[Add]添加持仓情景分析功能

examples/OptionMaster/data/TRADE_MARKET_110100001088sop.dat

@@ -1 +1 @@
-1akdYJY+uYtFOYGtWEJkKg==
+3PhIldq+vwFT0Ap6unvLxA==

vnpy/pricing/black.py

@@ -130,7 +130,7 @@ def calculateImpv(price, f, k, r, t, cp):
         
         # 如果vega过小接近0，则直接返回
         if not vega:
-            return v
+            break
         
         # 计算误差
         dx = (price - p) / vega
@@ -143,7 +143,7 @@ def calculateImpv(price, f, k, r, t, cp):
         v += dx
         
     # 检查波动率计算结果非负
-    if v < 0:
+    if v <= 0:
         return 0
     
     # 保留4位小数

vnpy/trader/app/optionMaster/omBase.py

@@ -368,9 +368,10 @@ class OmPortfolio(object):
     """持仓组合"""
 
     #----------------------------------------------------------------------
-    def __init__(self, name, underlyingList, chainList):
+    def __init__(self, name, model, underlyingList, chainList):
         """Constructor"""
         self.name = name
+        self.model = model
         
         # 原始容器
         self.underlyingDict = OrderedDict()

vnpy/trader/app/optionMaster/omEngine.py

@@ -156,7 +156,7 @@ class OmEngine(object):
             underlying.addChain(chain)
 
         # 创建持仓组合对象并初始化
-        self.portfolio = OmPortfolio(setting['name'], underlyingDict.values(), chainList)
+        self.portfolio = OmPortfolio(setting['name'], model, underlyingDict.values(), chainList)
         
         # 载入波动率配置
         self.loadImpvSetting()
@@ -198,7 +198,7 @@ class OmEngine(object):
         f.close()
             
     #----------------------------------------------------------------------
-    def close(self):
+    def stop(self):
         """关闭函数"""
         self.saveImpvSetting()
         

