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 process_cme_futures_4tickerhead(**kwargs):
ticker_head = kwargs['ticker_head']
report_date = kwargs['report_date']
ticker_class = cmi.ticker_class[ticker_head]
name_type_output = cmeu.get_file_name_type_from_tickerclass(
ticker_class, 'futures')
file_name = name_type_output['file_name']
file_type = name_type_output['file_type']
settle_frame = pd.DataFrame()
if file_type == 'txt':
data_read_out = rcf.read_cme_settle_txt_files(file_name=file_name,
report_date=report_date)
title_frame = data_read_out['title_frame']
settle_list = data_read_out['settle_list']
open_list = data_read_out['open_list']
high_list = data_read_out['high_list']
low_list = data_read_out['low_list']
volume_filtered_list = data_read_out['volume_filtered_list']
interest_filtered_list = data_read_out['interest_filtered_list']
month_strike_list = data_read_out['month_strike_list']
selected_frame = title_frame[
(title_frame['asset_type'] == 'futures')
& (title_frame['ticker_head'] == ticker_head)]
contact_month_strings = month_strike_list[selected_frame.index[0]]
datetime_conversion = [
dt.datetime.strptime(x.replace('JLY', 'JUL'), '%b%y')
for x in contact_month_strings
]
settle_frame['ticker_year'] = [x.year for x in datetime_conversion]
settle_frame['ticker_month'] = [x.month for x in datetime_conversion]
settle_frame['settle'] = settle_list[selected_frame.index[0]]
settle_frame['open'] = open_list[selected_frame.index[0]]
settle_frame['high'] = high_list[selected_frame.index[0]]
settle_frame['high'] = settle_frame['high'].str.replace('B', '')
settle_frame['low'] = low_list[selected_frame.index[0]]
settle_frame['low'] = settle_frame['low'].str.replace('A', '')
settle_frame['volume'] = volume_filtered_list[selected_frame.index[0]]
settle_frame['interest'] = interest_filtered_list[
selected_frame.index[0]]
elif file_type == 'csv':
data_read_out = rcf.read_cme_future_settle_csv_files(
file_name=file_name, report_date=report_date)
selected_frame = data_read_out[data_read_out['ticker_head'] ==
ticker_head]
settle_frame['ticker_head'] = selected_frame['ticker_head']
settle_frame['ticker_year'] = selected_frame['CONTRACT YEAR']
settle_frame['ticker_month'] = selected_frame['CONTRACT MONTH'].astype(
'int')
settle_frame['settle'] = selected_frame['SETTLE']
settle_frame['open'] = selected_frame['OPEN']
settle_frame['high'] = selected_frame['HIGH']
settle_frame['low'] = selected_frame['LOW']
settle_frame['volume'] = selected_frame['EST. VOL']
settle_frame['interest'] = selected_frame['PRIOR INT']
settle_frame['volume'] = settle_frame['volume'].replace('', 0)
settle_frame['interest'] = settle_frame['interest'].replace('', 0)
settle_frame['ticker'] = [
ticker_head +
cmi.full_letter_month_list[settle_frame.loc[x, 'ticker_month'] - 1] +
str(settle_frame.loc[x, 'ticker_year']) for x in settle_frame.index
]
settle_frame['volume'] = settle_frame['volume'].replace('', 0)
settle_frame['volume'] = settle_frame['volume'].astype('int')
settle_frame['interest'] = settle_frame['interest'].replace('', 0)
settle_frame['interest'] = settle_frame['interest'].astype('int')
if ticker_head in [
'ED', 'SM', 'BO', 'LC', 'LN', 'FC', 'ES', 'NQ', 'AD', 'CD', 'EC',
'JY', 'BP'
]:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['open'] = settle_frame['open'].replace('----', np.NaN)
settle_frame['high'] = settle_frame['high'].replace('----', np.NaN)
settle_frame['low'] = settle_frame['low'].replace('----', np.NaN)
settle_frame['open'] = settle_frame['open'].astype('float64')
settle_frame['high'] = settle_frame['high'].astype('float64')
settle_frame['low'] = settle_frame['low'].astype('float64')
elif ticker_head in ['C', 'S', 'W', 'KW']:
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [
int(x[0]) + int(x[1]) * 0.125 if len(x) == 2 else np.NaN
for x in splited_strings
]
splited_strings = [x.split("'") for x in settle_frame['open']]
settle_frame['open'] = [
int(x[0]) + int(x[1]) * 0.125 if len(x) == 2 else np.NaN
