def main():
""" main function to insert options to db """
parser = argparse.ArgumentParser()
parser.add_argument('--symbol', default='spy')
parser.add_argument('--cnf', help='config file for db')
parser.add_argument('--log-file', help='log file')
parser.add_argument('--log-mode', default='a',
help='log file mode (a or w)')
parser.add_argument('--log-level', default='debug',help='log level')
opts = parser.parse_args()
if opts.log_file:
set_logger(level=opts.log_level, filename=opts.log_file,
mode=opts.log_mode)
else:
set_logger(level=opts.log_level, out=sys.stdout)
logging.info("========== %s ==========", str(datetime.datetime.now()))
session = create_mysql_session(opts.cnf)
rows = getOptionMW(opts.symbol)
price = rows[0].getKey('price')
rows = filter_price_range(rows, int(price*0.85), int(price*1.15))
rows = filter_date_range(rows, 0, 60)
rows = filter_out_zero(rows)
insert_multiple(session, rows)
def main():
parser = argparse.ArgumentParser()
parser.add_argument('--symbol', default='aapl')
parser.add_argument('--log-file', help='log file')
parser.add_argument('--log-mode',
default='a',
help='log file mode (a or w)')
parser.add_argument('--log-level', default='debug', help='log level')
opts = parser.parse_args()
if opts.log_file:
set_logger(level=opts.log_level,
filename=opts.log_file,
mode=opts.log_mode)
else:
set_logger(level=opts.log_level, out=sys.stdout)
from datetime import datetime
import tushare as ts
from pandas import DataFrame, concat
from asset import database_model as db
from asset import database_migration as dm
from util import logger
__module_logger = logger.set_logger("module")
def insert_daily_data():
"""
Run every day after 15:00, collecting new market data and insert into DB
"""
# dm.remove_index()
update_list = db.StockInfo.select()
today = datetime.today().strftime('%Y-%m-%d')
for record in update_list:
try:
current = ts.get_h_data(code=record.ticker, start=today, end=today)
str_date = current.index[0].strftime('%Y-%m-%d')
row_id = db.DailyPrice.create(trading_date=str_date, ticker=record.ticker,
market_id=record.market_id, high=float(current.high[0]),
low=float(current.low[0]), open=float(current.open[0]),
close=float(current.close[0]), volume=float(current.volume[0]))
__module_logger.info('Insert ' + row_id + ' into Daily Price')
except ConnectionError as e:
__module_logger.debug(today + "Can't fetch daily data due to Connection Error")
print(e)
#! /usr/bin/env python3
# -*- coding: utf-8 -*-
import multiprocessing
from util import logger
from data import data_helper as hp
from data import daily_data_worker as dw
__data_logger = logger.set_logger('data')
__author__ = 'Will Chen'
hp.loading_calendar()
__data_logger.info('Calendar Information loaded.')
hp.loading_stock_list()
__data_logger.info('All ticker info created.')
pool = multiprocessing.Pool(processes=3)
stock_list = dw.get_stock_list()
__data_logger.info('Ready to load prices in 3 processes')
for i in range(len(stock_list)):
pool.apply_async(hp.loading_price, (stock_list[i], ))
pool.close()
pool.join()
__data_logger.info('All price loaded into database')
def main():
parser = argparse.ArgumentParser()
parser.add_argument('--from-web',
action='store_true',
help='get data from web')
parser.add_argument('--symbol', required=True)
parser.add_argument('--TTE-min',
default=1,
type=int,
help='min time to expire')
parser.add_argument('--TTE-max',
default=10,
type=int,
help='max time to expire')
parser.add_argument('--price-range',
default=0.1,
type=float,
help='strike range, (1 +/- range) * current price')
parser.add_argument('--strategy', type=str)
parser.add_argument('--arg-list', nargs='*', help='arg list for strategy')
parser.add_argument('--log-file', help='log file')
parser.add_argument('--log-mode',
default='a',
help='log file mode (a or w)')
parser.add_argument('--log-level', default='debug', help='log level')
parser.add_argument('--db-cnf',
help='if db config file is given, write results to db')
parser.add_argument('--query-time', help='which time to query')
opts = parser.parse_args()
if opts.log_file:
set_logger(level=opts.log_level,
filename=opts.log_file,
mode=opts.log_mode)
else:
set_logger(level=opts.log_level, out=sys.stdout)
logging.info('retrieving options for %s', opts.symbol)
if opts.from_web:
res = getOptionMW(opts.symbol)
if res is None:
# getOptionMW may return None because of page open failure
logging.error('no data retrieved')
return
logging.info('%d data received', len(res))
else:
res = get_latest_strikes(table_name='test_options',
underlying=opts.symbol,
k_list=[0, 10000],
exps=[opts.TTE_min, opts.TTE_max],
call_list=[False, True],
query_time=opts.query_time)
if not len(res):
logging.error('no result (from db)')
exit(0)
# data preprocessing
# step 1, filter the time range
price = res[0].getKey('price')
data = data_preprocessing(res, [opts.TTE_min, opts.TTE_max],
[(1 - opts.price_range) * price,
(1 + opts.price_range) * price])
# select all calls
call_strikes = []
put_strikes = []
for k in sorted(data[1].keys()):
call_strikes += data[1][k]
put_strikes += data[0][k]
# calculate implied vol
call_vols(call_strikes, rate=0.035)
call_vols(put_strikes, rate=0.035, isCall=False)
for i in call_strikes + put_strikes:
logging.debug('strike:\n%s', i.__json__())
if opts.strategy == 'iron':
iron_table_print(data)
elif opts.strategy == 'strangle':
strangle_table_print(data)
elif opts.strategy == 'short-butterfly':
short_bufferfly_print(data)
else:
all_strikes_print(data)
if opts.db_cnf:
session = create_mysql_session(opts.db_cnf)
insert_multiple(session, call_strikes + put_strikes)
logging.info('%s data stored to database', opts.symbol)
#! /usr/bin/env python3
# -*- coding: utf-8 -*-
from asset import database_model as db
from util import logger
_main_logger = logger.set_logger()
__author__ = 'Will Chen'
_main_logger.info("Welcome to QSS. System is preparing...")
db.drop_tables()
_main_logger.info("Cleaned all tables, ready to begin...")
db.create_tables()
_main_logger.info("Database Initialized. Ready to importing historical data")
import docker
import grpc
from auto import get_container_stat, calculate_time, get_container_config, get_all_container, calculate_cpu_percent, \
get_container_stats_stream, update_container
from util import logger
import auto_pb2
import auto_pb2_grpc
from util.util import get_docker0_IP
LOG = "/var/log/auto.log"
logger = logger.set_logger(os.path.basename(__file__), LOG)
DEFAULT_PORT = '8090'
def submit(cmd):
logger.debug(cmd)
try:
host = get_docker0_IP()
channel = grpc.insecure_channel("{0}:{1}".format(host, DEFAULT_PORT))
client = auto_pb2_grpc.AutoControlStub(channel)
# ideally, you should have try catch block here too
response = client.Submit(auto_pb2.Request(cmd=cmd))
result = loads(str(response.json))
return result
except grpc.RpcError as e:
