def get_butterfly_panel_plot(**kwargs):
report_date = kwargs['report_date']
id = kwargs['id']
bf_output = fb.generate_futures_butterfly_sheet_4date(date_to=report_date)
butterflies = bf_output['butterflies']
contract_list = [butterflies['ticker1'][id], butterflies['ticker2'][id], butterflies['ticker3'][id]]
tr_dte_list = [butterflies['trDte1'][id], butterflies['trDte2'][id], butterflies['trDte3'][id]]
if 'aggregation_method' in kwargs.keys():
aggregation_method = kwargs['aggregation_method']
else:
aggregation_method = butterflies['agg'][id]
if 'contracts_back' in kwargs.keys():
contracts_back = kwargs['contracts_back']
else:
contracts_back = butterflies['cBack'][id]
post_report_date = exp.doubledate_shift_bus_days(double_date=report_date,shift_in_days=-20)
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=contract_list,
tr_dte_list=tr_dte_list,
aggregation_method=aggregation_method,
contracts_back=contracts_back,
date_to=post_report_date,
contract_multiplier=butterflies['multiplier'][id],
use_last_as_current=True)
aligned_data = bf_signals_output['aligned_output']['aligned_data']
new_index = list(range(len(aligned_data.index)))
contract_change_indx = (aligned_data['c1']['ticker_year']-aligned_data['c1']['ticker_year'].shift(1)!=0).values
front_contract_year = aligned_data['c1']['ticker_year'] % 10
contract_change_indx[0] = False
report_datetime = cu.convert_doubledate_2datetime(report_date)
x_index = [x for x in new_index if aligned_data['settle_date'][x] == report_datetime][0]
x_tick_locations = [x for x in new_index if contract_change_indx[x]]
x_tick_locations.append(x_index)
x_tick_values = [cmi.letter_month_string[aligned_data['c1']['ticker_month'].values[x]-1]+
str(front_contract_year.values[x]) for x in new_index if contract_change_indx[x]]
x_tick_values.append('X')
plt.figure(figsize=(16, 7))
plt.plot(aligned_data['residuals'])
plt.xticks(x_tick_locations,x_tick_values)
plt.grid()
plt.title('Contracts: ' + str(contract_list) + ', weight2: ' + str(bf_signals_output['second_spread_weight_1'].round(2)))
plt.show()
return bf_signals_output
def get_butterfly_panel_plot(**kwargs):
report_date = kwargs['report_date']
id = kwargs['id']
bf_output = fb.generate_futures_butterfly_sheet_4date(date_to=report_date)
butterflies = bf_output['butterflies']
contract_list = [butterflies['ticker1'][id], butterflies['ticker2'][id], butterflies['ticker3'][id]]
tr_dte_list = [butterflies['trDte1'][id], butterflies['trDte2'][id], butterflies['trDte3'][id]]
if 'aggregation_method' in kwargs.keys():
aggregation_method = kwargs['aggregation_method']
else:
aggregation_method = butterflies['agg'][id]
if 'contracts_back' in kwargs.keys():
contracts_back = kwargs['contracts_back']
else:
contracts_back = butterflies['cBack'][id]
post_report_date = exp.doubledate_shift_bus_days(double_date=report_date,shift_in_days=-20)
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=contract_list,
tr_dte_list=tr_dte_list,
aggregation_method=aggregation_method,
contracts_back=contracts_back,
date_to=post_report_date,
contract_multiplier=butterflies['multiplier'][id],
use_last_as_current=True)
aligned_data = bf_signals_output['aligned_output']['aligned_data']
new_index = list(range(len(aligned_data.index)))
contract_change_indx = (aligned_data['c1']['ticker_year']-aligned_data['c1']['ticker_year'].shift(1)!=0).values
front_contract_year = aligned_data['c1']['ticker_year'] % 10
contract_change_indx[0] = False
report_datetime = cu.convert_doubledate_2datetime(report_date)
x_index = [x for x in new_index if aligned_data['settle_date'][x] == report_datetime][0]
x_tick_locations = [x for x in new_index if contract_change_indx[x]]
x_tick_locations.append(x_index)
x_tick_values = [cmi.letter_month_string[aligned_data['c1']['ticker_month'].values[x]-1]+
str(front_contract_year.values[x]) for x in new_index if contract_change_indx[x]]
x_tick_values.append('X')
plt.figure(figsize=(16, 7))
plt.plot(aligned_data['residuals'])
plt.xticks(x_tick_locations,x_tick_values)
plt.grid()
plt.title('Contracts: ' + str(contract_list) + ', weight2: ' + str(bf_signals_output['second_spread_weight_1'].round(2)))
plt.show()
return bf_signals_output
def get_butterfly_scatter_plot(**kwargs):
report_date = kwargs['report_date']
id = kwargs['id']
bf_output = fb.generate_futures_butterfly_sheet_4date(date_to=report_date)
butterflies = bf_output['butterflies']
contract_list = [butterflies['ticker1'][id],butterflies['ticker2'][id],butterflies['ticker3'][id]]
tr_dte_list = [butterflies['trDte1'][id],butterflies['trDte2'][id],butterflies['trDte3'][id]]
if 'aggregation_method' in kwargs.keys():
aggregation_method = kwargs['aggregation_method']
else:
aggregation_method = butterflies['agg'][id]
if 'contracts_back' in kwargs.keys():
contracts_back = kwargs['contracts_back']
else:
contracts_back = butterflies['cBack'][id]
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=contract_list,
tr_dte_list=tr_dte_list,
aggregation_method=aggregation_method,
contracts_back=contracts_back,
date_to=report_date,
contract_multiplier=butterflies['multiplier'][id])
last5_years_indx = bf_signals_output['last5_years_indx']
yield1 = bf_signals_output['yield1']
yield2 = bf_signals_output['yield2']
yield1_current = bf_signals_output['yield1_current']
yield2_current = bf_signals_output['yield2_current']
yield1_last5_years = yield1[last5_years_indx]
yield2_last5_years = yield2[last5_years_indx]
plt.figure(figsize=(16,7))
plt.scatter(yield2, yield1, color='b')
plt.scatter(yield2_last5_years,yield1_last5_years, color='k')
plt.scatter(yield2_current, yield1_current, color='r')
plt.legend(['old', 'recent', 'last'], frameon=False)
plt.grid()
plt.show()
return bf_signals_output
def get_butterfly_scatter_plot(**kwargs):
report_date = kwargs['report_date']
id = kwargs['id']
bf_output = fb.generate_futures_butterfly_sheet_4date(date_to=report_date)
butterflies = bf_output['butterflies']
contract_list = [butterflies['ticker1'][id],butterflies['ticker2'][id],butterflies['ticker3'][id]]
tr_dte_list = [butterflies['trDte1'][id],butterflies['trDte2'][id],butterflies['trDte3'][id]]
if 'aggregation_method' in kwargs.keys():
aggregation_method = kwargs['aggregation_method']
else:
aggregation_method = butterflies['agg'][id]
if 'contracts_back' in kwargs.keys():
contracts_back = kwargs['contracts_back']
else:
contracts_back = butterflies['cBack'][id]