for x in splited_strings
]
splited_strings = [x.split("'") for x in settle_frame['high']]
settle_frame['high'] = [
int(x[0]) + int(x[1]) * 0.125 if len(x) == 2 else np.NaN
for x in splited_strings
]
splited_strings = [x.split("'") for x in settle_frame['low']]
settle_frame['low'] = [
int(x[0]) + int(x[1]) * 0.125 if len(x) == 2 else np.NaN
for x in splited_strings
]
elif ticker_head in ['FV', 'TU', 'TY', 'US']:
settle_frame['settle'] = [
convert_treasury_settles(ticker_head, x)
for x in settle_frame['settle']
]
settle_frame['open'] = [
convert_treasury_settles(ticker_head, x)
for x in settle_frame['open']
]
settle_frame['high'] = [
convert_treasury_settles(ticker_head, x)
for x in settle_frame['high']
]
settle_frame['low'] = [
convert_treasury_settles(ticker_head, x)
for x in settle_frame['low']
]
elif ticker_head in ['GC', 'SI', 'CL', 'NG', 'HO', 'RB']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['open'] = settle_frame['open'].replace('', np.NaN)
settle_frame['high'] = settle_frame['high'].replace('', np.NaN)
settle_frame['low'] = settle_frame['low'].replace('', np.NaN)
settle_frame['open'] = settle_frame['open'].astype('float64')
settle_frame['high'] = settle_frame['high'].astype('float64')
settle_frame['low'] = settle_frame['low'].astype('float64')
return {'settle_frame': settle_frame}
def process_cme_options_4ticker(**kwargs):
ticker = kwargs['ticker']
report_date = kwargs['report_date']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_class = contract_specs_output['ticker_class']
ticker_head = contract_specs_output['ticker_head']
name_type_output = cmeu.get_file_name_type_from_tickerclass(
ticker_class, 'options')
file_name = name_type_output['file_name']
file_type = name_type_output['file_type']
if file_type == 'txt':
if 'data_read_out' in kwargs.keys():
data_read_out = kwargs['data_read_out'][file_name]
else:
data_read_out = rcf.read_cme_settle_txt_files(
file_name=file_name, report_date=report_date)
title_frame = data_read_out['title_frame']
settle_list = data_read_out['settle_list']
month_strike_list = data_read_out['month_strike_list']
volume_filtered_list = data_read_out['volume_filtered_list']
interest_filtered_list = data_read_out['interest_filtered_list']
selected_frame = title_frame[
(title_frame['asset_type'] == 'options')
& (title_frame['ticker_head'] == ticker_head)]
if selected_frame.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
datetime_conversion = [
dt.datetime.strptime(x.replace('JLY', 'JUL'), '%b%y')
for x in selected_frame['maturity_string']
]
selected_frame['ticker_year'] = [x.year for x in datetime_conversion]
selected_frame['ticker_month'] = [x.month for x in datetime_conversion]
selected_frame['ticker'] = [
ticker_head +
cmi.full_letter_month_list[selected_frame.loc[x, 'ticker_month'] -
1] +
str(selected_frame.loc[x, 'ticker_year'])
for x in selected_frame.index
]
selected_frame_call = selected_frame[
(selected_frame['ticker'] == ticker)
& (selected_frame['option_type'] == 'C')]
selected_frame_put = selected_frame[
(selected_frame['ticker'] == ticker)
& (selected_frame['option_type'] == 'P')]
if selected_frame_call.empty or selected_frame_put.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
selected_call_indx = selected_frame_call.index[0]
selected_put_indx = selected_frame_put.index[0]
call_dataframe = pd.DataFrame.from_dict({
'strike':
month_strike_list[selected_call_indx],
'settle':
settle_list[selected_call_indx],
'volume':
volume_filtered_list[selected_call_indx],
'interest':
interest_filtered_list[selected_call_indx]
})
put_dataframe = pd.DataFrame.from_dict({
'strike':
month_strike_list[selected_put_indx],
'settle':
settle_list[selected_put_indx],
'volume':
volume_filtered_list[selected_put_indx],
'interest':
interest_filtered_list[selected_put_indx]
})
call_dataframe['option_type'] = 'C'
put_dataframe['option_type'] = 'P'
settle_frame = pd.concat([call_dataframe, put_dataframe])
elif file_type == 'csv':
data_read_out = rcf.read_cme_option_settle_csv_files(
