def calc_instrument_realized_vol(db_session,
instrument_id,
trade_date,
windows,
is_primary=False):
if trade_date > date.today():
raise CustomException('所选日期不能超过今天')
# TODO: 如果不是交易日，当前默认使用上一个交易日
holidays = TradingCalendarRepo.get_holiday_list(db_session)
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=max(windows),
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.get_instrument_quote_close_dict_by_period(
db_session, instrument_id, start_date, trade_date, is_primary)
realized_vol_dto_list = []
for window in windows:
return_rates = []
# 判断是否为节假日, 非节假日start_date为: trade_date往前走window-1天, 节假日start_date为: trade_date往前走window天
if DateTimeUtils.is_trading_day(trade_date, holidays):
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=window - 1,
direction=-1)
else:
start_date = DateTimeUtils.get_trading_day(trade_date,
holidays,
special_dates=[],
step=window,
direction=-1)
# 只处理在窗口范围日期内的数据
for key in quote_close_dto_dict:
if start_date <= key <= trade_date:
quote_close = quote_close_dto_dict.get(key)
if quote_close is not None and quote_close.returnRate is not None:
return_rates.append(quote_close.returnRate)
if len(return_rates) < window:
logging.debug('窗口大小大于回报率个数，窗口大小：%d，回报率个数：%d' %
(window, len(return_rates)))
realized_vol = HistoricalVolAlgo.calc_one_realized_vol(
return_rates)
if realized_vol is None:
# 如果计算得到的结果为None，直接跳过处理
logging.debug('计算得到的值为空，窗口：%d' % window)
continue
dto = RealizedVolDTO()
dto.window = window
dto.vol = realized_vol
realized_vol_dto_list.append(dto)
return realized_vol_dto_list, diagnostics
def expire_date_fun(term_list, db_session):
"""
根据当前日期和特定步长天数列表，除去节假日和双休，计算到期交易日
[1，3，5，10，22，44，66，123]: 特定步长天数列表
使用business_calendar库的Calendar方法
:param date: term_list(特定步长天数列表)
:return: expire_date_dict
"""
# 获取当前时间
current_day = datetime.date.today()
# 获取节假日
holidays = TradingCalendarRepo.get_holiday_list(db_session)
# # todo 获取特殊日
# special_dates = load_special_dates(db_session, underlier)
special_dates = []
# 根据step获取交易日是哪天，并与步长天数组成字典
# 将到期日与天数组成一个字典
expire_date_dict = {}
for step_date in term_list:
expire_date = DateTimeUtils.get_trading_day(
current_day, holidays, special_dates, step_date)
expire_date = expire_date.strftime('%Y-%m-%d')
expire_date_dict[expire_date] = step_date
return expire_date_dict
def go_trading_day(db_session, current_date, step, direction=1):
special_dates = []
holidays = TradingCalendarRepo.get_holiday_list(db_session)
return DateTimeUtils.get_trading_day(current_date,
holidays,
special_dates,
step,
direction=direction)
async def get_heat_map(self, trade_date=None):
with self.make_session() as db_session:
if trade_date is None:
trade_date = datetime.now().date()
# 求上一个交易日
holidays = TradingDayService.get_holiday_list(db_session)
trade_date = DateTimeUtils.get_trading_day(trade_date, holidays, special_dates=[], step=2, direction=-1)
heat_map_dto_list, diagnostics = OtcAtmQuoteService.get_heat_map(db_session, trade_date)
heat_map_schema = HeatMapSchema(many=True, exclude=[])
return DiagnosticResponse(heat_map_schema.dump(heat_map_dto_list).data, diagnostics)
def calc_all_instrument_quote_vol_surface(observed_date):
"""
从otc_option_quote表里取华泰的数据,格式化写入到vol_surface表中
:return:
"""
db_session = create_db_session()
try:
# 取所有instrument_id
instrument_ids = OTCOptionQuoteRepo.get_instrument_ids_by_observe_date(
db_session, observed_date)
vol_surface_dbo_dict = {}
for index, instrument_id in enumerate(instrument_ids):
# 计算一个标的的vol_surface
logger.info('准备加载的标的为: %s, 进度为: %d of %d' %
(instrument_id, index + 1, len(instrument_ids)))
vol_surface_dbo = VolSurfaceSpiderService.calc_one_instrument_quote_vol_surface(
db_session, instrument_id, observed_date)
if vol_surface_dbo is None:
continue
vol_surface_dbo_dict[instrument_id] = vol_surface_dbo
logger.info('成功计算了标的: %s的vol_surface, 进度为: %d of %d' %
(instrument_id, index + 1, len(instrument_ids)))
# 获取所有的合约种类及其对应的主力合约
holidays = TradingCalendarRepo.get_holiday_list(db_session)
special_dates = []
# 取上一个交易日
last_trade_date = DateTimeUtils.get_trading_day(
