def get_instrument_quote_close_dict_by_period(db_session, instrument_id, start_date, end_date, is_primary=False):
quote_close_dto_list = QuoteCloseService.get_instrument_quote_close_list_by_period(db_session, instrument_id,
start_date, end_date,
is_primary)
# 转化为字典类型
quote_close_dto_dict = {}
for quote_close in quote_close_dto_list:
quote_close_dto_dict[quote_close.tradeDate] = quote_close
# 校验缺失的收盘价数据
missing_dates = []
holidays = TradingDayService.get_holiday_list(db_session, start_date, end_date)
trade_date = start_date
while trade_date <= end_date:
if DateTimeUtils.is_trading_day(trade_date, holidays):
if trade_date not in quote_close_dto_dict:
# 将缺失的日期添加到诊断中
missing_dates.append(trade_date)
# 是否需要将缺失的数据按None补齐
quote_close_dto_dict[trade_date] = None
trade_date += timedelta(days=1)
# 添加诊断信息
diagnostics = []
if len(missing_dates) != 0:
message = '标的物%s在[%s, %s]时段内中缺失%d条收盘数据' % (
instrument_id, DateTimeUtils.date2str(start_date), DateTimeUtils.date2str(end_date), len(missing_dates))
diagnostics.append(DiagnosticDTO(DiagnosticType.WARNING, message, missing_dates))
logging.debug(message)
return quote_close_dto_dict, diagnostics
def calc_instrument_vol_cone(db_session,
instrument_id,
start_date,
end_date,
windows,
percentiles,
is_primary=False):
origin_start_date = start_date
holidays = TradingDayService.get_holiday_list(db_session)
# 判断是否时节假日
if DateTimeUtils.is_trading_day(end_date, holidays):
start_date = TradingDayService.go_trading_day(db_session,
start_date,
max(windows) - 1,
direction=-1)
else:
start_date = TradingDayService.go_trading_day(db_session,
start_date,
max(windows),
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.\
get_instrument_quote_close_dict_by_period(db_session, instrument_id, start_date, end_date, is_primary)
vol_cone_dto_list = HistoricalVolService.\
calc_multiple_window_percentiles_by_quotes(origin_start_date, end_date, quote_close_dto_dict, windows,
percentiles)
return vol_cone_dto_list, diagnostics
def get_future_contract_order(db_session, contract_type, exist_dates,
start_date, end_date):
holidays = TradingCalendarRepo.get_holiday_list(db_session)
special_dates = []
if start_date > end_date:
logging.error(
"日期指定非法:%s 大于 %s" % DateTimeUtils.date2str(start_date),
DateTimeUtils.date2str(end_date))
return None
else:
all_dates = [
DateTimeUtils.str2date(date.strftime("%Y-%m-%d"))
for date in rrule(DAILY, dtstart=start_date, until=end_date)
]
if exist_dates:
missing_dates = list(set(all_dates) - set(exist_dates))
else:
missing_dates = all_dates
listed_date, delisted_date = DateTimeUtils.offset_trade_date(
start_date, end_date, holidays, special_dates)
close_dict = CommodityFutureContractService.get_corresponding_close(
db_session, contract_type, listed_date, delisted_date)
instruments_list = db_session.query(Instrument).filter(
Instrument.contractType == contract_type)
fc_list = []
if close_dict:
for trade_date in missing_dates:
if DateTimeUtils.is_trading_day(trade_date, holidays,
special_dates):
logging.info("处理交易日%s" %
DateTimeUtils.date2str(trade_date))
previous_trade_date, _ = DateTimeUtils.offset_trade_date(
trade_date, trade_date, holidays, special_dates)
pri, sec = FutureContractInfoAlgo.calc_one_future_contract_info(
instruments_list, close_dict, contract_type,
previous_trade_date)
if pri:
fc_info = FutureContractInfo(
contractType=contract_type,
tradeDate=trade_date,
primaryContractId=pri,
secondaryContractId=sec)
logging.info(
'合约的主力和次主力为：%s %s %s %s' %
(fc_info.contractType,
DateTimeUtils.date2str(fc_info.tradeDate),
fc_info.primaryContractId,
fc_info.secondaryContractId))
fc_list.append(fc_info)
else:
logging.info("跳过非交易日%s" %
DateTimeUtils.date2str(trade_date))
else:
fc_list = None
return fc_list
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 calc_instrument_atm_vol_list(db_session, underlyer, start_date,
end_date, is_primary):
atm_quote_list = OtcAtmQuoteService.get_instrument_atm_quote_list_by_period(
db_session, underlyer, start_date, end_date, is_primary)
# TODO：去掉重复数据,相同valuation date, underlyer, source, expire date的数据需要去重
# 根据valuation date进行分类
atm_quote_dict = {}
for atm_quote in atm_quote_list:
if atm_quote.valuationDate not in atm_quote_dict:
atm_quote_dict[atm_quote.valuationDate] = []
atm_quote_dict[atm_quote.valuationDate].append(atm_quote)
# 取一个自然月后到期日的前后3天的ask_vol和bid_vol的平均值作为当天的atm_vol
atm_vol_dict = {}
for valuation_date in atm_quote_dict:
quote_list = atm_quote_dict[valuation_date]
atm_vol = OtcAtmQuoteService.calc_one_atm_vol(
valuation_date, quote_list)
if atm_vol is not None:
atm_vol_dict[valuation_date] = atm_vol
# 检测哪些日期缺失
missing_dates = []
holidays = TradingDayService.get_holiday_list(db_session, start_date,
end_date)
trade_date = start_date
while trade_date <= end_date:
if DateTimeUtils.is_trading_day(trade_date, holidays):
if trade_date not in atm_vol_dict:
# 将缺失的日期添加到诊断中
missing_dates.append(trade_date)
# TODO： 是否需要将缺失的数据按0补足
trade_date += timedelta(days=1)
# 添加诊断信息
diagnostics = []
if len(missing_dates) != 0:
message = '标的物%s在[%s, %s]时段内中缺失%d条ATM Vol数据' % (
underlyer, DateTimeUtils.date2str(start_date),
DateTimeUtils.date2str(end_date), len(missing_dates))
diagnostics.append(
DiagnosticDTO(DiagnosticType.WARNING, message, missing_dates))
logging.error(message)
return atm_vol_dict.values(), diagnostics
def calc_instrument_rolling_vol(db_session,
instrument_id,
start_date,
end_date,
window,
is_primary=False):
holidays = TradingDayService.get_holiday_list(db_session)
# 判断是否时节假日
if DateTimeUtils.is_trading_day(end_date, holidays):
start_date = TradingDayService.go_trading_day(db_session,
start_date,
window - 1,
direction=-1)
else:
start_date = TradingDayService.go_trading_day(db_session,
start_date,
window,
direction=-1)
quote_close_dto_dict, diagnostics = QuoteCloseService.get_instrument_quote_close_dict_by_period(
db_session, instrument_id, start_date, end_date, is_primary)
realized_vol_dto_list = HistoricalVolService.calc_one_rolling_vol_by_quotes(
quote_close_dto_dict, window)
return realized_vol_dto_list, diagnostics
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()
def is_trading_day(db_session, current_date):
special_dates = []
holidays = TradingCalendarRepo.get_holiday_list(db_session)
return DateTimeUtils.is_trading_day(current_date, holidays,
special_dates)