50ETF长期做空波动率 50ETF Opt Short Vola Long Term

# coding:utf-8
#!/usr/bin/env python

from PoboAPI import *
import datetime
import time
import numpy as np
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#开始时间，用于初始化一些参数
def OnStart(context) :
    print "I\'m starting..."
    #设定一个全局变量品种
    g.code = "510050.SHSE"
    #订阅实时数据，用于驱动OnQuote事件
    SubscribeQuote(g.code)
    #订阅K线数据，用于驱动OnBar事件
    SubscribeBar(g.code, BarType.Day)
    #登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
    context.myacc = None
    if context.accounts.has_key("回测期权") :
        print "登录交易账号[回测期权]"
        if context.accounts["回测期权"].Login() :
            context.myacc = context.accounts["回测期权"]
def Getop(code): #查询虚值期权合约
    dyndata = GetQuote(code)
    now1 = dyndata.now
    now50 = round(now1,1) + 0.05 #到虚值一档
    cutime = GetCurrentTime()
    if cutime.day >15 and cutime.month<12:
        tim = cutime.month + 1
        month_time = datetime.datetime(month=tim, year=cutime.year,day = 20)
    elif cutime.day >15 and cutime.month==12:
        tim = 1
        yea = cutime.year + 1
        month_time = datetime.datetime(month=tim, year=yea,day = 20) 
    else:
        month_time = cutime
    atmopc = GetAtmOptionContract(code,month_time,now50,0) #查对应虚值call合约
    atmopp = GetAtmOptionContract(code,month_time,now50,1) #查对应虚值put合约
    return atmopc,atmopp
  
def stime(op): #计算到期日
    info1 = GetContractInfo(op)
    kill = info1['行权到期日']

    cutime = GetCurrentTime()
    c = cutime.date()
    n = (kill - c).days
    print n
    return n
    
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
    #过滤掉不需要的行情通知
    if code != g.code :
        return

    #获取最新行情
    dyndata = GetQuote(g.code)
    if dyndata :
        #.now指最新价，详细属性见API文档i
        now1 = dyndata.now
        #打印最新价
        log.info("最新价: " + str(dyndata.now) + str(dyndata.time))
    posi = context.myacc.GetPositions()
    print len(posi)
    
    b = CreateCalcObj()
    option = PBObj()
    option.EndDate = GetCurrentTime()
    option.Count = 60
    #计算60天历史波动率
    klist = GetHisDataByField(g.code, BarType.Day, "close", option)
    if len(klist)>0:
        Kl = np.array(klist, dtype=np.double)
        c=b.GetVolatility(Kl)
        print "历史波动率"
        print c

    if len(posi) == 0 and c<0.35: #无持仓且历史波动率在35%以下就卖虚值一档期权
        opc,opp = Getop(g.code)
        print str(opc)
        dync = GetQuote(opc)
        dynp = GetQuote(opp)
        if dync != None:
            log.info("最新价2: " + str(dync.now))
            log.info("最新价3: " + str(dynp.now))
            context.myacc.InsertOrder(opc, BSType.SellOpen, dync.now, 100)
            context.myacc.InsertOrder(opp, BSType.SellOpen, dynp.now, 100)
    elif len(posi) >1:
        print len(posi)
        opcode1 = posi[0].contract
        opcode2 = posi[1].contract
        dyn1 = GetQuote(opcode1)
        dyn2 = GetQuote(opcode2)
        info1 = GetContractInfo(opcode1)
        pr1 = info1['行权价格']
        ki1 = info1['行权到期日']
        info2 = GetContractInfo(opcode2)
        pr2 = info2['行权价格']
        sy = stime(opcode1)
        print str(pr1) + '行权价格'
        print str(pr2) + '行权价格2'
        print sy
        if sy<3:#据到期日小于3天就买平仓
            context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, 100)
            context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, 100)
        elif now1 >= pr1 or now1 <= (pr1-0.15): #ETF价格高于call行权价 或 call行权价比ETF价格高出0.15，买平仓
            context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, 100)
            context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, 100)
#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
    #打印委托信息，id是编号，volume是数量，详细见API文档
    print "委托编号： " + order.id + "   账号名称： " + AccountName
    print "Vol: " + str(order.volume) + " Price: " + str(order.price)