def get_option_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs["start_year"]
end_year = kwargs["end_year"]
tickerhead_list = cmi.cme_option_tickerhead_list
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year, end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = cmi.get_option_contract_months(ticker_head=i)
for j in contract_months:
for k in year_list:
ticker = i + j + str(k)
print(ticker)
ticker_list.append(
(
ticker,
i,
k,
cmi.letter_month_string.find(j) + 1,
exp.get_options_expiration(ticker),
"options",
contract_name_dict[i],
ticker_class_dict[i],
"USD",
now,
now,
)
)
return ticker_list
def get_option_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs['start_year']
end_year = kwargs['end_year']
tickerhead_list = cmi.cme_option_tickerhead_list
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year,end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = cmi.get_option_contract_months(ticker_head=i)
for j in contract_months:
for k in year_list:
ticker = i+j+str(k)
print(ticker)
ticker_list.append((ticker,i,k,cmi.letter_month_string.find(j)+1,exp.get_options_expiration(ticker),
'options',contract_name_dict[i],ticker_class_dict[i],'USD',now,now))
return ticker_list
def update_options_price_database_from_cme_files_4ticker(**kwargs):
ticker = kwargs['ticker']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
ticker_month_num = contract_specs_output['ticker_month_num']
ticker_year = contract_specs_output['ticker_year']
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
kwargs['report_date'] = settle_date
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
kwargs['report_date'] = settle_date
if not exp.is_business_day(double_date=settle_date,
reference_tickerhead=ticker_head):
return
if 'expiration_date' in kwargs.keys():
expiration_date = kwargs['expiration_date']
else:
expiration_date = exp.get_options_expiration(ticker)
expiration_date = expiration_date.date()
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
if 'cal_dte' in kwargs.keys():
cal_dte = kwargs['cal_dte']
else:
cal_dte = (expiration_date - settle_datetime.date()).days
if 'tr_dte' in kwargs.keys():
tr_dte = kwargs['tr_dte']
else:
bday_us = CustomBusinessDay(
calendar=exp.get_calendar_4ticker_head(ticker_head))
dts = pd.date_range(start=settle_datetime,
end=expiration_date,
freq=bday_us)
tr_dte = len(
[x for x in dts if x.to_pydatetime().date() < expiration_date])
data_vendor_id = 2
now = dt.datetime.now()
con = msu.get_my_sql_connection(**kwargs)
process_output = pco.process_cme_options_4ticker(**kwargs)
if process_output['success']:
settle_frame = process_output['settle_frame']
else:
if 'con' not in kwargs.keys():
con.close()
return
column_names = settle_frame.columns.tolist()
option_type_indx = column_names.index('option_type')
strike_indx = column_names.index('strike')
settle_indx = column_names.index('settle')
volume_indx = column_names.index('volume')
interest_indx = column_names.index('interest')
tuples = [
tuple([
data_vendor_id, ticker_head, ticker_month_num, ticker_year, ticker,
x[option_type_indx], x[strike_indx],
settle_datetime.date(), cal_dte, tr_dte, now, now,
None if np.isnan(x[settle_indx]) else x[settle_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
None if np.isnan(x[interest_indx]) else x[interest_indx]
]) for x in settle_frame.values
]
column_str = "data_vendor_id, ticker_head, ticker_month, ticker_year, ticker, " \
" option_type, strike, price_date, cal_dte, tr_dte, " \
" created_date,last_updated_date, close_price, volume, open_interest"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO daily_option_price (%s) VALUES (%s)" % (
column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if 'con' not in kwargs.keys():
con.close()
def update_options_price_database_from_cme_files_4ticker(**kwargs):
ticker = kwargs['ticker']
contract_specs_output = cmi.get_contract_specs(ticker)
ticker_head = contract_specs_output['ticker_head']
ticker_month_num = contract_specs_output['ticker_month_num']
ticker_year = contract_specs_output['ticker_year']
if 'settle_date' in kwargs.keys():
settle_date = kwargs['settle_date']
kwargs['report_date'] = settle_date
else:
settle_date = int(time.strftime('%Y%m%d'))
kwargs['settle_date'] = settle_date
kwargs['report_date'] = settle_date
if not exp.is_business_day(double_date=settle_date, reference_tickerhead=ticker_head):
return
if 'expiration_date' in kwargs.keys():
expiration_date = kwargs['expiration_date']
else:
expiration_date = exp.get_options_expiration(ticker)
expiration_date = expiration_date.date()
settle_datetime = cu.convert_doubledate_2datetime(settle_date)
if 'cal_dte' in kwargs.keys():
cal_dte = kwargs['cal_dte']
else:
cal_dte = (expiration_date-settle_datetime.date()).days
if 'tr_dte' in kwargs.keys():
tr_dte = kwargs['tr_dte']
else:
bday_us = CustomBusinessDay(calendar=exp.get_calendar_4ticker_head(ticker_head))
dts = pd.date_range(start=settle_datetime, end=expiration_date, freq=bday_us)
tr_dte = len([x for x in dts if x.to_datetime().date() < expiration_date])
data_vendor_id = 2
now = dt.datetime.now()
con = msu.get_my_sql_connection(**kwargs)
process_output = pco.process_cme_options_4ticker(**kwargs)
if process_output['success']:
settle_frame = process_output['settle_frame']
else:
if 'con' not in kwargs.keys():
con.close()
return
column_names = settle_frame.columns.tolist()
option_type_indx = column_names.index('option_type')
strike_indx = column_names.index('strike')
settle_indx = column_names.index('settle')
volume_indx = column_names.index('volume')
interest_indx = column_names.index('interest')
tuples = [tuple([data_vendor_id, ticker_head, ticker_month_num, ticker_year,
ticker, x[option_type_indx],x[strike_indx],settle_datetime.date(),
cal_dte, tr_dte, now, now,
None if np.isnan(x[settle_indx]) else x[settle_indx],
None if np.isnan(x[volume_indx]) else x[volume_indx],
None if np.isnan(x[interest_indx]) else x[interest_indx]]) for x in settle_frame.values]
column_str = "data_vendor_id, ticker_head, ticker_month, ticker_year, ticker, " \
" option_type, strike, price_date, cal_dte, tr_dte, " \
" created_date,last_updated_date, close_price, volume, open_interest"
insert_str = ("%s, " * len(column_str.split(',')))[:-2]
final_str = "REPLACE INTO daily_option_price (%s) VALUES (%s)" % (column_str, insert_str)
msu.sql_execute_many_wrapper(final_str=final_str, tuples=tuples, con=con)
if 'con' not in kwargs.keys():
con.close()
