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instrument.py
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#-*- coding:utf-8 -*-
import datetime
import pyktlib
import mysqlaccess
import copy
from misc import *
class ProductType:
Future, Stock, Option = range(3)
class VolGrid(object):
def __init__(self, name, accrual = 'COM', tday = datetime.date.today(), is_spot = False):
self.name = name
self.accrual = accrual
self.dtoday = date2xl(tday)
self.df = {}
self.fwd = {}
self.volnode = {}
self.volparam = {}
self.underlier = {}
self.dexp = {}
self.main_cont = ''
self.option_insts = {}
self.spot_model = is_spot
def copy_volgrid(vg):
volgrid = VolGrid(vg.name, accrual = vg.accrual, is_spot = vg.spot_model)
volgrid.main_cont = vg.main_cont
volgrid.dtoday = vg.dtoday
for expiry in vg.option_insts:
volgrid.df[expiry] = vg.df[expiry]
volgrid.fwd[expiry] = vg.fwd[expiry]
volgrid.volnode[expiry] = pyktlib.Delta5VolNode(vg.dtoday, vg.dexp[expiry],
vg.fwd[expiry],
vg.volparam[expiry][0],
vg.volparam[expiry][1],
vg.volparam[expiry][2],
vg.volparam[expiry][3],
vg.volparam[expiry][4],
vg.accrual)
volgrid.volparam[expiry] = copy.copy(vg.volparam[expiry])
volgrid.underlier[expiry] = copy.copy(vg.underlier[expiry])
volgrid.dexp[expiry] = vg.dexp[expiry]
volgrid.option_insts[expiry] = copy.copy(vg.option_insts[expiry])
return volgrid
class Instrument(object):
def __init__(self,name):
self.name = name
self.exchange = 'CFFEX'
self.ptype = ProductType.Future
self.product = 'IF'
self.broker_fee = 0.0
self.marginrate = (0,0)
self.multiple = 0
self.tick_base = 0
self.start_tick_id = 0
self.last_tick_id = 0
# market snapshot
self.price = 0.0
self.prev_close = 0.0
self.volume = 0
self.open_interest = 0
self.last_update = 0
self.ask_price1 = 0.0
self.ask_vol1 = 0
self.bid_price1 = 0.0
self.bid_vol1 = 0
self.ask_price2 = 0.0
self.ask_vol2 = 0
self.bid_price2 = 0.0
self.bid_vol2 = 0
self.ask_price3 = 0.0
self.ask_vol3 = 0
self.bid_price3 = 0.0
self.bid_vol3 = 0
self.ask_price4 = 0.0
self.ask_vol4 = 0
self.bid_price4 = 0.0
self.bid_vol4 = 0
self.ask_price5 = 0.0
self.ask_vol5 = 0
self.bid_price5 = 0.0
self.bid_vol5 = 0
self.up_limit = 0
self.down_limit = 0
self.last_traded = 0
self.max_holding = (100, 100)
self.mid_price = 0.0
self.cont_mth = 205012 # only used by option and future
self.expiry = datetime.date(2050,12,31)
self.day_finalized = False
def fair_price(self):
self.mid_price = (self.ask_price1 + self.bid_price1)/2.0
return self.mid_price
def initialize(self):
pass
def update_param(self, tday):
pass
def calc_margin_amount(self, direction, price = 0.0):
my_marginrate = self.marginrate[0] if direction == ORDER_BUY else self.marginrate[1]
return self.price * self.multiple * my_marginrate
class Stock(Instrument):
def __init__(self,name):
Instrument.__init__(self, name)
self.initialize()
def initialize(self):
self.product = self.name
self.ptype = ProductType.Stock
self.start_tick_id = 1530000
self.last_tick_id = 2130000
self.multiple = 1
self.tick_base = 0.01
self.broker_fee = 0
self.marginrate = (1,0)
if self.name in CHN_Stock_Exch['SZE']:
self.exchange = 'SZE'
else:
self.exchange = 'SSE'
return
class Future(Instrument):
def __init__(self,name):
Instrument.__init__(self, name)
self.initialize()
def initialize(self):
self.ptype = ProductType.Future
self.product = inst2product(self.name)
prod_info = mysqlaccess.load_product_info(self.product)
self.exchange = prod_info['exch']
if self.exchange == 'CZCE':
self.cont_mth = int(self.name[-3:]) + 201000
else:
self.cont_mth = int(self.name[-4:]) + 200000
self.start_tick_id = prod_info['start_min'] * 1000
if self.product in night_session_markets:
self.start_tick_id = 300000
self.last_tick_id = prod_info['end_min'] * 1000
