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sugarRiskReversal.py
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sugarRiskReversal.py
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#! /usr/bin/env python
# -*- coding: utf-8 -*-
# Risk reversal Volatility Trading Strategy
#################
###### 白糖 ######
#################
import numpy as np
import pandas as pd
import threading as tt
import traceback as tb
import time as t
from OptionHelper import VanillaOption
from WindPy import *
from datetime import *
w.start()
w.isconnected()
class SugarRiskReversal(object):
def __init__(self, CallCode, PutCode, Position, Period=30, aStd=3, Bollinger=False):
self.CallCode = CallCode.upper()
self.PutCode = PutCode.upper()
self.position = Position
self.Period = Period
self.aStd = aStd
self.Bollinger = Bollinger
# self.futureCode = CallCode[0:5]+CallCode[-4:]
# self.Strike = float(CallCode[8:12])
def CalcuMeanStd(self):
strPeriod = "ED-" + str(self.Period) + "D"
today = date.today()
yesterday = str(today - timedelta(days=1))
callIVX = pd.DataFrame(
w.wsd(self.CallCode, "us_impliedvol", strPeriod, yesterday, "TradingCalender=DCE").Data).dropna()
putIVX = pd.DataFrame(
w.wsd(self.PutCode, "us_impliedvol", strPeriod, yesterday, "TradingCalender=DCE").Data).dropna()
diffIVX = np.array(callIVX) - np.array(putIVX)
meanDiffIVX = np.mean(diffIVX)
stdDiffIVX = np.std(diffIVX)
return diffIVX, meanDiffIVX, stdDiffIVX
def longPosition(self):
string = "NOTICE! Buy " + self.PutCode + ", sell " + self.CallCode + ", buy Future"
print(string)
def shortPosition(self):
string = "NOTICE! Buy " + self.CallCode + ", sell " + self.PutCode + ", sell Future"
print(string)
def BollingerBand(self):
today = date.today()
yesterday = str(today - timedelta(days=1))
try:
callIVX = pd.DataFrame(w.wsd(self.CallCode, "us_impliedvol", "ED-20D", yesterday, "TradingCalender=DCE").Data).dropna()
putIVX = pd.DataFrame(w.wsd(self.PutCode, "us_impliedvol", "ED-20D", yesterday, "TradingCalender=DCE").Data).dropna()
diffIVX = np.array(callIVX) - np.array(putIVX)
MA = np.mean(diffIVX)
MB = np.mean(diffIVX[0:-1])
STD = np.std(diffIVX)
UP = MB + 3 * STD
DOWN = MB - 3 * STD
return diffIVX, MA, MB, UP, DOWN
except:
pass
def GammaScalp(self):
pass
def Cover(self, diffIVX, mean):
if self.Position == 0:
return 0
elif self.Position == 1:
if diffIVX == mean:
string = "Buy call, sell put, and sell Future"
print("Please COVER!" + string)
return 1
elif self.Position == -1:
if diffIVX == mean:
string = "Buy put, sell call, and buy Future"
print("Please COVER!" + string)
return 1
else:
print("position wrong!")
return 1
def Hedge(self):
[callDelta],[callGamma],[callVega],[callTheta],[callRho] = w.wsq(self.CallCode,
"rt_delta,rt_gamma,rt_vega,rt_theta,rt_rho").Data
[putDelta],[putGamma],[putVega],[putTheta],[putRho] = w.wsq(self.PutCode,
"rt_delta,rt_gamma,rt_vega,rt_theta,rt_rho").Data
print "CallDelta: ", callDelta
print "CallGamma: ", callGamma
print "CallVega: ", callVega
print "CallTheta: ", callTheta
print "CallRho: ", callRho
print "PutDelta: ", putDelta
print "PutGamma: ", putGamma
print "PutVega: ", putVega
print "PutTheta: ", putTheta
print "PutRho: ", putRho
def Monitor(self):
"""Wind数据准备"""
# rate = w.wsq("CGB1Y.WI", "rt_latest").Data[0][0] / 100.0
# # rate = 0.031412
# currentCallPrice = w.wsq(myCallCode, "rt_latest").Data[0][0]
# currentPutPrice = w.wsq(myPutCode, "rt_latest").Data[0][0]
# currentFuturePrice = w.wsq(self.futureCode, "rt_latest").Data[0][0]
# callVO = VanillaOption(spot=currentFuturePrice, strike=self.Strike, maturity=4.0/12, rate=rate, vol=0.12, optionType='Call')
# putVO = VanillaOption(spot=currentFuturePrice, strike=self.Strike, maturity=4.0/12, rate=rate, vol=0.12, optionType='Put')
# myCallIVX = callVO.impVol(currentPrice=currentCallPrice, modelType='mc')
# myPutIVX = putVO.impVol(currentPrice=currentPutPrice, modelType='mc')
myCallIVX = w.wsq(self.CallCode, "rt_imp_volatility").Data[0][0] # the real time ivx of wind
myPutIVX = w.wsq(self.PutCode, "rt_imp_volatility").Data[0][0]
print "Sugar RiskReversal:",self.CallCode, self.PutCode,datetime.now()
print "Call Implied Volatility: ", myCallIVX
print "Put Implied Volatility: ", myPutIVX
print "Diff of IVX:", myCallIVX - myPutIVX
diffIVX, MA, MB, UP, DOWN = self.BollingerBand()
# open a position
if self.position == 0:
if myCallIVX - myPutIVX > UP:
self.longPosition()
self.Hedge()
#self.position == 1
elif myCallIVX - myPutIVX < DOWN:
self.shortPosition()
self.Hedge()
#self.position == -1
# close a position
elif self.Position == 1:
if diffIVX == mean:
print("Please COVER!")
self.shortPosition()
self.Hedge()
#self.position == 0
elif self.Position == -1:
if diffIVX == mean:
print("Please COVER!")
self.longPosition()
self.Hedge()
#self.position == 0
else:
print("position wrong!")
print " "
if __name__ == '__main__':
'''策略参数准备'''
myCallCode = "SR801C6800.CZC"
myPutCode = "SR801P6800.CZC"
myPeriod = 30
myBollinger = False
myaStd = 3 # (1.5, 3)
myPosition = 0 # -1:short 0:empty 1:long
'''监控开始'''
RR = SugarRiskReversal(myCallCode, myPutCode, myPosition, myPeriod, myaStd, myBollinger)
timeInterval = 1
def delayrun():
print 'Begin...'
timer = tt.Timer(timeInterval, delayrun)
timer.start()
while True:
t.sleep(5)
RR.Monitor()