def get(self, item, date):
"""
Gets contract instance
:param item: Contract hash code or Instrument name
:param date: current date
:return: Instrument / FutureContract / OptionContract class instance
"""
if isinstance(item, int):
#
# Get item by hash instrument, or future, or option
#
if item < FUT_HASH_ROOT:
raise NotImplementedError("Unknown asset hash")
elif item < FUT_HASH_ROOT + HASH_ROOT_STEP:
# Get future contract
# Fetch contracts meta information from asset index
fut_contract_dic = self.assetindex.get_future_contract(item - FUT_HASH_ROOT)
instr_dic = self.assetindex.get_instrument(fut_contract_dic['idinstrument'])
# Creating contract classes
instr = Instrument(self, instr_dic, date, self.futures_limit, self.options_limit)
fut = FutureContract(fut_contract_dic, instr)
assert fut.__hash__() == item
return fut
elif item < OPT_HASH_ROOT + HASH_ROOT_STEP:
# Get option contract
# Fetch contracts meta information from asset index
opt_contract_dic = self.assetindex.get_option_contract(item - OPT_HASH_ROOT)
fut_contract_dic = self.assetindex.get_future_contract(opt_contract_dic['idcontract'])
instr_dic = self.assetindex.get_instrument(fut_contract_dic['idinstrument'])
# Creating contract classes
instr = Instrument(self, instr_dic, date, self.futures_limit, self.options_limit)
fut = FutureContract(fut_contract_dic, instr)
opt = OptionContract(opt_contract_dic, fut)
assert opt.__hash__() == item
return opt
else:
raise NotImplementedError("Unknown asset hash")
else:
#
# Fetch Instrument by symbol name sting
#
data_dict = self.assetindex.get_instrument_info(item)
return Instrument(self, data_dict, date, self.futures_limit, self.options_limit)
def test_putcallpair_addoption_call_error_onduplicate(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
pair.addoption(option_contract_call)
self.assertEqual(pair._put, self.option_contract_put)
self.assertEqual(pair._call, option_contract_call)
self.assertRaises(ValueError, pair.addoption, option_contract_call)
def test_putcallpair_has_repr(self):
pair = PutCallPair()
pair.addoption(self.option_contract_put)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
pair.addoption(option_contract_call)
self.assertEqual(
pair.__repr__(),
"{0} {1} / {2}".format(pair.strike, pair.call.name, pair.put.name))
def test_putcallpair_has_underlying(self):
pair = PutCallPair()
self.assertEqual(None, pair.underlying)
pair.addoption(self.option_contract_put)
self.assertEqual(self.fut_contract, pair.underlying)
opt_contract_dict_call = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract_call = OptionContract(opt_contract_dict_call,
self.fut_contract)
pair = PutCallPair()
pair.addoption(option_contract_call)
self.assertEqual(self.fut_contract, pair.underlying)
def setUp(self):
self.instrument = Instrument
self.contract_dict = {
'_id': '577a4fa34b01f47f84cab23c',
'contractname': 'F.EPZ16',
'cqgsymbol': 'F.EPZ16',
'expirationdate': datetime(2016, 12, 16, 0, 0),
'idcontract': 6570,
'idinstrument': 11,
'month': 'Z',
'monthint': 12,
'year': 2016
}
self.fut_contract = FutureContract(self.contract_dict, self.instrument)
self.opt_contract_dict_put = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
self.option_contract_put = OptionContract(self.opt_contract_dict_put,
self.fut_contract)
def __init__(self, option_chain_dic, futures_contract, options_limit=0):
self._data = option_chain_dic
self._fut = futures_contract
self._options = OrderedDict()
self._atm_index = -1
self._options_limit = options_limit
self._expiration = self._data['_id']['date']
if options_limit > 0:
all_strikes = np.array(
sorted(
list(set([x['strikeprice']
for x in self._data['chain']]))))
atm_index = np.argmin(np.abs(all_strikes - self.underlying.price))
all_strikes = all_strikes[max(0, atm_index - options_limit):min(
len(self._data['chain']), atm_index + options_limit + 1)]
for opt_dic in self._data['chain']:
if options_limit > 0:
if opt_dic['strikeprice'] not in all_strikes:
continue
option = OptionContract(opt_dic, self._fut)
pc_pair = self._options.setdefault(option.strike, PutCallPair())
pc_pair.addoption(option)
self._strike_array = np.array(list(self._options.keys()))
def setUp(self):