file_name=file_name, report_date=report_date)
settle_frame = pd.DataFrame()
selected_frame = data_read_out[data_read_out['ticker_head'] ==
ticker_head]
if selected_frame.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
selected_frame['ticker_month'] = selected_frame[
'CONTRACT MONTH'].astype('int')
selected_frame['ticker'] = [
ticker_head +
cmi.full_letter_month_list[selected_frame.loc[x, 'ticker_month'] -
1] +
str(selected_frame.loc[x, 'CONTRACT YEAR'])
for x in selected_frame.index
]
selected_frame = selected_frame[selected_frame['ticker'] == ticker]
if selected_frame.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
settle_frame['ticker'] = selected_frame['ticker']
settle_frame['option_type'] = selected_frame['PUT/CALL']
settle_frame['strike'] = selected_frame['STRIKE']
settle_frame['settle'] = selected_frame['SETTLE']
settle_frame['volume'] = selected_frame['EST. VOL']
settle_frame['interest'] = selected_frame['PRIOR INT']
settle_frame.reset_index(inplace=True, drop=True)
settle_frame = settle_frame[~settle_frame['settle'].str.contains('-')]
if settle_frame.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
settle_frame['strike'] = settle_frame['strike'].astype('float64')
if ticker_head in ['C', 'S', 'W', 'KW']:
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) +
int(x[1]) * 0.125 if len(x) == 2 else np.NaN
for x in splited_strings]
settle_frame['strike'] = settle_frame['strike'] / 10
elif ticker_head in ['ED', 'E0', 'E2', 'E3', 'E4', 'E5']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
half_quarter_indx = settle_frame['strike'] % 25 == 12
settle_frame['strike'] = settle_frame['strike'] / 100
settle_frame['strike'][half_quarter_indx] = settle_frame['strike'][
half_quarter_indx] + 0.005
elif ticker_head in ['SM']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike'] / 100
elif ticker_head in ['BO']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike'] / 1000
elif ticker_head in ['LC', 'LN', 'ES', 'NQ']:
settle_frame.reset_index(inplace=True, drop=True)
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
elif ticker_head in ['FC']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike'] / 100
elif ticker_head in ['AD', 'CD']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', 100 * cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64') / 100
settle_frame['strike'] = settle_frame['strike'] / 10000
elif ticker_head in ['EC']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike'] / 10000
elif ticker_head in ['JY']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', cmi.option_cabinet_values[ticker_head] / 1000)
settle_frame['settle'] = settle_frame['settle'].astype(
'float64') * 1000
settle_frame['strike'] = settle_frame['strike'] * 10
elif ticker_head in ['BP']:
settle_frame['settle'] = settle_frame['settle'].replace(
'CAB', 100 * cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64') / 100
settle_frame['strike'] = settle_frame['strike'] / 1000
elif ticker_head in ['TU', 'FV']:
half_quarter_indx = settle_frame['strike'] % 25 == 12
settle_frame['strike'] = settle_frame['strike'] / 100
settle_frame['strike'][half_quarter_indx] = settle_frame['strike'][
half_quarter_indx] + 0.005
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) +
int(x[1]) / 640 if len(x) == 2 else
(cmi.option_cabinet_values[ticker_head]
if x[0] == 'CAB' else np.NaN)
for x in splited_strings]
elif ticker_head in ['TY', 'US']:
settle_frame['strike'] = settle_frame['strike'] / 100
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) +
int(x[1]) / 64 if len(x) == 2 else
(cmi.option_cabinet_values[ticker_head]
if x[0] == 'CAB' else np.NaN)
for x in splited_strings]
elif ticker_head in ['GC', 'SI', 'CL', 'NG', 'RB', 'HO']:
settle_frame['settle'] = settle_frame['settle'].replace([''], [None])
settle_frame = settle_frame[~pd.isnull(settle_frame['settle'])]
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['volume'] = settle_frame['volume'].replace('', 0)
