-
Notifications
You must be signed in to change notification settings - Fork 2
/
sugarskew.py
198 lines (179 loc) · 7.02 KB
/
sugarskew.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
# -*- coding: utf-8 -*-
"""
@version: 0.0.1
"""
from __future__ import print_function, division
import numpy as np
import sys
reload(sys)
sys.setdefaultencoding("utf-8")
from datetime import *
from WindPy import w
import pandas as pd
import threading as tt
import traceback as tb
import time as t
import calendar
w.start()
w.isconnected()
# per1,per2,per3,per4=1.16227245905,1.00754341006,0.986996744487,0.943550679017
class hisskew2(object):
def calcuskew(self):
end = datetime.today()
begin = datetime(2017,4,19)
#begin=end-timedelta(10)
day2 = []
for i in range((end - begin).days + 1):
day = begin + timedelta(days=i)
day2.append(day)
hisSKEW = []
for date in day2:
close = 0
OPC2 = optionchoose2(close, date)
option_year, option_month = OPC2.option_name()
closePrice = pd.DataFrame(w.wsd("SR" + str(option_year)[-1:] + "0" + str(option_month) + ".CZC", "close", date, date,"TradingCalender=DCE").Data[0]).dropna()
close = np.array(closePrice)
if close == [[u'CWSDService: No data.']]:
continue
OPC2 = optionchoose2(close, date)
price = OPC2.mround()
at_call_Code = "SR" + str(option_year)[-1:] + "0" + str(option_month) + "C" + str('{:.0f}'.format(price)) + '.CZC'
out_call_Code = "SR" + str(option_year)[-1:] + "0" + str(option_month) + "C" + str('{:.0f}'.format(price + 100)) + '.CZC'
his_atIVX = pd.DataFrame(w.wsd(at_call_Code, "us_impliedvol", date, date, "TradingCalender=DCE").Data).dropna()
his_outIVX = pd.DataFrame(w.wsd(out_call_Code, "us_impliedvol", date, date, "TradingCalender=DCE").Data).dropna()
try:
his_skew = his_outIVX / his_atIVX
his_skew = his_skew.values[0][0]
except:
continue
hisSKEW.append(his_skew)
per21, per22, per23, per24 = np.percentile(hisSKEW, 90), np.percentile(hisSKEW, 60), np.percentile(hisSKEW,40), np.percentile(hisSKEW, 10)
print("sugarskew percentile")
print([per21, per22, per23, per24])
return per21,per22,per23,per24
class Sugarskew(object):
def __init__(self, atCode, outCode, position,per21,per22,per23,per24):
self.atCode = atCode
self.outCode = outCode
self.position = position
self.Underlying = "SR801.CZC"
self.per21 = per21
self.per22 = per22
self.per23 = per23
self.per24 = per24
def Expire(self):
today = date.today()
tommorrow = today + timedelta(days=1)
expire = w.wsd(self.atCode, "exe_enddate", "ED0TD", today, "TradingCalender=DCE").Data[0][0]
if self.position == 'flat':
return False
elif expire == tommorrow:
string = "Option will expire tommorrow!"
print(string +"Please COVER "+str(self.atCode)+'and'+str(self.outCode))
return True
else:
return False
def Monitor(self):
print("Sugar SKEW",self.atCode,self.outCode,datetime.now())
try:
atIVX = w.wsq(self.atCode, "rt_imp_volatility").Data[0][0]
# the real time ivx of wind
outIVX = w.wsq(self.outCode, "rt_imp_volatility").Data[0][0] # the real time ivx of wind
except IndexError:
pass
if atIVX !=0:
skewnow=outIVX/atIVX
else:
return
if self.Expire():
return
print ("skew: ", skewnow)
# open a position
if skewnow>self.per21 and self.position == 'flat':
print('NOTICE! buy one'+str(self.atCode)+'，short two '+str(self.outCode))
elif skewnow<self.per24 and self.position == 'flat':
print('NOTICE! short one'+str(self.atCode)+'，buy two '+str(self.outCode))
# close a position
if skewnow<self.per22 and self.position == 'buy':
print('COVER OPTIONS! short one'+str(self.atCode)+'，buy two'+str(self.outCode))
elif skewnow>self.per23 and self.position == 'short':
print('COVER OPTIONS! buy one'+str(self.atCode)+'，short two '+str(self.outCode))
class optionchoose2(object):
def __init__(self, a, date):
self.a = a
self.date = date
def mround(self):
b=int(self.a/100)*100
if self.a-b<=50:
price=b
else:
price=b+100
return price
def endday(self):
monthRange = calendar.monthrange(self.date.year, self.date.month)[1]
lastday = datetime(self.date.year, self.date.month, monthRange)
if lastday.isocalendar()[2] == 5:
endday = monthRange - 4
if lastday.isocalendar()[2] == 6:
endday = monthRange - 5
else:
endday = monthRange - 6
def option_name(self):
option_year = self.date.year
option_month = self.date.month
if option_month==12:
option_month = 5
option_year = option_year + 1
if option_month in [1,2]:
option_month = 5
elif option_month in [4,5,6]:
option_month = 9
elif option_month in [8,9,10]:
option_month = 1
option_year=option_year+1
else:
option_day=self.date.day
if option_day< self.endday():
if option_month == 3:
option_month = 5
if option_month == 7:
option_month = 9
if option_month == 11:
option_month = 1
option_year = option_year + 1
else:
if option_month == 3:
option_month = 9
if option_month == 7:
option_month = 1
option_year = option_year + 1
if option_month == 11:
option_month = 5
option_year = option_year + 1
return option_year, option_month
w_wset_data=pd.DataFrame(w.wset('SectorConstituent',u'date=20171009;sector=白糖期权').Data)
w_wset_data=w_wset_data.T
if __name__ == '__main__':
etf = w.wsq("SR801.CZC", "rt_last")
a = np.array(etf.Data[0])[0]
OPC2 = optionchoose2(a, date)
price = OPC2.mround()
option_at_call = "" + str(format(price))
option_at_put = "" + str(format(price))
option_out_call = "" + str(format(price + 100))
option_out_put = "" + str(format(price - 100))
option_out2_call = "" + str(format(price + 200))
option_out2_put = "" + str(format(price - 200))
position = 'flat' # flat long-short buy-sell
'''监控开始'''
timeInterval = 1
def delayrun():
print('SugarSkew Begin...')
timer = tt.Timer(timeInterval, delayrun)
timer.start()
while True:
t.sleep(60) # frequency: 5 seconds
atCode = w_wset_data[w_wset_data[2] == option_at_call][1].values[0]
outCode = w_wset_data[w_wset_data[2] == option_out_call][1].values[0]
BSV_at_call = Sugarskew(atCode, outCode, position)
BSV_at_call.Monitor()