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=contract_list,
tr_dte_list=tr_dte_list,
aggregation_method=aggregation_method,
contracts_back=contracts_back,
date_to=report_date,
contract_multiplier=butterflies['multiplier'][id])
last5_years_indx = bf_signals_output['last5_years_indx']
yield1 = bf_signals_output['yield1']
yield2 = bf_signals_output['yield2']
yield1_current = bf_signals_output['yield1_current']
yield2_current = bf_signals_output['yield2_current']
yield1_last5_years = yield1[last5_years_indx]
yield2_last5_years = yield2[last5_years_indx]
plt.figure(figsize=(16,7))
plt.scatter(yield2, yield1, color='b')
plt.scatter(yield2_last5_years,yield1_last5_years, color='k')
plt.scatter(yield2_current, yield1_current, color='r')
plt.legend(['old', 'recent', 'last'], frameon=False)
plt.grid()
plt.show()
return bf_signals_output
def generate_futures_butterfly_sheet_4date(**kwargs):
date_to = kwargs['date_to']
output_dir = ts.create_strategy_output_dir(
strategy_class='futures_butterfly', report_date=date_to)
if os.path.isfile(output_dir + '/summary.pkl'):
butterflies = pd.read_pickle(output_dir + '/summary.pkl')
return {'butterflies': butterflies, 'success': True}
if 'volume_filter' not in kwargs.keys():
kwargs['volume_filter'] = 100
butterflies = get_futures_butterflies_4date(**kwargs)
butterflies = butterflies[butterflies['trDte1'] >= 35]
butterflies.reset_index(drop=True, inplace=True)
num_butterflies = len(butterflies)
q_list = [None] * num_butterflies
qf_list = [None] * num_butterflies
zscore1_list = [None] * num_butterflies
zscore2_list = [None] * num_butterflies
zscore3_list = [None] * num_butterflies
zscore4_list = [None] * num_butterflies
zscore5_list = [None] * num_butterflies
zscore6_list = [None] * num_butterflies
zscore7_list = [None] * num_butterflies
rsquared1_list = [None] * num_butterflies
rsquared2_list = [None] * num_butterflies
regime_change_list = [None] * num_butterflies
contract_seasonality_list = [None] * num_butterflies
yield1_list = [None] * num_butterflies
yield2_list = [None] * num_butterflies
bf_price_list = [None] * num_butterflies
bf_price_sell_limit_list = [None] * num_butterflies
bf_price_buy_limit_list = [None] * num_butterflies
noise_ratio_list = [None] * num_butterflies
alpha1_list = [None] * num_butterflies
alpha2_list = [None] * num_butterflies
residual_std1_list = [None] * num_butterflies
residual_std2_list = [None] * num_butterflies
second_spread_weight_1_list = [None] * num_butterflies
second_spread_weight_2_list = [None] * num_butterflies
weight1_list = [None] * num_butterflies
weight2_list = [None] * num_butterflies
weight3_list = [None] * num_butterflies
downside_list = [None] * num_butterflies
upside_list = [None] * num_butterflies
recent_5day_pnl_list = [None] * num_butterflies
recent_vol_ratio_list = [None] * num_butterflies
theo_pnl_list = [None] * num_butterflies
theo_pnl5_list = [None] * num_butterflies
theo_pnl10_list = [None] * num_butterflies
theo_pnl15_list = [None] * num_butterflies
theo_pnl20_list = [None] * num_butterflies
theo_pnl25_list = [None] * num_butterflies
ratio_target5_list = [None] * num_butterflies
ratio_target10_list = [None] * num_butterflies
ratio_target15_list = [None] * num_butterflies
ratio_target20_list = [None] * num_butterflies
ratio_target25_list = [None] * num_butterflies
price_1_list = [None] * num_butterflies
price_2_list = [None] * num_butterflies
price_3_list = [None] * num_butterflies
mean_reversion_rsquared_list = [None] * num_butterflies
mean_reversion_signif_list = [None] * num_butterflies
futures_data_dictionary = {
x: gfp.get_futures_price_preloaded(ticker_head=x)
for x in cmi.futures_butterfly_strategy_tickerhead_list
}
date5_years_ago = cu.doubledate_shift(date_to, 5 * 365)
datetime5_years_ago = cu.convert_doubledate_2datetime(date5_years_ago)
for i in range(num_butterflies):
bf_signals_output = fs.get_futures_butterfly_signals(
ticker_list=[
butterflies['ticker1'][i], butterflies['ticker2'][i],
butterflies['ticker3'][i]
],
tr_dte_list=[
butterflies['trDte1'][i], butterflies['trDte2'][i],
butterflies['trDte3'][i]
],
aggregation_method=butterflies['agg'][i],
contracts_back=butterflies['cBack'][i],
date_to=date_to,
futures_data_dictionary=futures_data_dictionary,
contract_multiplier=butterflies['multiplier'][i],
datetime5_years_ago=datetime5_years_ago)
if not bf_signals_output['success']:
continue
q_list[i] = bf_signals_output['q']
qf_list[i] = bf_signals_output['qf']
zscore1_list[i] = bf_signals_output['zscore1']
zscore2_list[i] = bf_signals_output['zscore2']
zscore3_list[i] = bf_signals_output['zscore3']
zscore4_list[i] = bf_signals_output['zscore4']
zscore5_list[i] = bf_signals_output['zscore5']
zscore6_list[i] = bf_signals_output['zscore6']
zscore7_list[i] = bf_signals_output['zscore7']
rsquared1_list[i] = bf_signals_output['rsquared1']
rsquared2_list[i] = bf_signals_output['rsquared2']
regime_change_list[i] = bf_signals_output['regime_change_ind']
contract_seasonality_list[i] = bf_signals_output[
'contract_seasonality_ind']
yield1_list[i] = bf_signals_output['yield1_current']
yield2_list[i] = bf_signals_output['yield2_current']
bf_price_list[i] = bf_signals_output['bf_price']
bf_price_sell_limit_list[i] = bf_signals_output['short_price_limit']
bf_price_buy_limit_list[i] = bf_signals_output['long_price_limit']
noise_ratio_list[i] = bf_signals_output['noise_ratio']
alpha1_list[i] = bf_signals_output['alpha1']
alpha2_list[i] = bf_signals_output['alpha2']
residual_std1_list = bf_signals_output['residual_std1']
residual_std2_list = bf_signals_output['residual_std2']
second_spread_weight_1_list[i] = bf_signals_output[
'second_spread_weight_1']
second_spread_weight_2_list[i] = bf_signals_output[
'second_spread_weight_2']
weight1_list[i] = bf_signals_output['weight1']
weight2_list[i] = bf_signals_output['weight2']
weight3_list[i] = bf_signals_output['weight3']
downside_list[i] = bf_signals_output['downside']
upside_list[i] = bf_signals_output['upside']
recent_5day_pnl_list[i] = bf_signals_output['recent_5day_pnl']
recent_vol_ratio_list[i] = bf_signals_output['recent_vol_ratio']
theo_pnl_list[i] = bf_signals_output['theo_pnl']
theo_pnl5_list[i] = bf_signals_output['theo_pnl_list'][0]
theo_pnl10_list[i] = bf_signals_output['theo_pnl_list'][1]
theo_pnl15_list[i] = bf_signals_output['theo_pnl_list'][2]
theo_pnl20_list[i] = bf_signals_output['theo_pnl_list'][3]
theo_pnl25_list[i] = bf_signals_output['theo_pnl_list'][4]
ratio_target5_list[i] = bf_signals_output['ratio_target_list'][0]
ratio_target10_list[i] = bf_signals_output['ratio_target_list'][1]
ratio_target15_list[i] = bf_signals_output['ratio_target_list'][2]
ratio_target20_list[i] = bf_signals_output['ratio_target_list'][3]
ratio_target25_list[i] = bf_signals_output['ratio_target_list'][4]
price_1_list[i] = bf_signals_output['price_1']
price_2_list[i] = bf_signals_output['price_2']
price_3_list[i] = bf_signals_output['price_3']
mean_reversion_rsquared_list[i] = bf_signals_output[
'mean_reversion_rsquared']
mean_reversion_signif_list[i] = bf_signals_output[
'mean_reversion_signif']
butterflies['Q'] = q_list
butterflies['QF'] = qf_list
butterflies['z1'] = zscore1_list
butterflies['z2'] = zscore2_list
butterflies['z3'] = zscore3_list
butterflies['z4'] = zscore4_list
butterflies['z5'] = zscore5_list
butterflies['z6'] = zscore6_list
butterflies['z7'] = zscore7_list
butterflies['r1'] = rsquared1_list
butterflies['r2'] = rsquared2_list
butterflies['RC'] = regime_change_list
butterflies['seasonality'] = contract_seasonality_list
butterflies['yield1'] = yield1_list
butterflies['yield2'] = yield2_list
butterflies['bf_price'] = bf_price_list
butterflies['bf_sell_limit'] = bf_price_sell_limit_list
butterflies['bf_buy_limit'] = bf_price_buy_limit_list
butterflies['noise_ratio'] = noise_ratio_list
butterflies['alpha1'] = alpha1_list
butterflies['alpha2'] = alpha2_list
butterflies['residual_std1'] = residual_std1_list
butterflies['residual_std2'] = residual_std2_list
butterflies['second_spread_weight_1'] = second_spread_weight_1_list
butterflies['second_spread_weight_2'] = second_spread_weight_2_list
butterflies['weight1'] = weight1_list
butterflies['weight2'] = weight2_list
butterflies['weight3'] = weight3_list
butterflies['downside'] = downside_list
butterflies['upside'] = upside_list
butterflies['recent_5day_pnl'] = recent_5day_pnl_list
butterflies['recent_vol_ratio'] = recent_vol_ratio_list
butterflies['theo_pnl'] = theo_pnl_list
butterflies['theo_pnl5'] = theo_pnl5_list
butterflies['theo_pnl10'] = theo_pnl10_list
butterflies['theo_pnl15'] = theo_pnl15_list
butterflies['theo_pnl20'] = theo_pnl20_list
butterflies['theo_pnl25'] = theo_pnl25_list
butterflies['ratio_target5'] = ratio_target5_list
butterflies['ratio_target10'] = ratio_target10_list
butterflies['ratio_target15'] = ratio_target15_list
butterflies['ratio_target20'] = ratio_target20_list
butterflies['ratio_target25'] = ratio_target25_list
butterflies['price1'] = price_1_list
butterflies['price2'] = price_2_list
butterflies['price3'] = price_3_list
butterflies['mean_reversion_rsquared'] = mean_reversion_rsquared_list
butterflies['mean_reversion_signif'] = mean_reversion_signif_list
butterflies['z1'] = butterflies['z1'].round(2)
butterflies['z2'] = butterflies['z2'].round(2)
butterflies['z3'] = butterflies['z3'].round(2)
butterflies['z4'] = butterflies['z4'].round(2)
butterflies['z5'] = butterflies['z5'].round(2)
butterflies['z6'] = butterflies['z6'].round(2)
butterflies['z7'] = butterflies['z7'].round(2)
butterflies['r1'] = butterflies['r1'].round(2)
butterflies['r2'] = butterflies['r2'].round(2)
butterflies['RC'] = butterflies['RC'].round(2)
butterflies['seasonality'] = butterflies['seasonality'].round(2)
butterflies['second_spread_weight_1'] = butterflies[
'second_spread_weight_1'].round(2)
butterflies['second_spread_weight_2'] = butterflies[
'second_spread_weight_1'].round(2)
butterflies['yield1'] = butterflies['yield1'].round(3)
butterflies['yield2'] = butterflies['yield2'].round(3)
butterflies['noise_ratio'] = butterflies['noise_ratio'].round(3)
butterflies['alpha1'] = butterflies['alpha1'].round(3)
butterflies['alpha2'] = butterflies['alpha2'].round(3)
butterflies['residual_std1'] = butterflies['residual_std1'].round(3)
butterflies['residual_std2'] = butterflies['residual_std2'].round(3)
butterflies['downside'] = butterflies['downside'].round(3)
butterflies['upside'] = butterflies['upside'].round(3)
butterflies['recent_5day_pnl'] = butterflies['recent_5day_pnl'].round(3)
butterflies['recent_vol_ratio'] = butterflies['recent_vol_ratio'].round(2)
butterflies['theo_pnl'] = butterflies['theo_pnl'].round(3)
butterflies['price1'] = butterflies['price1'].round(4)
butterflies['price2'] = butterflies['price2'].round(4)
butterflies['price3'] = butterflies['price3'].round(4)
butterflies['mean_reversion_rsquared'] = butterflies[
'mean_reversion_rsquared'].round(2)
butterflies.to_pickle(output_dir + '/summary.pkl')
return {'butterflies': butterflies, 'success': True}
def get_results_4strategy(**kwargs):
signal_input = dict()
if 'futures_data_dictionary' in kwargs.keys():
signal_input['futures_data_dictionary'] = kwargs[
'futures_data_dictionary']
if 'date_to' in kwargs.keys():
date_to = kwargs['date_to']
else:
date_to = exp.doubledate_shift_bus_days()
if 'datetime5_years_ago' in kwargs.keys():
signal_input['datetime5_years_ago'] = kwargs['datetime5_years_ago']
if 'strategy_info_output' in kwargs.keys():
strategy_info_output = kwargs['strategy_info_output']
else:
strategy_info_output = ts.get_strategy_info_from_alias(**kwargs)
if 'broker' in kwargs.keys():
broker = kwargs['broker']
else:
broker = 'abn'
con = msu.get_my_sql_connection(**kwargs)
strategy_info_dict = sc.convert_from_string_to_dictionary(
string_input=strategy_info_output['description_string'])
strategy_class = strategy_info_dict['strategy_class']
pnl_frame = tpm.get_daily_pnl_snapshot(as_of_date=date_to, broker=broker)
pnl_frame = pnl_frame[pnl_frame['alias'] == kwargs['alias']]
strategy_position = ts.get_net_position_4strategy_alias(
alias=kwargs['alias'], as_of_date=date_to)
if strategy_class == 'futures_butterfly':
ticker_head = cmi.get_contract_specs(
strategy_info_dict['ticker1'])['ticker_head']
if not strategy_position.empty:
total_contracts2trade = strategy_position['qty'].abs().sum()
t_cost = cmi.t_cost[ticker_head]
QF_initial = float(strategy_info_dict['QF'])
z1_initial = float(strategy_info_dict['z1'])
bf_signals_output = fs.get_futures_butterfly_signals(
ticker_list=[
strategy_info_dict['ticker1'], strategy_info_dict['ticker2'],
strategy_info_dict['ticker3']
],
aggregation_method=int(strategy_info_dict['agg']),
contracts_back=int(strategy_info_dict['cBack']),
date_to=date_to,
**signal_input)
if bf_signals_output['success']:
aligned_output = bf_signals_output['aligned_output']
current_data = aligned_output['current_data']
holding_tr_dte = int(
strategy_info_dict['trDte1']) - current_data['c1']['tr_dte']
success_status = True
QF = bf_signals_output['qf']
z1 = bf_signals_output['zscore1']
short_tr_dte = current_data['c1']['tr_dte']
second_spread_weight = bf_signals_output['second_spread_weight_1']
if strategy_position.empty:
recommendation = 'CLOSE'
elif (z1_initial>0)&(holding_tr_dte > 5) &\
(bf_signals_output['qf']<QF_initial-20)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (z1_initial<0)&(holding_tr_dte > 5) &\
(bf_signals_output['qf']>QF_initial+20)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (current_data['c1']['tr_dte'] < 35)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (current_data['c1']['tr_dte'] < 35)&\
(pnl_frame['total_pnl'].iloc[0] < 3*t_cost*total_contracts2trade):
recommendation = 'WINDDOWN'
else:
recommendation = 'HOLD'
else:
success_status = False
QF = np.nan
z1 = np.nan
short_tr_dte = np.nan
holding_tr_dte = np.nan
second_spread_weight = np.nan
recommendation = 'MISSING DATA'
result_output = {
'success': success_status,
'ticker_head': ticker_head,
'QF_initial': QF_initial,
'z1_initial': z1_initial,
'QF': QF,
'z1': z1,
'short_tr_dte': short_tr_dte,
'holding_tr_dte': holding_tr_dte,
'second_spread_weight': second_spread_weight,
'recommendation': recommendation
}
elif strategy_class == 'spread_carry':
trades4_strategy = ts.get_trades_4strategy_alias(**kwargs)
grouped = trades4_strategy.groupby('ticker')
net_position = pd.DataFrame()
net_position['ticker'] = (grouped['ticker'].first()).values
net_position['qty'] = (grouped['trade_quantity'].sum()).values
net_position = net_position[net_position['qty'] != 0]
net_position['ticker_head'] = [
cmi.get_contract_specs(x)['ticker_head']
for x in net_position['ticker']
]
price_output = [
gfp.get_futures_price_preloaded(ticker=x, settle_date=date_to)
for x in net_position['ticker']
]
net_position['tr_dte'] = [
np.nan if x.empty else x['tr_dte'].values[0] for x in price_output
]
results_frame = pd.DataFrame()
unique_tickerhead_list = net_position['ticker_head'].unique()
results_frame['tickerHead'] = unique_tickerhead_list
results_frame['ticker1'] = [None] * len(unique_tickerhead_list)
results_frame['ticker2'] = [None] * len(unique_tickerhead_list)
results_frame['qty'] = [None] * len(unique_tickerhead_list)
results_frame['pnl'] = [None] * len(unique_tickerhead_list)
results_frame['downside'] = [None] * len(unique_tickerhead_list)
results_frame['indicator'] = [None] * len(unique_tickerhead_list)
results_frame['timeHeld'] = [None] * len(unique_tickerhead_list)
results_frame['recommendation'] = [None] * len(unique_tickerhead_list)
spread_carry_output = osc.generate_spread_carry_sheet_4date(
report_date=date_to)
spread_report = spread_carry_output['spread_report']
pnl_output = tpnl.get_strategy_pnl(**kwargs)
pnl_per_tickerhead = pnl_output['pnl_per_tickerhead']
for i in range(len(unique_tickerhead_list)):
net_position_per_tickerhead = net_position[
net_position['ticker_head'] == unique_tickerhead_list[i]]
net_position_per_tickerhead.sort_values('tr_dte',
ascending=True,
inplace=True)
selected_spread = spread_report[
(spread_report['ticker1'] ==
net_position_per_tickerhead['ticker'].values[0])
& (spread_report['ticker2'] ==
net_position_per_tickerhead['ticker'].values[1])]
results_frame['qty'][i] = net_position_per_tickerhead[
'qty'].values[0]
if selected_spread.empty:
results_frame['ticker1'][i] = net_position_per_tickerhead[
'ticker'].values[0]
results_frame['ticker2'][i] = net_position_per_tickerhead[
'ticker'].values[1]
else:
results_frame['ticker1'][i] = selected_spread[
'ticker1'].values[0]
results_frame['ticker2'][i] = selected_spread[
'ticker2'].values[0]
selected_trades = trades4_strategy[
trades4_strategy['ticker'] ==
results_frame['ticker1'].values[i]]
price_output = gfp.get_futures_price_preloaded(
ticker=results_frame['ticker1'].values[i],
settle_date=pd.to_datetime(
selected_trades['trade_date'].values[0]))
results_frame['timeHeld'][i] = price_output['tr_dte'].values[
0] - net_position_per_tickerhead['tr_dte'].values[0]
results_frame['pnl'][i] = pnl_per_tickerhead[
unique_tickerhead_list[i]].sum()
if unique_tickerhead_list[i] in ['CL', 'B', 'ED']:
results_frame['indicator'][i] = selected_spread[
'reward_risk'].values[0]
if results_frame['qty'][i] > 0:
results_frame['recommendation'][i] = 'STOP'
elif results_frame['qty'][i] < 0:
if results_frame['indicator'][i] > -0.06:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
else:
results_frame['indicator'][i] = selected_spread[
'q_carry'].values[0]
if results_frame['qty'][i] > 0:
if results_frame['indicator'][i] < 19:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
elif results_frame['qty'][i] < 0:
if results_frame['indicator'][i] > -9:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
if results_frame['qty'][i] > 0:
results_frame['downside'][i] = selected_spread[
'downside'].values[0] * results_frame['qty'][i]
else:
results_frame['downside'][i] = selected_spread[
'upside'].values[0] * results_frame['qty'][i]
return {'success': True, 'results_frame': results_frame}
elif strategy_class == 'vcs':
greeks_out = sg.get_greeks_4strategy_4date(alias=kwargs['alias'],
as_of_date=date_to)
ticker_portfolio = greeks_out['ticker_portfolio']
options_position = greeks_out['options_position']
if ticker_portfolio.empty and not options_position.empty:
result_output = {
'success': False,
'net_oev': np.NaN,
'net_theta': np.NaN,
'long_short_ratio': np.NaN,
'recommendation': 'MISSING DATA',
'last_adjustment_days_ago': np.NaN,
'min_tr_dte': np.NaN,
'long_oev': np.NaN,
'short_oev': np.NaN,
'favQMove': np.NaN
}
elif ticker_portfolio.empty and options_position.empty:
result_output = {
'success': False,
'net_oev': np.NaN,
'net_theta': np.NaN,
'long_short_ratio': np.NaN,
'recommendation': 'EMPTY',
'last_adjustment_days_ago': np.NaN,
'min_tr_dte': np.NaN,
'long_oev': np.NaN,
'short_oev': np.NaN,
'favQMove': np.NaN
}
else:
min_tr_dte = min([
exp.get_days2_expiration(ticker=x,
date_to=date_to,
instrument='options',
con=con)['tr_dte']
for x in ticker_portfolio['ticker']
])
net_oev = ticker_portfolio['total_oev'].sum()
net_theta = ticker_portfolio['theta'].sum()
long_portfolio = ticker_portfolio[
ticker_portfolio['total_oev'] > 0]
short_portfolio = ticker_portfolio[