settle_frame['volume'] = settle_frame['volume'].astype('int')
settle_frame['interest'] = settle_frame['interest'].replace('', 0)
settle_frame['interest'] = settle_frame['interest'].astype('int')
return {'success': True, 'settle_frame': settle_frame}
def process_cme_futures_4tickerhead(**kwargs):
ticker_head = kwargs['ticker_head']
report_date = kwargs['report_date']
ticker_class = cmi.ticker_class[ticker_head]
name_type_output = cmeu.get_file_name_type_from_tickerclass(ticker_class, 'futures')
file_name = name_type_output['file_name']
file_type = name_type_output['file_type']
settle_frame = pd.DataFrame()
if file_type == 'txt':
data_read_out = rcf.read_cme_settle_txt_files(file_name=file_name, report_date=report_date)
title_frame = data_read_out['title_frame']
settle_list = data_read_out['settle_list']
open_list = data_read_out['open_list']
high_list = data_read_out['high_list']
low_list = data_read_out['low_list']
volume_filtered_list = data_read_out['volume_filtered_list']
interest_filtered_list = data_read_out['interest_filtered_list']
month_strike_list = data_read_out['month_strike_list']
selected_frame = title_frame[(title_frame['asset_type'] == 'futures') & (title_frame['ticker_head'] == ticker_head)]
contact_month_strings = month_strike_list[selected_frame.index[0]]
datetime_conversion = [dt.datetime.strptime(x.replace('JLY', 'JUL'), '%b%y') for x in contact_month_strings]
settle_frame['ticker_year'] = [x.year for x in datetime_conversion]
settle_frame['ticker_month'] = [x.month for x in datetime_conversion]
settle_frame['settle'] = settle_list[selected_frame.index[0]]
settle_frame['open'] = open_list[selected_frame.index[0]]
settle_frame['high'] = high_list[selected_frame.index[0]]
settle_frame['high'] = settle_frame['high'].str.replace('B', '')
settle_frame['low'] = low_list[selected_frame.index[0]]
settle_frame['low'] = settle_frame['low'].str.replace('A', '')
settle_frame['volume'] = volume_filtered_list[selected_frame.index[0]]
settle_frame['interest'] = interest_filtered_list[selected_frame.index[0]]
elif file_type == 'csv':
data_read_out = rcf.read_cme_future_settle_csv_files(file_name=file_name, report_date=report_date)
selected_frame = data_read_out[data_read_out['ticker_head'] == ticker_head]
settle_frame['ticker_head'] = selected_frame['ticker_head']
settle_frame['ticker_year'] = selected_frame['CONTRACT YEAR']
settle_frame['ticker_month'] = selected_frame['CONTRACT MONTH'].astype('int')
settle_frame['settle'] = selected_frame['SETTLE']
settle_frame['open'] = selected_frame['OPEN']
settle_frame['high'] = selected_frame['HIGH']
settle_frame['low'] = selected_frame['LOW']
settle_frame['volume'] = selected_frame['EST. VOL']
settle_frame['interest'] = selected_frame['PRIOR INT']
settle_frame['volume'] = settle_frame['volume'].replace('', 0)
settle_frame['interest'] = settle_frame['interest'].replace('', 0)
settle_frame['ticker'] = [ticker_head +
cmi.full_letter_month_list[settle_frame.loc[x, 'ticker_month']-1] +
str(settle_frame.loc[x, 'ticker_year']) for x in settle_frame.index]
settle_frame['volume'] = settle_frame['volume'].replace('',0)
settle_frame['volume'] = settle_frame['volume'].astype('int')
settle_frame['interest'] = settle_frame['interest'].replace('',0)
settle_frame['interest'] = settle_frame['interest'].astype('int')
if ticker_head in ['ED', 'SM', 'BO', 'LC', 'LN', 'FC', 'ES', 'NQ', 'AD', 'CD', 'EC', 'JY', 'BP']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['open'] = settle_frame['open'].replace('----', np.NaN)
settle_frame['high'] = settle_frame['high'].replace('----', np.NaN)
settle_frame['low'] = settle_frame['low'].replace('----', np.NaN)
settle_frame['open'] = settle_frame['open'].astype('float64')
settle_frame['high'] = settle_frame['high'].astype('float64')
settle_frame['low'] = settle_frame['low'].astype('float64')
elif ticker_head in ['C', 'S', 'W', 'KW']:
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [int(x[0])+int(x[1])*0.125 if len(x) == 2 else np.NaN for x in splited_strings]