self.multiple = prod_info['lot_size']
self.tick_base = prod_info['tick_size']
self.broker_fee = prod_info['broker_fee']
return
def update_param(self, tday):
self.marginrate = mysqlaccess.load_inst_marginrate(self.name)
class OptionInst(Instrument):
def __init__(self,name):
self.strike = 0.0 # only used by option
self.otype = '' # only used by option
self.underlying = '' # only used by option
Instrument.__init__(self, name)
self.pricer = None
self.pricer_func = pyktlib.BlackPricer
self.pv = 0.0
self.delta = 1
self.theta = 0.0
self.gamma = 0.0
self.vega = 0.0
self.margin_param = [0.15, 0.1]
self.initialize()
def initialize(self):
pass
def update_param(self, tday):
pass
def set_pricer(self, vg, irate):
expiry = self.expiry
dexp = vg.dexp[expiry]
fwd = vg.fwd[expiry]
self.pricer = self.pricer_func(vg.dtoday,
vg.dexp[expiry],
vg.fwd[expiry],
vg.volnode[expiry],
self.strike,
irate,
self.otype)
def update_greeks(self):
self.pv = self.pricer.price()
self.delta = self.pricer.delta()
self.gamma = self.pricer.gamma()
self.vega = self.pricer.vega()/100.0
self.theta = self.pricer.theta()
def calc_risk(self, risk_name, refresh = True):
if self.pricer == None:
return None
risk_func = risk_name
if risk_name == 'pv':
risk_func = 'price'
if refresh:
risk = getattr(self.pricer, risk_func)()
if risk_name == 'vega':
risk = risk/100
setattr(self, risk_name, risk)
else:
risk = getattr(self, risk_name)
return risk
def calc_margin_amount(self, direction, price = 0.0):
my_margin = self.price
if direction == ORDER_SELL:
a = self.margin_param[0]
b = self.margin_param[1]
if price == 0.0:
price = self.strike
if self.otype == 'C':
my_margin += max(price * a - max(self.strike-price, 0), price * b)
else:
my_margin += max(price * a - max(price - self.strike, 0), self.strike * b)
return my_margin * self.multiple
class StockOptionInst(OptionInst):
def __init__(self,name):
OptionInst.__init__(self, name)
self.margin_param = [0.12, 0.07]
self.initialize()
def initialize(self):
self.ptype = ProductType.Option
prod_info = mysqlaccess.load_stockopt_info(self.name)
self.exchange = prod_info['exch']
self.multiple = prod_info['lot_size']
self.tick_base = prod_info['tick_size']
self.strike = prod_info['strike']
self.otype = prod_info['otype']
self.underlying = prod_info['underlying']
self.product = self.underlying
self.cont_mth = prod_info['cont_mth']
self.expiry = get_opt_expiry(self.underlying, self.cont_mth)
return
class FutOptionInst(OptionInst):
def __init__(self,name):
OptionInst.__init__(self, name)
if self.exchange != 'CFFEX':
self.pricer_func = pyktlib.AmericanFutPricer
self.margin_param = [0.15, 0.1]
else:
self.pricer_func = pyktlib.BlackPricer
self.margin_param = [0.15, 0.1]
self.initialize()
def initialize(self):
self.ptype = ProductType.Option
self.product = inst2product(self.name)
if self.product == 'IO_Opt':
self.underlying = self.name[:6].replace('IO','IF')
self.strike = float(self.name[-4:])
self.otype = self.name[7]
self.cont_mth = int(self.underlying[-4:]) + 200000
self.expiry = get_opt_expiry(self.underlying, self.cont_mth)
self.product = 'IO'
elif '_Opt' in self.product:
self.underlying = self.name[:5]
self.strike = float(self.name[-4:])
self.otype = self.name[7]
self.cont_mth = int(self.underlying[-4:]) + 200000
self.expiry = get_opt_expiry(self.underlying, self.cont_mth)
self.product = self.product[:-4]
prod_info = mysqlaccess.load_product_info(self.product)
self.exchange = prod_info['exch']
self.start_tick_id = prod_info['start_min'] * 1000
if self.product in night_session_markets:
self.start_tick_id = 300000
self.last_tick_id = prod_info['end_min'] * 1000
self.multiple = prod_info['lot_size']
self.tick_base = prod_info['tick_size']
self.broker_fee = prod_info['broker_fee']
return