GitHub - Yvictor/IVtws: 台灣期貨交易所報價爬蟲即時波動率計算與視覺化(taifex qoute python wrapper, calculate implied volatility and visualization )

IVtws 台灣期貨交易所報價爬蟲即時波動率計算與視覺化

資料來源台灣期貨交易所報價

Requires

python 2.7 or 3.x
pandas >= 0.18
numpy
matplotlib
selenium and PhantomJS
requests
plotly >= 1.9 (optional)
ipywidgets (optional)
bqplot (optional)
colour (optional)

Quick start example

git clone https://github.com/Yvictor/IVtws.git
cd IVtws
jupyter Notebook

using jupyter notebook

from IVtws import IVstream
form IPython.display import display
import matplotlib.pyplot as plt

import plotly offline to build interactivate plot

#with plotly interactive plot
from plotly.tools import mpl_to_plotly
from plotly.offline import iplot,iplot_mpl,init_notebook_mode
init_notebook_mode()

%matplotlib inline

Initialize the IV table

IVtw = IVstream((8,45),(13,45))
IVtw.init_table(select_settled=0)#select_settled is the selectbox of option qoute's settlement date default is the first week option

update data and recalculate the Implied Volitity

IVtw.append_IV()

	買進	賣出	成交	成交價	漲跌	內含價值	時間價值	隱含波動率	組合價	總量	時間	TCUL	履約價
15	270.000	272.000	272.000	272.0	-37.000	268.3	3.7	13.84	9168.3	300	2016-10-14 13:44:29	3.001722	8900
17	178.000	179.000	178.000	178.0	-34.000	167.5	10.5	13.51	9167.5	988	2016-10-14 13:44:36	3.001333	9000
18	134.000	136.000	135.000	135.0	-36.000	117.0	18.0	13.24	9167.0	1142	2016-10-14 13:44:51	3.000500	9050
19	95.000	96.000	96.000	96.0	-34.000	68.0	28.0	12.54	9168.0	8657	2016-10-14 13:44:52	3.000444	9100
20	62.000	63.000	63.000	63.0	-33.000	17.0	46.0	12.26	9167.0	16032	2016-10-14 13:44:53	3.000389	9150
21	39.000	39.500	39.000	39.0	-26.000	0.0	39.0	12.05	9169.0	49552	2016-10-14 13:44:52	3.000444	9200
22	20.500	21.000	20.500	20.5	-20.500	0.0	20.5	11.72	9167.5	47770	2016-10-14 13:44:53	3.000389	9250
23	10.000	10.500	10.000	10.0	-13.000	0.0	10.0	11.58	9168.0	43563	2016-10-14 13:44:53	3.000389	9300
24	4.100	4.200	4.100	4.1	-7.400	0.0	4.1	11.29	9169.1	21033	2016-10-14 13:44:52	3.000444	9350
25	1.600	1.700	1.700	1.7	-2.800	0.0	1.7	11.57	9165.7	21693	2016-10-14 13:44:53	3.000389	9400

	履約價	買進	賣出	成交價	成交	內含價值	時間價值	隱含波動率	組合價	漲跌	總量	TCUL	時間
11	8500	0.500	0.600	0.6	0.600	0.0	0.6	29.08	9189.4	-0.300	1926	3.001111	2016-10-14 13:44:40
12	8600	0.800	0.900	0.8	0.800	0.0	0.8	26.08	9189.2	-0.400	2605	3.000778	2016-10-14 13:44:46
13	8700	1.300	1.400	1.4	1.400	0.0	1.4	23.51	9181.6	-0.800	5801	3.000944	2016-10-14 13:44:43
14	8800	2.100	2.200	2.1	2.100	0.0	2.1	19.87	9167.9	-0.900	6778	3.000389	2016-10-14 13:44:53
15	8900	3.700	3.800	3.7	3.700	0.0	3.7	17.00	9168.3	-1.400	19534	3.000389	2016-10-14 13:44:53
16	8950	6.000	6.100	6.0	6.000	0.0	6.0	16.88	9182.0	-2.400	9207	3.000722	2016-10-14 13:44:47
17	9000	10.000	10.500	10.5	10.500	0.0	10.5	15.57	9167.5	-3.000	21161	3.000389	2016-10-14 13:44:53
18	9050	17.500	18.000	18.0	18.000	0.0	18.0	15.05	9167.0	-2.000	18981	3.000444	2016-10-14 13:44:52
19	9100	27.500	28.000	28.0	28.000	0.0	28.0	14.17	9168.0	-1.000	40078	3.000444	2016-10-14 13:44:52
20	9150	45.500	46.000	46.0	46.000	0.0	46.0	13.81	9167.0	2.500	37940	3.000444	2016-10-14 13:44:52
21	9200	70.000	71.000	70.0	70.000	31.0	39.0	13.57	9169.0	7.000	36969	3.000389	2016-10-14 13:44:53
22	9250	103.000	104.000	103.0	103.000	82.5	20.5	13.28	9167.5	13.000	12599	3.000500	2016-10-14 13:44:51
23	9300	141.000	142.000	142.0	142.000	132.0	10.0	13.28	9168.0	21.000	7654	3.000611	2016-10-14 13:44:49
24	9350	181.000	188.000	185.0	185.000	180.9	4.1	13.33	9169.1	24.000	1206	3.000389	2016-10-14 13:44:53
25	9400	232.000	239.000	236.0	236.000	234.3	1.7	14.29	9165.7	36.000	668	3.001722	2016-10-14 13:44:29