splited_strings = [x.split("'") for x in settle_frame['open']]
settle_frame['open'] = [int(x[0])+int(x[1])*0.125 if len(x) == 2 else np.NaN for x in splited_strings]
splited_strings = [x.split("'") for x in settle_frame['high']]
settle_frame['high'] = [int(x[0])+int(x[1])*0.125 if len(x) == 2 else np.NaN for x in splited_strings]
splited_strings = [x.split("'") for x in settle_frame['low']]
settle_frame['low'] = [int(x[0])+int(x[1])*0.125 if len(x) == 2 else np.NaN for x in splited_strings]
elif ticker_head in ['FV', 'TU', 'TY', 'US']:
settle_frame['settle'] = [convert_treasury_settles(ticker_head,x) for x in settle_frame['settle']]
settle_frame['open'] = [convert_treasury_settles(ticker_head,x) for x in settle_frame['open']]
settle_frame['high'] = [convert_treasury_settles(ticker_head,x) for x in settle_frame['high']]
settle_frame['low'] = [convert_treasury_settles(ticker_head,x) for x in settle_frame['low']]
elif ticker_head in ['GC', 'SI', 'CL', 'NG', 'HO', 'RB']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['open'] = settle_frame['open'].replace('', np.NaN)
settle_frame['high'] = settle_frame['high'].replace('', np.NaN)
settle_frame['low'] = settle_frame['low'].replace('', np.NaN)
settle_frame['open'] = settle_frame['open'].astype('float64')
settle_frame['high'] = settle_frame['high'].astype('float64')
settle_frame['low'] = settle_frame['low'].astype('float64')
return {'settle_frame': settle_frame}
def process_cme_options_4ticker(**kwargs):
ticker = kwargs['ticker']
report_date = kwargs['report_date']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_class = contract_specs_output['ticker_class']
ticker_head = contract_specs_output['ticker_head']
name_type_output = cmeu.get_file_name_type_from_tickerclass(ticker_class, 'options')
file_name = name_type_output['file_name']
file_type = name_type_output['file_type']
if file_type == 'txt':
if 'data_read_out' in kwargs.keys():
data_read_out = kwargs['data_read_out'][file_name]
else:
data_read_out = rcf.read_cme_settle_txt_files(file_name=file_name, report_date=report_date)
title_frame = data_read_out['title_frame']
settle_list = data_read_out['settle_list']
month_strike_list = data_read_out['month_strike_list']
volume_filtered_list = data_read_out['volume_filtered_list']
interest_filtered_list = data_read_out['interest_filtered_list']
selected_frame = title_frame[(title_frame['asset_type'] == 'options') & (title_frame['ticker_head'] == ticker_head)]
datetime_conversion = [dt.datetime.strptime(x.replace('JLY', 'JUL'), '%b%y') for x in selected_frame['maturity_string']]
selected_frame['ticker_year'] = [x.year for x in datetime_conversion]
selected_frame['ticker_month'] = [x.month for x in datetime_conversion]
selected_frame['ticker'] = [ticker_head +
cmi.full_letter_month_list[selected_frame.loc[x, 'ticker_month']-1] +
str(selected_frame.loc[x, 'ticker_year']) for x in selected_frame.index]
selected_frame_call = selected_frame[(selected_frame['ticker'] == ticker)&(selected_frame['option_type'] == 'C')]
selected_frame_put = selected_frame[(selected_frame['ticker'] == ticker)&(selected_frame['option_type'] == 'P')]
if selected_frame_call.empty or selected_frame_put.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
selected_call_indx = selected_frame_call.index[0]
selected_put_indx = selected_frame_put.index[0]
call_dataframe = pd.DataFrame.from_items([('strike', month_strike_list[selected_call_indx]),
('settle', settle_list[selected_call_indx]),
('volume', volume_filtered_list[selected_call_indx]),
('interest', interest_filtered_list[selected_call_indx])])
put_dataframe = pd.DataFrame.from_items([('strike', month_strike_list[selected_put_indx]),
('settle', settle_list[selected_put_indx]),
('volume', volume_filtered_list[selected_put_indx]),
('interest', interest_filtered_list[selected_put_indx])])
call_dataframe['option_type'] = 'C'
put_dataframe['option_type'] = 'P'
settle_frame = pd.concat([call_dataframe, put_dataframe])
elif file_type == 'csv':
