def add_option(message_array):
global max_instrument_id
for message_info in message_array:
ticker = getattr(message_info, 'InstrumentID', '')
exchange_name = getattr(message_info, 'ExchangeID', '')
if exchange_name == 'CFFEX':
exchange_id = 25
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in shf_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(message_info, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(message_info,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(message_info,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(message_info,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(message_info,
'MinLimitOrderVolume', '')
option_db.strike = getattr(message_info, 'StrikePrice', '')
option_db.create_date = getattr(message_info, 'CreateDate', '')
option_db.expire_date = getattr(message_info, 'ExpireDate', '')
underlying_instr_id = getattr(message_info, 'UnderlyingInstrID', '')
undl_ticker = underlying_instr_id.replace('HO',
'IH').replace('IO', 'IF')
undl_ticker = rebuild_undl_ticker(undl_ticker)
option_db.undl_tickers = undl_ticker
instrument_name = getattr(message_info, 'InstrumentName', '')
instrument_name = instrument_name.replace(u'期权', 'OPTION').replace(
u'股指', 'IDX').strip()
option_db.name = instrument_name
if '-C-' in ticker:
put_call = 1
else:
put_call = 0
option_db.put_call = put_call
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 6
option_db.round_lot_size = 1
option_db.tick_size_table = '0:0.2'
option_db.longmarginratio = 1
option_db.shortmarginratio = 0.15
option_db.multiplier = 1
instrument_insert_list.append(option_db)
print 'prepare insert option:', ticker
def add_option(message_array):
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if exchange_name == 'SSE':
exchange_id = 18
elif exchange_name == 'SZE':
exchange_id = 19
dict_key = '%s|%s' % (ticker, exchange_id)
if dict_key in instrument_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
option_db.strike = getattr(messageInfo, 'ExecPrice', '')
exchange_inst_id = getattr(messageInfo, 'ExchangeInstID', '')
undl_tickers = exchange_inst_id[0:6]
option_db.undl_tickers = undl_tickers
option_db.track_undl_tickers = undl_tickers
if 'M' in exchange_inst_id:
option_db.contract_adjustment = 0
elif 'A' in exchange_inst_id:
option_db.contract_adjustment = 1
elif 'B' in exchange_inst_id:
option_db.contract_adjustment = 2
elif 'C' in exchange_inst_id:
option_db.contract_adjustment = 3
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('购', 'Call').replace('沽', 'Put').replace('月', 'month') \
.replace('中国平安', undl_tickers).replace('上汽集团', undl_tickers)
if 'Call' in instrument_name:
put_call = 1
else:
put_call = 0
option_db.name = instrument_name
option_db.put_call = put_call
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 4
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10000
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.15
option_db.option_margin_factor2 = 0.07
instrument_insert_list.append(option_db)
# print instrument_insert_list
print 'prepare insert option:', ticker
def pre_add_option(message_array):
global max_instrument_id
for messageInfo in message_array:
ticker = getattr(messageInfo, 'InstrumentID', '')
exchange_name = getattr(messageInfo, 'ExchangeID', '')
if 'CFFEX' == exchange_name:
exchange_id = 25
elif 'SHFE' == exchange_name:
exchange_id = 20
elif 'DCE' == exchange_name:
exchange_id = 21
elif 'CZCE' == exchange_name:
exchange_id = 22
else:
continue
if ticker in option_db_dict:
continue
option_db = Instrument()
max_instrument_id += 1
option_db.id = max_instrument_id
option_db.ticker = ticker
option_db.exchange_id = exchange_id
option_db.fut_val_pt = getattr(messageInfo, 'VolumeMultiple', '')
option_db.max_market_order_vol = getattr(messageInfo,
'MaxMarketOrderVolume', '')
option_db.min_market_order_vol = getattr(messageInfo,
'MinMarketOrderVolume', '')
option_db.max_limit_order_vol = getattr(messageInfo,
'MaxLimitOrderVolume', '')
option_db.min_limit_order_vol = getattr(messageInfo,
'MinLimitOrderVolume', '')
undl_tickers = getattr(messageInfo, 'UnderlyingInstrID', '')
option_db.undl_tickers = undl_tickers
option_db.create_date = getattr(messageInfo, 'CreateDate', '')
option_db.expire_date = getattr(messageInfo, 'ExpireDate', '')
instrument_name = getattr(messageInfo, 'InstrumentName', '').strip()
instrument_name = instrument_name.replace('买权', 'Call').replace(
'卖权', 'Put').replace('白糖', 'SR')
option_db.name = ticker
put_call = __get_put_call(instrument_name)
option_db.put_call = put_call
if put_call == 0:
option_db.strike = ticker.replace('-', '').split('P')[-1]
else:
option_db.strike = ticker.replace('-', '').split('C')[-1]
price_tick = getattr(messageInfo, 'PriceTick', '')
option_db.tick_size_table = '0:%s' % (float(price_tick), )
option_db.ticker_exch = ticker
option_db.ticker_exch_real = ticker
option_db.market_status_id = 2
option_db.type_id = 10 # option
option_db.market_sector_id = 1
option_db.round_lot_size = 1
option_db.longmarginratio = 0
option_db.shortmarginratio = 0.15
option_db.longmarginratio_speculation = option_db.longmarginratio
option_db.shortmarginratio_speculation = option_db.shortmarginratio
option_db.longmarginratio_hedge = option_db.longmarginratio
option_db.shortmarginratio_hedge = option_db.shortmarginratio
option_db.longmarginratio_arbitrage = option_db.longmarginratio
option_db.shortmarginratio_arbitrage = option_db.shortmarginratio
option_db.multiplier = 10
option_db.crncy = 'CNY'
option_db.effective_since = filter_date_str
option_db.is_settle_instantly = 1
option_db.is_purchase_to_redemption_instantly = 0
option_db.is_buy_to_redpur_instantly = 0
option_db.is_redpur_to_sell_instantly = 0
option_db.option_margin_factor1 = 0.5
option_db.option_margin_factor2 = 0.5
ticker_type = filter(lambda x: not x.isdigit(), undl_tickers)
option_db.session = __get_trading_info_list(ticker_type)[-1]
option_db.track_undl_tickers = __get_track_undl_tickers(ticker_type)
option_insert_list.append(option_db)
print 'prepare insert option:', ticker
