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50ETF长期做空波动率 50ETF Opt Short Vola Long Term
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50ETF长期做空波动率 50ETF Opt Short Vola 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 = "510050.SHSE"
#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("回测期权") :
print "登录交易账号[回测期权]"
if context.accounts["回测期权"].Login() :
context.myacc = context.accounts["回测期权"]
def Getop(code): #查询虚值期权合约
dyndata = GetQuote(code)
now1 = dyndata.now
now50 = round(now1,1) + 0.05 #到虚值一档
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) #查对应虚值call合约
atmopp = GetAtmOptionContract(code,month_time,now50,1) #查对应虚值put合约
return atmopc,atmopp
def stime(op): #计算到期日
info1 = GetContractInfo(op)
kill = info1['行权到期日']
cutime = GetCurrentTime()
c = cutime.date()
n = (kill - c).days
print n
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) :
#过滤掉不需要的行情通知
if code != g.code :
return
#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 len(posi)
b = CreateCalcObj()
option = PBObj()
option.EndDate = GetCurrentTime()
option.Count = 60
#计算60天历史波动率
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<0.35: #无持仓且历史波动率在35%以下就卖虚值一档期权
opc,opp = Getop(g.code)
print str(opc)
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)
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 = stime(opcode1)
print str(pr1) + '行权价格'
print str(pr2) + '行权价格2'
print sy
if sy<3:#据到期日小于3天就买平仓
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, 100)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, 100)
elif now1 >= pr1 or now1 <= (pr1-0.15): #ETF价格高于call行权价 或 call行权价比ETF价格高出0.15，买平仓
context.myacc.InsertOrder(opcode1, BSType.BuyClose, dyn1.now, 100)
context.myacc.InsertOrder(opcode2, BSType.BuyClose, dyn2.now, 100)
#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)