data_read_out = rcf.read_cme_option_settle_csv_files(file_name=file_name, report_date=report_date)
settle_frame = pd.DataFrame()
selected_frame = data_read_out[data_read_out['ticker_head'] == ticker_head]
selected_frame['ticker_month'] = selected_frame['CONTRACT MONTH'].astype('int')
selected_frame['ticker'] = [ticker_head +
cmi.full_letter_month_list[selected_frame.loc[x, 'ticker_month']-1] +
str(selected_frame.loc[x, 'CONTRACT YEAR']) for x in selected_frame.index]
selected_frame = selected_frame[selected_frame['ticker'] == ticker]
if selected_frame.empty:
return {'success': False, 'settle_frame': pd.DataFrame()}
settle_frame['ticker'] = selected_frame['ticker']
settle_frame['option_type'] = selected_frame['PUT/CALL']
settle_frame['strike'] = selected_frame['STRIKE']
settle_frame['settle'] = selected_frame['SETTLE']
settle_frame['volume'] = selected_frame['EST. VOL']
settle_frame['interest'] = selected_frame['PRIOR INT']
settle_frame.reset_index(inplace=True, drop=True)
settle_frame['strike'] = settle_frame['strike'].astype('float64')
if ticker_head in ['C', 'S', 'W', 'KW']:
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) + int(x[1])*0.125 if len(x) == 2 else np.NaN for x in splited_strings]
settle_frame['strike'] = settle_frame['strike']/10
elif ticker_head in ['ED', 'E0', 'E2', 'E3', 'E4', 'E5']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
half_quarter_indx = settle_frame['strike'] % 25 == 12
settle_frame['strike'] = settle_frame['strike']/100
settle_frame['strike'][half_quarter_indx] = settle_frame['strike'][half_quarter_indx]+0.005
elif ticker_head in ['SM']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike']/100
elif ticker_head in ['BO']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike']/1000
elif ticker_head in ['LC', 'LN', 'ES', 'NQ']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
elif ticker_head in ['FC']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike']/100
elif ticker_head in ['AD', 'CD']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', 100*cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')/100
settle_frame['strike'] = settle_frame['strike']/10000
elif ticker_head in ['EC']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['strike'] = settle_frame['strike']/1000
elif ticker_head in ['JY']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', cmi.option_cabinet_values[ticker_head]/1000)
settle_frame['settle'] = settle_frame['settle'].astype('float64')*1000
settle_frame['strike'] = settle_frame['strike']*10
elif ticker_head in ['BP']:
settle_frame['settle'] = settle_frame['settle'].replace('CAB', 100*cmi.option_cabinet_values[ticker_head])
settle_frame['settle'] = settle_frame['settle'].astype('float64')/100
settle_frame['strike'] = settle_frame['strike']/1000
elif ticker_head in ['TU', 'FV']:
half_quarter_indx = settle_frame['strike'] % 25 == 12
settle_frame['strike'] = settle_frame['strike']/100
settle_frame['strike'][half_quarter_indx] = settle_frame['strike'][half_quarter_indx]+0.005
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) + int(x[1])/640 if len(x) == 2 else
(cmi.option_cabinet_values[ticker_head] if x[0] == 'CAB' else np.NaN) for x in splited_strings]
elif ticker_head in ['TY','US']:
settle_frame['strike'] = settle_frame['strike']/100
splited_strings = [x.split("'") for x in settle_frame['settle']]
settle_frame['settle'] = [(0 if x[0] == '' else int(x[0])) + int(x[1])/64 if len(x) == 2 else
(cmi.option_cabinet_values[ticker_head] if x[0] == 'CAB' else np.NaN) for x in splited_strings]
elif ticker_head in ['GC', 'SI', 'CL', 'NG', 'RB', 'HO']:
settle_frame['settle'] = settle_frame['settle'].astype('float64')
settle_frame['volume'] = settle_frame['volume'].replace('', 0)
settle_frame['volume'] = settle_frame['volume'].astype('int')
settle_frame['interest'] = settle_frame['interest'].replace('', 0)
settle_frame['interest'] = settle_frame['interest'].astype('int')
return {'success': True, 'settle_frame': settle_frame}