ticker_portfolio['total_oev'] < 0]
short_portfolio['total_oev'] = abs(short_portfolio['total_oev'])
long_oev = long_portfolio['total_oev'].sum()
short_oev = short_portfolio['total_oev'].sum()
if (not short_portfolio.empty) & (not long_portfolio.empty):
long_short_ratio = 100 * long_oev / short_oev
long_portfolio.sort_values('total_oev',
ascending=False,
inplace=True)
short_portfolio.sort_values('total_oev',
ascending=False,
inplace=True)
long_ticker = long_portfolio['ticker'].iloc[0]
short_ticker = short_portfolio['ticker'].iloc[0]
long_contract_specs = cmi.get_contract_specs(long_ticker)
short_contract_specs = cmi.get_contract_specs(short_ticker)
if 12*long_contract_specs['ticker_year']+long_contract_specs['ticker_month_num'] < \
12*short_contract_specs['ticker_year']+short_contract_specs['ticker_month_num']:
front_ticker = long_ticker
back_ticker = short_ticker
direction = 'long'
else:
front_ticker = short_ticker
back_ticker = long_ticker
direction = 'short'
if 'vcs_output' in kwargs.keys():
vcs_output = kwargs['vcs_output']
else:
vcs_output = ovcs.generate_vcs_sheet_4date(date_to=date_to)
vcs_pairs = vcs_output['vcs_pairs']
selected_result = vcs_pairs[
(vcs_pairs['ticker1'] == front_ticker)
& (vcs_pairs['ticker2'] == back_ticker)]
if selected_result.empty:
favQMove = np.NaN
else:
current_Q = selected_result['Q'].iloc[0]
q_limit = of.get_vcs_filter_values(
product_group=long_contract_specs['ticker_head'],
filter_type='tickerHead',
direction=direction,
indicator='Q')
if direction == 'long':
favQMove = current_Q - q_limit
elif direction == 'short':
favQMove = q_limit - current_Q
else:
long_short_ratio = np.NaN
favQMove = np.NaN
trades_frame = ts.get_trades_4strategy_alias(**kwargs)
trades_frame_options = trades_frame[trades_frame['instrument'] ==
'O']
last_adjustment_days_ago = len(
exp.get_bus_day_list(
date_to=date_to,
datetime_from=max(
trades_frame_options['trade_date']).to_pydatetime()))
if favQMove >= 10 and last_adjustment_days_ago > 10:
recommendation = 'STOP-ratio normalized'
elif min_tr_dte < 25:
recommendation = 'STOP-close to expiration'
elif np.isnan(long_short_ratio):
recommendation = 'STOP-not a proper calendar'
else:
if long_short_ratio < 80:
if favQMove < 0:
recommendation = 'buy_options_to_grow'
else:
recommendation = 'buy_options_to_shrink'
elif long_short_ratio > 120:
if favQMove < 0:
recommendation = 'sell_options_to_grow'
else:
recommendation = 'sell_options_to_shrink'
else:
recommendation = 'HOLD'
result_output = {
'success': True,
'net_oev': net_oev,
'net_theta': net_theta,
'long_short_ratio': long_short_ratio,
'recommendation': recommendation,
'last_adjustment_days_ago': last_adjustment_days_ago,
'min_tr_dte': min_tr_dte,
'long_oev': long_oev,
'short_oev': short_oev,
'favQMove': favQMove
}
elif strategy_class == 'ocs':
datetime_to = cu.convert_doubledate_2datetime(date_to)
time_held = (datetime_to.date() -
strategy_info_output['created_date'].date()).days
notes = ''
strategy_position = ts.get_net_position_4strategy_alias(
alias=kwargs['alias'], as_of_date=date_to, con=con)
if len(strategy_position.index) == 0:
tpnl.close_strategy(alias=kwargs['alias'],
close_date=date_to,
broker=broker,
con=con)
result_output = {
'success': True,
'time_held': time_held,
'dollar_noise': np.nan,
'notes': 'closed'
}
elif strategy_position['qty'].sum() != 0:
result_output = {
'success': True,
'time_held': time_held,
'dollar_noise': np.nan,
'notes': 'check position'
}
else:
strategy_position['cont_indx'] = [
cmi.get_contract_specs(x)['cont_indx']
for x in strategy_position['ticker']
]
strategy_position.sort_values('cont_indx',
ascending=True,
inplace=True)
ocs_output = ocs.generate_overnight_spreads_sheet_4date(
date_to=date_to)
overnight_calendars = ocs_output['overnight_calendars']
selection_indx = (overnight_calendars['ticker1'] == strategy_position['ticker'].iloc[0])&\
(overnight_calendars['ticker2'] == strategy_position['ticker'].iloc[1])
if sum(selection_indx) > 0:
dollar_noise = (overnight_calendars.loc[
selection_indx, 'dollarNoise100'].values[0]) * abs(
strategy_position['qty'].iloc[0])
else:
dollar_noise = np.nan
result_output = {
'success': True,
'time_held': time_held,
'dollar_noise': dollar_noise,
'notes': 'hold'
}
elif strategy_class == 'skpt':
long_ticker = strategy_position.loc[strategy_position['qty'] > 0,
'ticker'].iloc[0]
short_ticker = strategy_position.loc[strategy_position['qty'] < 0,
'ticker'].iloc[0]
long_data = gsp.get_stock_price_preloaded(ticker=long_ticker,
data_source='iex',
settle_date_to=date_to)
short_data = gsp.get_stock_price_preloaded(ticker=short_ticker,
data_source='iex',
settle_date_to=date_to)
merged_data = pd.merge(long_data[['close', 'settle_datetime']],
short_data[['close', 'settle_datetime']],
how='inner',
on='settle_datetime')
merged_data.set_index('settle_datetime', drop=True, inplace=True)
intaday_output_long = pweb.DataReader(long_ticker, 'iex-tops')
intaday_output_short = pweb.DataReader(short_ticker, 'iex-tops')
merged_data = merged_data.append(
pd.DataFrame(
{
'close_x': intaday_output_long.iloc[4].values[0],
'close_y': intaday_output_short.iloc[4].values[0]
},
index=[dt.datetime.now()]))
signal_output = spt.backtest(merged_data, 'close_x', 'close_y')
return {
'long_ticker': long_ticker,
'short_ticker': short_ticker,
'zScoreC': signal_output['data_frame']['zScore'].iloc[-1],
'zScore': signal_output['data_frame']['zScore'].iloc[-2]
}
else:
result_output = {'success': False}
if 'con' not in kwargs.keys():
con.close()
return result_output
def generate_futures_butterfly_sheet_4date(**kwargs):
date_to = kwargs['date_to']
output_dir = ts.create_strategy_output_dir(strategy_class='futures_butterfly', report_date=date_to)
if os.path.isfile(output_dir + '/summary.pkl'):
butterflies = pd.read_pickle(output_dir + '/summary.pkl')
return {'butterflies': butterflies,'success': True}
if 'volume_filter' not in kwargs.keys():
kwargs['volume_filter'] = 100
butterflies = get_futures_butterflies_4date(**kwargs)
butterflies = butterflies[butterflies['trDte1'] >= 35]
butterflies.reset_index(drop=True,inplace=True)
num_butterflies = len(butterflies)
q_list = [None]*num_butterflies
qf_list = [None]*num_butterflies
zscore1_list = [None]*num_butterflies
zscore2_list = [None]*num_butterflies
zscore3_list = [None]*num_butterflies
zscore4_list = [None]*num_butterflies
zscore5_list = [None]*num_butterflies