quick plot with matplotlib inline

fig,ax = plt.subplots(1)
Call = IVtw.Call[IVtw.Call['內含價值']<450].set_index('履約價',drop=False)
Put = IVtw.Put[IVtw.Put['內含價值']<450].set_index('履約價',drop=False)
Call['隱含波動率'].plot(ax = ax,figsize=(13,6),c='r',label='CallIV',marker='o')
Put['隱含波動率'].plot(ax = ax,figsize=(13,6),c='g',label='PutIV',marker='o')

interactive visualization with plotly

fig,ax = plt.subplots(1)
Call = IVtw.Call[IVtw.Call['內含價值']<500].set_index('履約價',drop=False)
Put = IVtw.Put[IVtw.Put['內含價值']<500].set_index('履約價',drop=False)
Call['隱含波動率'].plot(ax = ax,figsize=(13,6),c='r',label='CallIV')#,marker='o')
Put['隱含波動率'].plot(ax = ax,figsize=(13,6),c='g',label='PutIV')#,marker='o')
Call.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Call['時間價值']*5,c=(0.7,0.3,0.3),edgecolor=(0.7,0.3,0.3))
Put.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Put['時間價值']*5,c=(0.3,0.7,0.3),edgecolor=(0.3,0.7,0.3))
Call.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Call['內含價值'],c=(0.7,0.7,0.9),edgecolor=(0.7,0.3,0.3))
Put.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Put['內含價值'],c=(0.7,0.7,0.9),edgecolor=(0.3,0.7,0.3))
plotly_fig = mpl_to_plotly(fig)
plotly_fig['layout']['showlegend'] = True
iplot(plotly_fig)

Plot IV as timeseries

from colour import Color

IVtw.CallIVtable.drop_duplicates().plot(figsize=(13,6),grid=True,
                                      color=[i.hex for i in list(Color(rgb=(0.45,0.55,0.75)).range_to(Color(rgb=(0.75,0,0)), len(IVtw.CallIVtable.columns.tolist())))])

IVtw.PutIVtable.drop_duplicates().plot(figsize=(13,6),grid=True,
                                      color=[i.hex for i in list(Color(rgb=(0.45,0.55,0.75)).range_to(Color(rgb=(0.75,0,0)), len(IVtw.PutIVtable.columns.tolist())))])

Plot Option curve with ipywidgets

from ipywidgets import interactive,IntSlider,FloatSlider,Dropdown,Button,fixed,HBox,VBox,Layout

widg = interactive(IVtw.creatSTwithPlot,futshare=IntSlider(min=-5,max=5,step=1),
            Cal1 = IVtw.Callless['履約價'].tolist(),c1share=IntSlider(min=-5,max=5,step=1),
            Cal2 = IVtw.Callless['履約價'].tolist(),c2share=IntSlider(min=-5,max=5,step=1),
            Put1 = IVtw.Putless['履約價'].tolist(),p1share=IntSlider(min=-5,max=5,step=1),
            Put2 = IVtw.Putless['履約價'].tolist(),p2share=IntSlider(min=-5,max=5,step=1),
            showrange = IntSlider(min = 200, max = 500,step = 50,value=320),
            up = IntSlider(min=100,max=500,step=50),
            down=IntSlider(min=100,max=500,step=50),
            customcur = FloatSlider(min=0.1,max=0.9,step=0.1,value=0.5),
           risk_free_rate=FloatSlider(min=0.010,max=0.050,step=0.005,value=0.0136))#,__manual=True)#0.0136
#.layout = Layout(display='display', justify_content= 'space-between',  align_items='center', width='100%')
HBox([VBox(widg.children[:5]),VBox(widg.children[5:10]),VBox(widg.children[10:])])

[['Call', 9400, 1.7, 9165.7000000000007, 1], ['Put', 9050, 18.0, 9167.0, -1]]

IVtw.close_PhantomJS()

Name		Name	Last commit message	Last commit date
Latest commit History 13 Commits
IV_record		IV_record
img		img
IVtws.py		IVtws.py
LICENSE		LICENSE
example.ipynb		example.ipynb
readme.md		readme.md

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IVtws 台灣期貨交易所報價爬蟲即時波動率計算與視覺化

Requires

Quick start example

using jupyter notebook

import plotly offline to build interactivate plot

Initialize the IV table

update data and recalculate the Implied Volitity

quick plot with matplotlib inline

interactive visualization with plotly

Plot IV as timeseries

Plot Option curve with ipywidgets

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IVtws 台灣期貨交易所報價爬蟲即時波動率計算與視覺化

Requires

Quick start example

using jupyter notebook

import plotly offline to build interactivate plot

Initialize the IV table

update data and recalculate the Implied Volitity

quick plot with matplotlib inline

interactive visualization with plotly

Plot IV as timeseries

Plot Option curve with ipywidgets

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