self.assetindex = AssetIndexDicts()
self.symbol = 'EP'
self.date = datetime(2014, 1, 5, 0, 0, 0)
self.futures_limit = 12
self.datasource = DataSourceForTest(self.assetindex,
self.futures_limit, 0)
self.instrument = self.datasource.get(self.symbol, self.date)
self.contract_dict = {
'_id': '577a4fa34b01f47f84cab23c',
'contractname': 'F.EPZ16',
'cqgsymbol': 'F.EPZ16',
'expirationdate': datetime(2016, 12, 16, 0, 0),
'idcontract': 6570,
'idinstrument': 11,
'month': 'Z',
'monthint': 12,
'year': 2016
}
self.fut_contract = FutureContract(self.contract_dict, self.instrument)
self.opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
self.option_contract = OptionContract(self.opt_contract_dict,
self.fut_contract)
def test_optioncontract_has_riskfreerate(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
self.assertEqual(option_contract.riskfreerate, 0.255)
def test_optioncontract_has_price_caching(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
S = option_contract.underlying.price
self.assertEqual(2770.0, S)
T = option_contract.to_expiration_years
X = option_contract.strike
r = option_contract.riskfreerate
self.assertEqual(r, 0.255)
v = option_contract.iv
self.assertEqual(v, 0.356)
callputflag = option_contract.callorput
self.assertEqual(callputflag, 'C')
self.assertTrue(np.isnan(option_contract._option_price))
self.assertEqual(option_contract.price,
blackscholes(callputflag, S, X, T, r, v))
self.assertFalse(np.isnan(option_contract._option_price))
self.assertNotEqual(option_contract.price, 0)
self.assertFalse(np.isnan(option_contract._option_price))
def test_equality(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.assertEqual(option_contract, self.option_contract)
self.assertFalse(option_contract is None)
self.assertNotEqual(option_contract, None)
def test_constructor(self):
opt_contract = OptionContract(self.opt_contract_dict,
self.fut_contract)
self.assertEqual(type(opt_contract._data), dict)
self.assertEqual(type(opt_contract._future_contract), FutureContract)
class OptionContractTestCase(unittest.TestCase):
def setUp(self):
self.assetindex = AssetIndexDicts()
self.symbol = 'EP'
self.date = datetime(2014, 1, 5, 0, 0, 0)
self.futures_limit = 12
self.datasource = DataSourceForTest(self.assetindex,
self.futures_limit, 0)
self.instrument = self.datasource.get(self.symbol, self.date)
self.contract_dict = {
'_id': '577a4fa34b01f47f84cab23c',
'contractname': 'F.EPZ16',
'cqgsymbol': 'F.EPZ16',
'expirationdate': datetime(2016, 12, 16, 0, 0),
'idcontract': 6570,
'idinstrument': 11,
'month': 'Z',
'monthint': 12,
'year': 2016
}
self.fut_contract = FutureContract(self.contract_dict, self.instrument)
self.opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
self.option_contract = OptionContract(self.opt_contract_dict,
self.fut_contract)
def test_constructor(self):
opt_contract = OptionContract(self.opt_contract_dict,
self.fut_contract)
self.assertEqual(type(opt_contract._data), dict)
self.assertEqual(type(opt_contract._future_contract), FutureContract)
def test_optioncontract_has_name(self):
self.assertEqual(self.option_contract.name,
self.opt_contract_dict['optionname'])
def test_optioncontract_has_underlying(self):
self.assertEqual(self.option_contract.underlying, self.fut_contract)
def test_optioncontract_has_strike(self):
self.assertEqual(self.option_contract.strike,
self.opt_contract_dict['strikeprice'])
def test_optioncontract_has_instrument(self):
self.assertEqual(self.option_contract.instrument, self.instrument)
def test_optioncontract_has_expiration(self):
self.assertEqual(self.option_contract.expiration,
self.opt_contract_dict['expirationdate'])
def test_optioncontract_has_callorput_uppercase(self):
self.assertEqual(self.option_contract.callorput, 'P')
def test_optioncontract_has_putorcall_uppercase(self):
self.assertEqual(self.option_contract.putorcall, 'P')
def test_optioncontract_has_dbid(self):
self.assertEqual(self.option_contract.dbid,
self.opt_contract_dict['idoption'])
def test_optioncontract_has_date(self):
self.assertEqual(self.option_contract.date, self.date)
def test_optioncontract_has_toexpiration_years(self):
self.assertEqual(
self.option_contract.to_expiration_years,
