def get_T_table(self):
params = self.app.get_agent_params(['Insts'])
self.curr_insts = params['Insts']
inst_labels = [
'Name', 'Price', 'BidPrice', 'BidVol', 'AskPrice', 'AskVol',
'Volume', 'OI', 'PV', 'Delta', 'Gamma', 'Vega', 'Theta'
]
under_labels = [
'Name', 'Price', 'BidPrice', 'BidVol', 'AskPrice', 'AskVol',
'Volume', 'OI', 'UpLimit', 'DownLimit'
]
for inst in self.underliers:
for instlbl in under_labels:
value = self.curr_insts[inst][instlbl]
self.root.stringvars[inst][instlbl].set(keepdigit(value, 4))
for inst in self.option_insts:
for instlbl in inst_labels:
value = self.curr_insts[inst][instlbl]
self.root.stringvars[inst][instlbl].set(keepdigit(value, 4))
vol_labels = [
'Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10',
'Updated'
]
params = self.app.get_agent_params(['Volgrids.' + self.name])
results = params['Volgrids'][self.name]
for expiry in results:
if expiry in self.stringvars['Volgrid']:
for vlbl in vol_labels:
value = results[expiry][vlbl]
self.stringvars['Volgrid'][expiry][vlbl].set(
keepdigit(value, 5))
vn = self.volgrid.volnode[expiry]
vn.setFwd(results[expiry]['Fwd'])
vn.setToday(results[expiry]['Updated'])
vn.setAtm(results[expiry]['Atm'])
vn.setD90Vol(results[expiry]['V90'])
vn.setD75Vol(results[expiry]['V75'])
vn.setD25Vol(results[expiry]['V25'])
vn.setD10Vol(results[expiry]['V10'])
vn.initialize()
for key in self.opt_dict:
inst = self.opt_dict[key]
bid_price = self.curr_insts[inst]['BidPrice']
ask_price = self.curr_insts[inst]['AskPrice']
idx = self.cont_mth.index(key[0])
expiry = self.expiries[idx]
fwd = self.volgrid.volnode[expiry].fwd_()
strike = key[2]
otype = key[1]
Texp = self.volgrid.volnode[expiry].expiry_()
bvol = pyktlib.BlackImpliedVol(bid_price, fwd, strike, self.rf,
Texp, otype) if bid_price > 0 else 0
avol = pyktlib.BlackImpliedVol(ask_price, fwd, strike, self.rf,
Texp, otype) if bid_price > 0 else 0
self.root.stringvars[inst]['BidIV'].set(keepdigit(bvol, 4))
self.curr_insts[inst]['BidIV'] = bvol
self.root.stringvars[inst]['AskIV'].set(keepdigit(avol, 4))
self.curr_insts[inst]['AskIV'] = avol
def get_T_table(self):
params = self.app.get_agent_params(['Insts'])
inst_labels = ['Name', 'Price','BidPrice', 'BidVol','AskPrice', 'AskVol']
under_labels = ['Name', 'Price','BidPrice','BidVol','AskPrice','AskVol','UpLimit','DownLimit']
for inst in self.underliers:
if inst not in self.curr_insts:
self.curr_insts[inst] = {}
for instlbl in under_labels:
value = params['Insts'][inst][instlbl]
self.curr_insts[inst][instlbl] = value
#value = type2str(value, value.__class__.__name__)
self.root.stringvars[inst][instlbl].set(keepdigit(value,4))
for inst in self.opt_dict.values():
if inst not in self.curr_insts:
self.curr_insts[inst] = {}
for instlbl in inst_labels:
value = params['Insts'][inst][instlbl]
self.curr_insts[inst][instlbl] = value
#value = type2str(value, value.__class__.__name__)
self.root.stringvars[inst][instlbl].set(keepdigit(value,4))
vol_labels = ['Expiry', 'Under', 'Df', 'Fwd', 'Atm', 'V90', 'V75', 'V25', 'V10','Updated']
params = self.app.get_strat_params(self.name, ['Volgrid'])
for expiry in params['Volgrid']:
if expiry in self.stringvars['Volgrid']:
for vlbl in vol_labels:
value = params['Volgrid'][expiry][vlbl]
#value = type2str(value, value.__class__.__name__)
self.stringvars['Volgrid'][expiry][vlbl].set(keepdigit(value,5))
self.volgrids[expiry].setFwd(params['Volgrid'][expiry]['Fwd'])
self.volgrids[expiry].setAtm(params['Volgrid'][expiry]['Atm'])
self.volgrids[expiry].setD90Vol(params['Volgrid'][expiry]['V90'])
self.volgrids[expiry].setD75Vol(params['Volgrid'][expiry]['V75'])
self.volgrids[expiry].setD25Vol(params['Volgrid'][expiry]['V25'])
self.volgrids[expiry].setD10Vol(params['Volgrid'][expiry]['V10'])
self.volgrids[expiry].initialize()
for key in self.opt_dict:
inst = self.opt_dict[key]
bid_price = self.curr_insts[inst]['BidPrice']
ask_price = self.curr_insts[inst]['AskPrice']
idx = self.cont_mth.index(key[1])
expiry = self.expiries[idx]
fwd = self.volgrids[expiry].fwd_()
strike = key[3]
otype = key[2]
Texp = self.volgrids[expiry].expiry_()
bvol = pyktlib.BlackImpliedVol(bid_price, fwd, strike, self.rf, Texp, otype) if bid_price > 0 else 0
avol = pyktlib.BlackImpliedVol(ask_price, fwd, strike, self.rf, Texp, otype) if bid_price > 0 else 0
self.stringvars[inst]['BidIV'].set(keepdigit(bvol,4))
self.curr_insts[inst]['BidIV'] = bvol
self.stringvars[inst]['AskIV'].set(keepdigit(avol,4))
self.curr_insts[inst]['AskIV'] = avol
return