observed_date, holidays, special_dates, 1, -1)
# 获取所有的主力合约
contract_list = db_session.query(FutureContractInfo).filter(
FutureContractInfo.tradeDate == last_trade_date).all()
# 获取当天所有活跃的大宗期货合约
active_instrument_list = db_session.query(Instrument).filter(
and_(
Instrument.status ==
enum_dto.InstrumentStatusType.ACTIVE.name,
Instrument.assetClass ==
enum_dto.AssetClassType.COMMODITY.name,
Instrument.instrumentType ==
enum_dto.InstrumentType.FUTURE.name,
or_(Instrument.delistedDate is None,
Instrument.delistedDate > observed_date))).all()
active_instrument_dict = {}
for instrument in active_instrument_list:
if instrument.contractType not in active_instrument_dict:
active_instrument_dict[instrument.contractType] = []
active_instrument_dict[instrument.contractType].append(
instrument.instrumentId)
# 所有标的都使用主力合约对应的波动率曲面
vol_surface_dbos = []
for contract in contract_list:
primary_contract_id = contract.primaryContractId
if primary_contract_id not in vol_surface_dbo_dict:
logger.warning('标的没有主力合约对应的波动率曲面：%s' % primary_contract_id)
continue
variety_type = contract.contractType
if variety_type not in active_instrument_dict:
logger.warning('主力合约没有活跃的合约：%s' % variety_type)
continue
active_future_list = active_instrument_dict[variety_type]
for instrument_id in active_future_list:
vol_surface_dbo = copy.deepcopy(
vol_surface_dbo_dict[primary_contract_id])
vol_surface_dbo.uuid = uuid.uuid1()
vol_surface_dbo.instrumentId = instrument_id
vol_surface_dbos.append(vol_surface_dbo)
# 将波动率曲面写入数据库
VolSurfaceRepo.insert_vol_surfaces(db_session, vol_surface_dbos)
logger.info('爬虫vol surface计算完成')
except Exception as e:
logger.error(e)
def update_all_instrument_vol_surface_to_terminal(observed_date):
db_session = create_db_session()
holidays = TradingCalendarRepo.get_holiday_list(db_session)
special_dates = []
if not DateTimeUtils.is_trading_day(observed_date, holidays,
special_dates):
observed_date = DateTimeUtils.get_trading_day(observed_date, holidays,
special_dates, 1, -1)
# 登陆
logging.info('update all instrument vol surface to bct观察日为: %s' %
DateTimeUtils.date2str(observed_date))
header = server_utils.login_terminal()
# 从终端加载需要的标的物
terminal_instrument_ids = [
instrument['instrumentId']
for instrument in server_utils.get_instrument_list(header)
]
logging.info(
'从终端加载到的标的物为：%s, 长度为: %d' %
(','.join(terminal_instrument_ids), len(terminal_instrument_ids)))
# 获取数据库中标的物
vol_surface_list = VolSurfaceRepo.get_vol_surface_by_observed_date(
db_session, observed_date)
if not vol_surface_list:
logging.info('observed_date为: %s没有可以导入到终端的vol surface' % observed_date)
# 将instruments去重
unique_vol_surface_list = unique_instruments(vol_surface_list)
logging.info('在trading_date为: %s时,vol surface 表获取到的标的数量为: %d' %
(observed_date, len(unique_vol_surface_list)))
# 写入vol surface 到 bct
failed_instrument_ids = []
# hacky here, 由于bct接收的tenor是自然日，需要将vol surface中工作日转为自然日
for index, unique_vol_surface in enumerate(unique_vol_surface_list):
# try:
instrument_id = unique_vol_surface.instrumentId
a = unique_vol_surface.modelInfo
model_info = unique_vol_surface.modelInfo
if model_info is None:
continue
# 获取到当前的vol surface的实时行情spot价格
market_data = get_real_time_market_data_by_instrument_id(instrument_id)
if market_data is not None and market_data.get(
'lastPrice') is not None:
now_price = market_data.get('lastPrice')
else:
logging.error('标的物%s当前行情为空' % instrument_id)
continue
if unique_vol_surface.instrumentId not in terminal_instrument_ids:
logging.info('当前标的: %s的vol surface不在终端需要的列表里' %
unique_vol_surface.instrumentId)
continue
logging.info('当前准备写入到bct的标的为: %s, 进度为: %d of %d' %
(unique_vol_surface.instrumentId, index + 1,
len(unique_vol_surface_list)))
result = update_one_instrument_to_terminal(unique_vol_surface, header,
now_price, observed_date)
if not result:
failed_instrument_ids.append(instrument_id)
time.sleep(0.3)
# except Exception as e:
# logging.error('更新标的物%s波动率曲面失败， 异常:%s' % (instrument_id, str(e)))
logging.error(
'处理失败的标的物为：%d %s' %
(len(failed_instrument_ids), ','.join(failed_instrument_ids)))
db_session.close()