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豆粕期权长期做空虚值期权策略 Soymeal Options Short OTM Long Term
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豆粕期权长期做空虚值期权策略 Soymeal Options Short OTM Long Term
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# 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 = GetMainContract('DCE','m',20)
#print '豆粕主力：' + str(g.code)
#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("回测期货") :
print "登录交易账号[回测期货]"
if context.accounts["回测期货"].Login() :
context.myacc = context.accounts["回测期货"]
def OnMarketQuotationInitialEx(context, exchange,daynight):
if exchange <> "DCE" and daynight<>'night':
return
g.code = GetMainContract('DCE','m',20)
SubscribeBar(g.code, BarType.Day)
print "g.code "+str(g.code)
def Getop(code):
print "code is " +str(code)
#g.code = GetMainContract('DCE','m',20)
#print '豆粕主力：' + str(g.code)
dyndata = GetQuote(code)
now1 = dyndata.now
now50 = round(now1/100,0)*100 + 200 #取虚值四档
print "strike price "+str(now50)
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)
atmopp = GetAtmOptionContract(code,month_time,now50,1)
return atmopc,atmopp
# def stime(op):
# info1 = GetContractInfo(op)
# kill = info1['行权到期日']
# print str(type(kill))
# cutime = GetCurrentTime()
# if cutime.day <10:
# cutim = str(cutime.year) + str(cutime.month) + '0' +str(cutime.day)
# elif cutime.month <10:
# cutim = str(cutime.year) + '0' + str(cutime.month) +str(cutime.day)
# else:
# cutim = str(cutime.year) + str(cutime.month) +str(cutime.day)
# cu = cutim#int(cutim)
# n = kill - cu
# 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) :
def OnBar(context,code,bartype):
g.code = GetMainContract('DCE','m',20)
print '豆粕主力：' + str(g.code)
#过滤掉不需要的行情通知
if code != g.code :
print "code checking ..."+str(code)+" "+str(g.code)
#return
code=g.code #处理主力合约切换的问题，也许有更好的写法
#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 "持仓数量： " +str(len(posi))
b = CreateCalcObj()
option = PBObj()
option.EndDate = GetCurrentTime()
option.Count = 60
#获取最近10天的最高价列表
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<=0.17:
opc,opp = Getop(g.code)
print "目标call" + str(opc) + " 目标put " + str(opp)
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)
if len(posi)==1:#出现瘸腿
print "需要平仓瘸腿 "
context.myacc.InsertOrder(posi[0].contract, BSType.BuyClose, GetQuote(posi[0].contract).now+20, posi[0].volume)
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 = GetTradingDayLeft(opcode1)
print str(pr1) + '行权价格'
print str(pr2) + '行权价格2'
print sy
if sy<2: #平仓的时间条件
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now+10, 100)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now+10, 100)
elif now1 >= pr1+300 or now1 <= (pr1-300): #平仓价格条件
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now+10, 100)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now+10, 100)
UnsubscribeAllBar() #退订所有k线，避免重复订阅
#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)
def GetTradingDayLeft(code):
import re
m=re.match(r'[a-z]+[0-9]+\.+[A-Z]',code)
if m:
info=GetContractInfo(code)
T=info['最后交易日']
exchange=GetExchangeByCode(code)
t=GetCurrentTradingDate(exchange)
return (T-t).days
else:
info=GetContractInfo(code)
T=info['行权到期日']
exchange=GetExchangeByCode(code)
t=GetCurrentTradingDate(exchange)
return (T-t).days