_pnl5']
indicator_frame.dropna(inplace=True)
column_names = indicator_frame.columns.tolist()
#indicator_frame['option_pnl5'] = indicator_frame['option_pnl5'].astype(object)
#indicator_frame['delta_pnl5'] = indicator_frame['delta_pnl5'].astype(object)
id_indx = column_names.index('id')
option_pnl_indx = column_names.index('option_pnl5')
delta_pnl_indx = column_names.index('delta_pnl5')
tuples = [
tuple([x[option_pnl_indx], x[delta_pnl_indx], x[id_indx]])
for x in indicator_frame.values
]
final_str = "UPDATE option_ticker_indicators SET option_pnl5 = %s, delta_pnl5 = %s WHERE id=%s"
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if close_connection_before_exit:
con.close()
def load_ticker_signals_4settle_date(**kwargs):
if 'con' not in kwargs.keys():
close_connection_before_exit = True
con = msu.get_my_sql_connection(**kwargs)
kwargs['con'] = con
else:
close_connection_before_exit = False
con = kwargs['con']
if not exp.is_business_day(double_date=kwargs['settle_date']):
if close_connection_before_exit:
con.close()
return
options_frame = cl.generate_liquid_options_list_dataframe(**kwargs)
futures_data_dictionary = {
x: gfp.get_futures_price_preloaded(ticker_head=x)
for x in cmi.get_tickerhead_list('cme_futures')
}
real_vol_output = [
ops.calc_realized_vol_4options_ticker(
ticker=x,
futures_data_dictionary=futures_data_dictionary,
settle_date=kwargs['settle_date']) for x in options_frame['ticker']
]
delta_vol_output = [
ops.calc_delta_vol_4ticker(ticker=x,
settle_date=kwargs['settle_date'],
delta_target=0.5)
for x in options_frame['ticker']
]
volume_interest_output = [
ops.calc_volume_interest_4ticker(ticker=x,
settle_date=kwargs['settle_date'])
for x in options_frame['ticker']
]
atm_vol_frame = pd.concat([
options_frame,
pd.DataFrame(delta_vol_output),
pd.DataFrame(volume_interest_output)
],
axis=1)
atm_vol_frame['real_vol'] = real_vol_output
contract_specs_output = [
cmi.get_contract_specs(x) for x in atm_vol_frame['ticker']
]
atm_vol_frame['ticker_head'] = [
x['ticker_head'] for x in contract_specs_output
]
atm_vol_frame['ticker_month'] = [
x['ticker_month_num'] for x in contract_specs_output
]
atm_vol_frame['ticker_year'] = [
x['ticker_year'] for x in contract_specs_output
]
column_names = atm_vol_frame.columns.tolist()
ticker_indx = column_names.index('ticker')
cal_dte_indx = column_names.index('cal_dte')
tr_dte_indx = column_names.index('tr_dte')
ticker_head_indx = column_names.index('ticker_head')
ticker_month_indx = column_names.index('ticker_month')
ticker_year_indx = column_names.index('ticker_year')
imp_vol_indx = column_names.index('delta_vol')
strike_indx = column_names.index('strike')
theta_indx = column_names.index('theta')
open_interest_indx = column_names.index('open_interest')
volume_indx = column_names.index('volume')
real_vol_indx = column_names.index('real_vol')
now = dt.datetime.now()
settle_datetime = cu.convert_doubledate_2datetime(kwargs['settle_date'])
tuples = [
tuple([
x[ticker_indx], x[ticker_head_indx], x[ticker_month_indx],
x[ticker_year_indx],
None if np.isnan(x[cal_dte_indx]) else x[cal_dte_indx],
None if np.isnan(x[tr_dte_indx]) else x[tr_dte_indx],
None if np.isnan(x[imp_vol_indx]) else 100 * x[imp_vol_indx], 0.5,
None if np.isnan(x[theta_indx]) else x[theta_indx],
None if np.isnan(x[strike_indx]) else x[strike_indx],
None if np.isnan(x[real_vol_indx]) else x[real_vol_indx],
None if np.isnan(x[open_interest_indx]) else x[open_interest_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
settle_datetime.date(), now, now
]) for x in atm_vol_frame.values
]
column_str = "ticker, ticker_head, ticker_month, ticker_year, " \
" cal_dte, tr_dte, imp_vol, delta, theta, strike, " \
"close2close_vol20, open_interest, volume, price_date, created_date, last_updated_date"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO option_ticker_indicators (%s) VALUES (%s)" % (
column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
load_pnls_4settle_date(**kwargs)
if close_connection_before_exit:
con.close()
def update_options_price_database_from_cme_files_4ticker(**kwargs):
ticker = kwargs['ticker']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
ticker_month_num = contract_specs_output['ticker_month_num']
ticker_year = contract_specs_output['ticker_year']
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
kwargs['report_date'] = settle_date
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
kwargs['report_date'] = settle_date
if not exp.is_business_day(double_date=settle_date, reference_tickerhead=ticker_head):
return
if 'expiration_date' in kwargs.keys():
expiration_date = kwargs['expiration_date']
else:
expiration_date = exp.get_options_expiration(ticker)
expiration_date = expiration_date.date()
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
if 'cal_dte' in kwargs.keys():
cal_dte = kwargs['cal_dte']
else:
cal_dte = (expiration_date-settle_datetime.date()).days
if 'tr_dte' in kwargs.keys():
tr_dte = kwargs['tr_dte']
else:
bday_us = CustomBusinessDay(calendar=exp.get_calendar_4ticker_head(ticker_head))
dts = pd.date_range(start=settle_datetime, end=expiration_date, freq=bday_us)
tr_dte = len([x for x in dts if x.to_datetime().date() < expiration_date])
data_vendor_id = 2
now = dt.datetime.now()
con = msu.get_my_sql_connection(**kwargs)
process_output = pco.process_cme_options_4ticker(**kwargs)
if process_output['success']:
settle_frame = process_output['settle_frame']
else:
if 'con' not in kwargs.keys():
con.close()
return
column_names = settle_frame.columns.tolist()
option_type_indx = column_names.index('option_type')
strike_indx = column_names.index('strike')
settle_indx = column_names.index('settle')
volume_indx = column_names.index('volume')
interest_indx = column_names.index('interest')
tuples = [tuple([data_vendor_id, ticker_head, ticker_month_num, ticker_year,
ticker, x[option_type_indx],x[strike_indx],settle_datetime.date(),
cal_dte, tr_dte, now, now,
None if np.isnan(x[settle_indx]) else x[settle_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
None if np.isnan(x[interest_indx]) else x[interest_indx]]) for x in settle_frame.values]
column_str = "data_vendor_id, ticker_head, ticker_month, ticker_year, ticker, " \
" option_type, strike, price_date, cal_dte, tr_dte, " \
" created_date,last_updated_date, close_price, volume, open_interest"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO daily_option_price (%s) VALUES (%s)" % (column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if 'con' not in kwargs.keys():
con.close()