zscore6_list = [None]*num_butterflies
zscore7_list = [None]*num_butterflies
rsquared1_list = [None]*num_butterflies
rsquared2_list = [None]*num_butterflies
regime_change_list = [None]*num_butterflies
contract_seasonality_list = [None]*num_butterflies
yield1_list = [None]*num_butterflies
yield2_list = [None]*num_butterflies
bf_price_list = [None]*num_butterflies
bf_price_sell_limit_list = [None]*num_butterflies
bf_price_buy_limit_list = [None]*num_butterflies
noise_ratio_list = [None]*num_butterflies
alpha1_list = [None]*num_butterflies
alpha2_list = [None]*num_butterflies
residual_std1_list = [None]*num_butterflies
residual_std2_list = [None]*num_butterflies
second_spread_weight_1_list = [None]*num_butterflies
second_spread_weight_2_list = [None]*num_butterflies
weight1_list = [None]*num_butterflies
weight2_list = [None]*num_butterflies
weight3_list = [None]*num_butterflies
downside_list = [None]*num_butterflies
upside_list = [None]*num_butterflies
recent_5day_pnl_list = [None]*num_butterflies
recent_vol_ratio_list = [None]*num_butterflies
theo_pnl_list = [None]*num_butterflies
theo_pnl5_list = [None]*num_butterflies
theo_pnl10_list = [None]*num_butterflies
theo_pnl15_list = [None]*num_butterflies
theo_pnl20_list = [None]*num_butterflies
theo_pnl25_list = [None]*num_butterflies
ratio_target5_list = [None]*num_butterflies
ratio_target10_list = [None]*num_butterflies
ratio_target15_list = [None]*num_butterflies
ratio_target20_list = [None]*num_butterflies
ratio_target25_list = [None]*num_butterflies
price_1_list = [None]*num_butterflies
price_2_list = [None]*num_butterflies
price_3_list = [None]*num_butterflies
mean_reversion_rsquared_list = [None]*num_butterflies
mean_reversion_signif_list = [None]*num_butterflies
futures_data_dictionary = {x: gfp.get_futures_price_preloaded(ticker_head=x) for x in cmi.futures_butterfly_strategy_tickerhead_list}
date5_years_ago = cu.doubledate_shift(date_to,5*365)
datetime5_years_ago = cu.convert_doubledate_2datetime(date5_years_ago)
for i in range(num_butterflies):
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=[butterflies['ticker1'][i], butterflies['ticker2'][i], butterflies['ticker3'][i]],
tr_dte_list=[butterflies['trDte1'][i], butterflies['trDte2'][i], butterflies['trDte3'][i]],
aggregation_method=butterflies['agg'][i],
contracts_back=butterflies['cBack'][i],
date_to=date_to,
futures_data_dictionary=futures_data_dictionary,
contract_multiplier=butterflies['multiplier'][i],
datetime5_years_ago=datetime5_years_ago)
q_list[i] = bf_signals_output['q']
qf_list[i] = bf_signals_output['qf']
zscore1_list[i] = bf_signals_output['zscore1']
zscore2_list[i] = bf_signals_output['zscore2']
zscore3_list[i] = bf_signals_output['zscore3']
zscore4_list[i] = bf_signals_output['zscore4']
zscore5_list[i] = bf_signals_output['zscore5']
zscore6_list[i] = bf_signals_output['zscore6']
zscore7_list[i] = bf_signals_output['zscore7']
rsquared1_list[i] = bf_signals_output['rsquared1']
rsquared2_list[i] = bf_signals_output['rsquared2']
regime_change_list[i] = bf_signals_output['regime_change_ind']
contract_seasonality_list[i] = bf_signals_output['contract_seasonality_ind']
yield1_list[i] = bf_signals_output['yield1_current']
yield2_list[i] = bf_signals_output['yield2_current']
bf_price_list[i] = bf_signals_output['bf_price']
bf_price_sell_limit_list[i] = bf_signals_output['short_price_limit']
bf_price_buy_limit_list[i] = bf_signals_output['long_price_limit']
noise_ratio_list[i] = bf_signals_output['noise_ratio']
alpha1_list[i] = bf_signals_output['alpha1']
alpha2_list[i] = bf_signals_output['alpha2']
residual_std1_list = bf_signals_output['residual_std1']
residual_std2_list = bf_signals_output['residual_std2']
second_spread_weight_1_list[i] = bf_signals_output['second_spread_weight_1']
second_spread_weight_2_list[i] = bf_signals_output['second_spread_weight_2']
weight1_list[i] = bf_signals_output['weight1']
weight2_list[i] = bf_signals_output['weight2']
weight3_list[i] = bf_signals_output['weight3']
downside_list[i] = bf_signals_output['downside']
upside_list[i] = bf_signals_output['upside']
recent_5day_pnl_list[i] = bf_signals_output['recent_5day_pnl']
recent_vol_ratio_list[i] = bf_signals_output['recent_vol_ratio']
theo_pnl_list[i] = bf_signals_output['theo_pnl']
theo_pnl5_list[i] = bf_signals_output['theo_pnl_list'][0]
theo_pnl10_list[i] = bf_signals_output['theo_pnl_list'][1]
theo_pnl15_list[i] = bf_signals_output['theo_pnl_list'][2]
theo_pnl20_list[i] = bf_signals_output['theo_pnl_list'][3]
theo_pnl25_list[i] = bf_signals_output['theo_pnl_list'][4]
ratio_target5_list[i] = bf_signals_output['ratio_target_list'][0]
ratio_target10_list[i] = bf_signals_output['ratio_target_list'][1]
ratio_target15_list[i] = bf_signals_output['ratio_target_list'][2]
ratio_target20_list[i] = bf_signals_output['ratio_target_list'][3]
ratio_target25_list[i] = bf_signals_output['ratio_target_list'][4]
price_1_list[i] = bf_signals_output['price_1']
price_2_list[i] = bf_signals_output['price_2']
price_3_list[i] = bf_signals_output['price_3']
mean_reversion_rsquared_list[i] = bf_signals_output['mean_reversion_rsquared']
mean_reversion_signif_list[i] = bf_signals_output['mean_reversion_signif']
butterflies['Q'] = q_list
butterflies['QF'] = qf_list
butterflies['z1'] = zscore1_list
butterflies['z2'] = zscore2_list
butterflies['z3'] = zscore3_list
butterflies['z4'] = zscore4_list
butterflies['z5'] = zscore5_list
butterflies['z6'] = zscore6_list
butterflies['z7'] = zscore7_list
butterflies['r1'] = rsquared1_list
butterflies['r2'] = rsquared2_list
butterflies['RC'] = regime_change_list
butterflies['seasonality'] = contract_seasonality_list
butterflies['yield1'] = yield1_list
butterflies['yield2'] = yield2_list
butterflies['bf_price'] = bf_price_list
butterflies['bf_sell_limit'] = bf_price_sell_limit_list
butterflies['bf_buy_limit'] = bf_price_buy_limit_list
butterflies['noise_ratio'] = noise_ratio_list
butterflies['alpha1'] = alpha1_list
butterflies['alpha2'] = alpha2_list
butterflies['residual_std1'] = residual_std1_list
butterflies['residual_std2'] = residual_std2_list
butterflies['second_spread_weight_1'] = second_spread_weight_1_list
butterflies['second_spread_weight_2'] = second_spread_weight_2_list
butterflies['weight1'] = weight1_list
butterflies['weight2'] = weight2_list
butterflies['weight3'] = weight3_list
butterflies['downside'] = downside_list