(self.option_contract.expiration - self.date).total_seconds() /
(365.0 * 24 * 60 * 60))
def test_optioncontract_has_toexpiration_days(self):
self.assertEqual(
self.option_contract.to_expiration_days,
(self.option_contract.expiration - self.date).total_seconds() /
(24 * 60 * 60))
def test_optioncontract_has_toexpiration_days_iszero_on_expiration_time(
self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
self.assertEqual(option_contract.to_expiration_days, 0)
def test_optioncontract_has_toexpiration_days_iszero_integer(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 20, 9, 30, 0)
self.assertEqual(option_contract.to_expiration_days, 1)
def test_optioncontract_has_toexpiration_years_iszero_on_expiration_time(
self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
self.assertEqual(option_contract.to_expiration_years, 0)
def test_optioncontract_has_riskfreerate(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
self.assertEqual(option_contract.riskfreerate, 0.255)
def test_optioncontract_has_iv_and_caching(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
self.assertEqual(option_contract._option_price_data, None)
self.assertEqual(option_contract.iv, 0.356)
self.assertNotEqual(option_contract._option_price_data, None)
def test_optioncontract_has_price_put(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
S = option_contract.underlying.price
self.assertEqual(2770.0, S)
T = option_contract.to_expiration_years
X = option_contract.strike
r = option_contract.riskfreerate
self.assertEqual(r, 0.255)
v = option_contract.iv
self.assertEqual(v, 0.356)
callputflag = option_contract.callorput
self.assertEqual(callputflag, 'P')
self.assertEqual(option_contract.price,
blackscholes(callputflag, S, X, T, r, v))
self.assertNotEqual(option_contract.price, 0)
def test_optioncontract_has_price_call(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
S = option_contract.underlying.price
self.assertEqual(2770.0, S)
T = option_contract.to_expiration_years
X = option_contract.strike
r = option_contract.riskfreerate
self.assertEqual(r, 0.255)
v = option_contract.iv
self.assertEqual(v, 0.356)
callputflag = option_contract.callorput
self.assertEqual(callputflag, 'C')
self.assertEqual(option_contract.price,
blackscholes(callputflag, S, X, T, r, v))
self.assertNotEqual(option_contract.price, 0)
def test_optioncontract_has_price_caching(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'c',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.instrument.date = datetime(2014, 3, 21, 9, 30, 0)
S = option_contract.underlying.price
self.assertEqual(2770.0, S)
T = option_contract.to_expiration_years
X = option_contract.strike
r = option_contract.riskfreerate
self.assertEqual(r, 0.255)
v = option_contract.iv
self.assertEqual(v, 0.356)
callputflag = option_contract.callorput
self.assertEqual(callputflag, 'C')
self.assertTrue(np.isnan(option_contract._option_price))
self.assertEqual(option_contract.price,
blackscholes(callputflag, S, X, T, r, v))
self.assertFalse(np.isnan(option_contract._option_price))
self.assertNotEqual(option_contract.price, 0)
self.assertFalse(np.isnan(option_contract._option_price))
def test_optioncontract_has_pointvalue(self):
self.assertEqual(self.option_contract.pointvalue,
self.instrument.point_value_options)
def test_optioncontract_as_dict(self):
self.assertEqual(
{
'name': self.option_contract.name,
'dbid': self.option_contract.dbid,
'type': 'O',
'hash': self.option_contract.__hash__()
}, self.option_contract.as_dict())
def test_optioncontract_hash(self):
self.assertEqual(200000000 + self.option_contract.dbid,
self.option_contract.__hash__())
def test_equality(self):
opt_contract_dict = {
'_id': '577a573e4b01f47f84d0cbd5',
'callorput': 'p',
'cqgsymbol': 'P.US.EPH1427750',
'expirationdate': datetime(2014, 3, 21, 0, 0),
'idcontract': 4736,
'idinstrument': 11,
'idoption': 11558454,
'optionmonth': 'H',
'optionmonthint': 3,
'optionname': 'P.US.EPH1427750',
'optionyear': 2014,
'strikeprice': 2775.0
}
option_contract = OptionContract(opt_contract_dict, self.fut_contract)
self.assertEqual(option_contract, self.option_contract)
self.assertFalse(option_contract is None)
self.assertNotEqual(option_contract, None)