butterflies['upside'] = upside_list
butterflies['recent_5day_pnl'] = recent_5day_pnl_list
butterflies['recent_vol_ratio'] = recent_vol_ratio_list
butterflies['theo_pnl'] = theo_pnl_list
butterflies['theo_pnl5'] = theo_pnl5_list
butterflies['theo_pnl10'] = theo_pnl10_list
butterflies['theo_pnl15'] = theo_pnl15_list
butterflies['theo_pnl20'] = theo_pnl20_list
butterflies['theo_pnl25'] = theo_pnl25_list
butterflies['ratio_target5'] = ratio_target5_list
butterflies['ratio_target10'] = ratio_target10_list
butterflies['ratio_target15'] = ratio_target15_list
butterflies['ratio_target20'] = ratio_target20_list
butterflies['ratio_target25'] = ratio_target25_list
butterflies['price1'] = price_1_list
butterflies['price2'] = price_2_list
butterflies['price3'] = price_3_list
butterflies['mean_reversion_rsquared'] = mean_reversion_rsquared_list
butterflies['mean_reversion_signif'] = mean_reversion_signif_list
butterflies['z1'] = butterflies['z1'].round(2)
butterflies['z2'] = butterflies['z2'].round(2)
butterflies['z3'] = butterflies['z3'].round(2)
butterflies['z4'] = butterflies['z4'].round(2)
butterflies['z5'] = butterflies['z5'].round(2)
butterflies['z6'] = butterflies['z6'].round(2)
butterflies['z7'] = butterflies['z7'].round(2)
butterflies['r1'] = butterflies['r1'].round(2)
butterflies['r2'] = butterflies['r2'].round(2)
butterflies['RC'] = butterflies['RC'].round(2)
butterflies['seasonality'] = butterflies['seasonality'].round(2)
butterflies['second_spread_weight_1'] = butterflies['second_spread_weight_1'].round(2)
butterflies['second_spread_weight_2'] = butterflies['second_spread_weight_1'].round(2)
butterflies['yield1'] = butterflies['yield1'].round(3)
butterflies['yield2'] = butterflies['yield2'].round(3)
butterflies['noise_ratio'] = butterflies['noise_ratio'].round(3)
butterflies['alpha1'] = butterflies['alpha1'].round(3)
butterflies['alpha2'] = butterflies['alpha2'].round(3)
butterflies['residual_std1'] = butterflies['residual_std1'].round(3)
butterflies['residual_std2'] = butterflies['residual_std2'].round(3)
butterflies['downside'] = butterflies['downside'].round(3)
butterflies['upside'] = butterflies['upside'].round(3)
butterflies['recent_5day_pnl'] = butterflies['recent_5day_pnl'].round(3)
butterflies['recent_vol_ratio'] = butterflies['recent_vol_ratio'].round(2)
butterflies['theo_pnl'] = butterflies['theo_pnl'].round(3)
butterflies['price1'] = butterflies['price1'].round(4)
butterflies['price2'] = butterflies['price2'].round(4)
butterflies['price3'] = butterflies['price3'].round(4)
butterflies['mean_reversion_rsquared'] = butterflies['mean_reversion_rsquared'].round(2)
butterflies.to_pickle(output_dir + '/summary.pkl')
return {'butterflies': butterflies,'success': True}
def get_results_4strategy(**kwargs):
signal_input = dict()
if 'futures_data_dictionary' in kwargs.keys():
signal_input['futures_data_dictionary'] = kwargs['futures_data_dictionary']
if 'date_to' in kwargs.keys():
date_to = kwargs['date_to']
else:
date_to = exp.doubledate_shift_bus_days()
if 'datetime5_years_ago' in kwargs.keys():
signal_input['datetime5_years_ago'] = kwargs['datetime5_years_ago']
if 'strategy_info_output' in kwargs.keys():
strategy_info_output = kwargs['strategy_info_output']
else:
strategy_info_output = ts.get_strategy_info_from_alias(**kwargs)
con = msu.get_my_sql_connection(**kwargs)
strategy_info_dict = sc.convert_from_string_to_dictionary(string_input=strategy_info_output['description_string'])
#print(kwargs['alias'])
strategy_class = strategy_info_dict['strategy_class']
pnl_frame = tpm.get_daily_pnl_snapshot(as_of_date=date_to)
pnl_frame = pnl_frame[pnl_frame['alias']==kwargs['alias']]
strategy_position = ts.get_net_position_4strategy_alias(alias=kwargs['alias'],as_of_date=date_to)
if strategy_class == 'futures_butterfly':
ticker_head = cmi.get_contract_specs(strategy_info_dict['ticker1'])['ticker_head']
if not strategy_position.empty:
total_contracts2trade = strategy_position['qty'].abs().sum()
t_cost = cmi.t_cost[ticker_head]
QF_initial = float(strategy_info_dict['QF'])
z1_initial = float(strategy_info_dict['z1'])
bf_signals_output = fs.get_futures_butterfly_signals(ticker_list=[strategy_info_dict['ticker1'],
strategy_info_dict['ticker2'],
strategy_info_dict['ticker3']],
aggregation_method=int(strategy_info_dict['agg']),
contracts_back=int(strategy_info_dict['cBack']),
date_to=date_to,**signal_input)
aligned_output = bf_signals_output['aligned_output']
current_data = aligned_output['current_data']
holding_tr_dte = int(strategy_info_dict['trDte1'])-current_data['c1']['tr_dte']
if strategy_position.empty:
recommendation = 'CLOSE'
elif (z1_initial>0)&(holding_tr_dte > 5) &\
(bf_signals_output['qf']<QF_initial-20)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (z1_initial<0)&(holding_tr_dte > 5) &\
(bf_signals_output['qf']>QF_initial+20)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (current_data['c1']['tr_dte'] < 35)&\
(pnl_frame['total_pnl'].iloc[0] > 3*t_cost*total_contracts2trade):
recommendation = 'STOP'
elif (current_data['c1']['tr_dte'] < 35)&\
(pnl_frame['total_pnl'].iloc[0] < 3*t_cost*total_contracts2trade):
recommendation = 'WINDDOWN'
else:
recommendation = 'HOLD'
result_output = {'success': True,'ticker_head': ticker_head,
'QF_initial':QF_initial,'z1_initial': z1_initial,
'QF': bf_signals_output['qf'],'z1': bf_signals_output['zscore1'],
'short_tr_dte': current_data['c1']['tr_dte'],
'holding_tr_dte': holding_tr_dte,
'second_spread_weight': bf_signals_output['second_spread_weight_1'],'recommendation': recommendation}
elif strategy_class == 'spread_carry':
trades4_strategy = ts.get_trades_4strategy_alias(**kwargs)
grouped = trades4_strategy.groupby('ticker')
net_position = pd.DataFrame()
net_position['ticker'] = (grouped['ticker'].first()).values
net_position['qty'] = (grouped['trade_quantity'].sum()).values
net_position = net_position[net_position['qty'] != 0]
net_position['ticker_head'] = [cmi.get_contract_specs(x)['ticker_head'] for x in net_position['ticker']]
price_output = [gfp.get_futures_price_preloaded(ticker=x, settle_date=date_to) for x in net_position['ticker']]
net_position['tr_dte'] = [x['tr_dte'].values[0] for x in price_output]
results_frame = pd.DataFrame()
unique_tickerhead_list = net_position['ticker_head'].unique()
results_frame['tickerHead'] = unique_tickerhead_list
results_frame['ticker1'] = [None]*len(unique_tickerhead_list)
results_frame['ticker2'] = [None]*len(unique_tickerhead_list)
results_frame['qty'] = [None]*len(unique_tickerhead_list)
results_frame['pnl'] = [None]*len(unique_tickerhead_list)
results_frame['downside'] = [None]*len(unique_tickerhead_list)
results_frame['indicator'] = [None]*len(unique_tickerhead_list)
results_frame['timeHeld'] = [None]*len(unique_tickerhead_list)
results_frame['recommendation'] = [None]*len(unique_tickerhead_list)
spread_carry_output = osc.generate_spread_carry_sheet_4date(report_date=date_to)
spread_report = spread_carry_output['spread_report']
pnl_output = tpnl.get_strategy_pnl(**kwargs)
pnl_per_tickerhead = pnl_output['pnl_per_tickerhead']
for i in range(len(unique_tickerhead_list)):
net_position_per_tickerhead = net_position[net_position['ticker_head'] == unique_tickerhead_list[i]]
net_position_per_tickerhead.sort('tr_dte',ascending=True,inplace=True)
selected_spread = spread_report[(spread_report['ticker1'] == net_position_per_tickerhead['ticker'].values[0]) &
(spread_report['ticker2'] == net_position_per_tickerhead['ticker'].values[1])]
results_frame['ticker1'][i] = selected_spread['ticker1'].values[0]
results_frame['ticker2'][i] = selected_spread['ticker2'].values[0]
results_frame['qty'][i] = net_position_per_tickerhead['qty'].values[0]
selected_trades = trades4_strategy[trades4_strategy['ticker'] == results_frame['ticker1'].values[i]]
price_output = gfp.get_futures_price_preloaded(ticker=results_frame['ticker1'].values[i],
settle_date=pd.to_datetime(selected_trades['trade_date'].values[0]))
results_frame['timeHeld'][i] = price_output['tr_dte'].values[0]-net_position_per_tickerhead['tr_dte'].values[0]
results_frame['pnl'][i] = pnl_per_tickerhead[unique_tickerhead_list[i]].sum()
if unique_tickerhead_list[i] in ['CL', 'B', 'ED']:
results_frame['indicator'][i] = selected_spread['reward_risk'].values[0]
if results_frame['qty'][i] > 0:
results_frame['recommendation'][i] = 'STOP'
elif results_frame['qty'][i] < 0:
if results_frame['indicator'][i] > -0.06:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
else:
results_frame['indicator'][i] = selected_spread['q_carry'].values[0]
if results_frame['qty'][i] > 0:
if results_frame['indicator'][i] < 19:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
elif results_frame['qty'][i] < 0:
if results_frame['indicator'][i] > -9:
results_frame['recommendation'][i] = 'STOP'
else:
results_frame['recommendation'][i] = 'HOLD'
if results_frame['qty'][i] > 0:
results_frame['downside'][i] = selected_spread['downside'].values[0]*results_frame['qty'][i]
else:
results_frame['downside'][i] = selected_spread['upside'].values[0]*results_frame['qty'][i]
return {'success': True, 'results_frame': results_frame}
elif strategy_class == 'vcs':
greeks_out = sg.get_greeks_4strategy_4date(alias=kwargs['alias'], as_of_date=date_to)
ticker_portfolio = greeks_out['ticker_portfolio']
if ticker_portfolio.empty:
min_tr_dte = np.NaN
result_output = {'success': False, 'net_oev': np.NaN, 'net_theta': np.NaN, 'long_short_ratio': np.NaN,
'recommendation': 'EMPTY', 'last_adjustment_days_ago': np.NaN,
'min_tr_dte': np.NaN, 'long_oev': np.NaN, 'short_oev': np.NaN, 'favQMove': np.NaN}
else:
min_tr_dte = min([exp.get_days2_expiration(ticker=x,date_to=date_to,instrument='options',con=con)['tr_dte'] for x in ticker_portfolio['ticker']])
net_oev = ticker_portfolio['total_oev'].sum()
net_theta = ticker_portfolio['theta'].sum()
long_portfolio = ticker_portfolio[ticker_portfolio['total_oev'] > 0]
short_portfolio = ticker_portfolio[ticker_portfolio['total_oev'] < 0]
short_portfolio['total_oev']=abs(short_portfolio['total_oev'])
long_oev = long_portfolio['total_oev'].sum()
short_oev = short_portfolio['total_oev'].sum()
if (not short_portfolio.empty) & (not long_portfolio.empty):
long_short_ratio = 100*long_oev/short_oev
long_portfolio.sort('total_oev', ascending=False, inplace=True)
short_portfolio.sort('total_oev', ascending=False, inplace=True)
long_ticker = long_portfolio['ticker'].iloc[0]
short_ticker = short_portfolio['ticker'].iloc[0]
long_contract_specs = cmi.get_contract_specs(long_ticker)
short_contract_specs = cmi.get_contract_specs(short_ticker)
if 12*long_contract_specs['ticker_year']+long_contract_specs['ticker_month_num'] < \
12*short_contract_specs['ticker_year']+short_contract_specs['ticker_month_num']:
front_ticker = long_ticker
back_ticker = short_ticker
direction = 'long'
else:
front_ticker = short_ticker
back_ticker = long_ticker
direction = 'short'
if 'vcs_output' in kwargs.keys():
vcs_output = kwargs['vcs_output']
else:
vcs_output = ovcs.generate_vcs_sheet_4date(date_to=date_to)
vcs_pairs = vcs_output['vcs_pairs']
selected_result = vcs_pairs[(vcs_pairs['ticker1'] == front_ticker) & (vcs_pairs['ticker2'] == back_ticker)]
if selected_result.empty:
favQMove = np.NaN
else:
current_Q = selected_result['Q'].iloc[0]
q_limit = of.get_vcs_filter_values(product_group=long_contract_specs['ticker_head'],
filter_type='tickerHead',direction=direction,indicator='Q')
if direction == 'long':
favQMove = current_Q-q_limit
elif direction == 'short':
favQMove = q_limit-current_Q
else:
long_short_ratio = np.NaN
favQMove = np.NaN
trades_frame = ts.get_trades_4strategy_alias(**kwargs)
trades_frame_options = trades_frame[trades_frame['instrument'] == 'O']
last_adjustment_days_ago = len(exp.get_bus_day_list(date_to=date_to,datetime_from=max(trades_frame_options['trade_date']).to_datetime()))
if favQMove >= 10 and last_adjustment_days_ago > 10:
recommendation = 'STOP-ratio normalized'
elif min_tr_dte<25:
recommendation = 'STOP-close to expiration'
elif np.isnan(long_short_ratio):
recommendation = 'STOP-not a proper calendar'
else:
if long_short_ratio < 80:
if favQMove < 0:
recommendation = 'buy_options_to_grow'
else:
recommendation = 'buy_options_to_shrink'
elif long_short_ratio > 120:
if favQMove < 0:
recommendation = 'sell_options_to_grow'
else:
recommendation = 'sell_options_to_shrink'
else:
recommendation = 'HOLD'
result_output = {'success': True, 'net_oev': net_oev, 'net_theta': net_theta, 'long_short_ratio': long_short_ratio,
'recommendation': recommendation, 'last_adjustment_days_ago': last_adjustment_days_ago,
'min_tr_dte': min_tr_dte, 'long_oev': long_oev, 'short_oev': short_oev, 'favQMove': favQMove}
else:
result_output = {'success': False}
if 'con' not in kwargs.keys():
con.close()
return result_output