vnpy/trader/app/optionMaster/uiOmAnalysisManager.py

@@ -0,0 +1,208 @@
+# encoding: UTF-8
+
+from __future__ import division
+
+import numpy as np
+
+from .uiOmBase import *
+
+
+########################################################################
+class ScenarioValueMonitor(QtWidgets.QTableWidget):
+    """情景分析监控工具，某一个数值"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, key, parent=None):
+        """Constructor"""
+        super(ScenarioValueMonitor, self).__init__(parent)
+        
+        self.key = key
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setEditTriggers(self.NoEditTriggers)
+        
+        self.setMinimumHeight(600)
+        
+    #----------------------------------------------------------------------
+    def updateData(self, result, priceChangeArray, impvChangeArray):
+        """更新界面"""        
+        # 清空表格
+        self.clearContents()
+        
+        # 设置表头
+        self.setColumnCount(len(priceChangeArray))
+        priceChangeHeaders = [('%s%%' %(priceChange*100)) for priceChange in priceChangeArray]
+        self.setHorizontalHeaderLabels(priceChangeHeaders)
+        
+        self.setRowCount(len(impvChangeArray))
+        impvChangeHeaders = [('%s%%' %(impvChange*100)) for impvChange in impvChangeArray]
+        self.setVerticalHeaderLabels(impvChangeHeaders)
+
+        # 设置数据
+        l = [d[self.key] for d in result.values()]
+        maxValue = max(l)
+        minValue = min(l)
+        
+        # 最大和最小值相等，则说明计算逻辑有问题
+        if maxValue == minValue:
+            return
+        
+        midValue = (maxValue + minValue) / 2
+        colorRatio = 255*2/(maxValue-minValue)
+        
+        for column, priceChange in enumerate(priceChangeArray):
+            for row, impvChange in enumerate(impvChangeArray):
+                value = result[(priceChange, impvChange)][self.key]
+                
+                # 计算颜色
+                red = 255
+                green = 255                
+                colorValue = (value - midValue) * colorRatio
+                
+                if colorValue <= 0:
+                    red -= abs(colorValue)
+                else:
+                    green -= abs(colorValue)                
+                color = QtGui.QColor(red, green, 0)
+                
+                # 插入单元格到表格中
+                cell = QtWidgets.QTableWidgetItem('%.1f' %value)
+                cell.setBackground(color)
+                cell.setForeground(COLOR_BLACK)
+                self.setItem(row, column, cell)
+                
+        self.resizeColumnsToContents()
+        self.resizeRowsToContents()
+
+
+########################################################################
+class ScenarioAnalysisMonitor(QtWidgets.QTabWidget):
+    """情景分析监控组件"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, parent=None):
+        """Constructor"""
+        super(ScenarioAnalysisMonitor, self).__init__(parent)
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """"""
+        self.valueMonitorList = []
+        
+        for key in ['pnl', 'delta', 'gamma', 'theta', 'vega']:
+            valueMonitor = ScenarioValueMonitor(key)
+            self.addTab(valueMonitor, key)
+            self.valueMonitorList.append(valueMonitor)
+            
+    #----------------------------------------------------------------------
+    def updateData(self, result, priceChangeArray, impvChangeArray):
+        """更新数据"""
+        for valueMonitor in self.valueMonitorList:
+            valueMonitor.updateData(result, priceChangeArray, impvChangeArray)
+
+
+########################################################################
+class AnalysisManager(QtWidgets.QWidget):
+    """研究分析管理"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(AnalysisManager, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.portfolio = omEngine.portfolio
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'持仓分析')
+        
+        self.scenarioAnalysisMonitor = ScenarioAnalysisMonitor()
+        
+        self.buttonScenarioAnalysis = QtWidgets.QPushButton(u'情景分析')
+        self.buttonScenarioAnalysis.clicked.connect(self.updateData)
+        
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addWidget(self.buttonScenarioAnalysis)
+        hbox.addStretch()
+        
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.scenarioAnalysisMonitor)
+        self.setLayout(vbox)
+        
+    #----------------------------------------------------------------------
+    def updateData(self):
+        """更新数据"""
+        result, priceChangeArray, impvChangeArray = self.runScenarioAnalysis()
+        if result:
+            self.scenarioAnalysisMonitor.updateData(result, priceChangeArray, impvChangeArray)
+    
+    #----------------------------------------------------------------------
+    def runScenarioAnalysis(self):
+        """运行情景分析"""
+        portfolio = self.portfolio
+        calculateGreeks = portfolio.model.calculateGreeks
+        
+        if not portfolio:
+            return None, None, None
+        
+        changeRange = 5
+        priceChangeArray = np.arange(-changeRange, changeRange+1) / 100
+        impvChangeArray = np.arange(-changeRange, changeRange+1) / 100
+        expiryChange = 1/240    # 一个交易日对应的时间变化
+        result = {}     # 分析结果
+        
+        for priceChange in priceChangeArray:
+            for impvChange in impvChangeArray:
+                print priceChange, impvChange
+                portfolioPnl = 0
+                portfolioDelta = 0
+                portfolioGamma = 0
+                portfolioTheta = 0
+                portfolioVega = 0
+                
+                for underlying in portfolio.underlyingDict.values():
+                    portfolioPnl += underlying.midPrice * underlying.netPos * priceChange
+                    portfolioDelta += underlying.theoDelta * underlying.netPos
+                    
+                try:
+                    for option in portfolio.optionDict.values():
+                        if not option.netPos:
+                            continue
+                        
+                        price, delta, gamma, theta, vega = calculateGreeks(option.underlying.midPrice*(1+priceChange),
+                                                                           option.k,
+                                                                           option.r,
+                                                                           max(option.t-expiryChange, 0),
+                                                                           option.pricingImpv*(1+impvChange),
+                                                                           option.cp)
+                        
+                        portfolioPnl += (price - option.theoPrice) * option.netPos * option.size
+                        portfolioDelta += delta * option.netPos * option.size
+                        portfolioGamma += gamma * option.netPos * option.size
+                        portfolioTheta += theta * option.netPos * option.size
+                        portfolioVega += vega * option.netPos * option.size
+                except ZeroDivisionError:
+                    return None, None, None
+                
+                d = {
+                    'pnl': portfolioPnl,
+                    'delta': portfolioDelta,
+                    'gamma': portfolioGamma,
+                    'theta': portfolioTheta,
+                    'vega': portfolioVega
+                }
+                result[(priceChange, impvChange)] = d
+        
+        return result, priceChangeArray, impvChangeArray    
+    

vnpy/trader/app/optionMaster/uiOmWidget.py

@@ -12,6 +12,7 @@ from .uiOmBase import QtWidgets, QtCore
 from .uiOmManualTrader import ManualTrader
 from .uiOmGreeksMonitor import GreeksMonitor
 from .uiOmVolatilityManager import VolatilityChart, VolatilityManager
+from .uiOmAnalysisManager import AnalysisManager
 
 
 ########################################################################
@@ -70,6 +71,10 @@ class OmManager(QtWidgets.QWidget):
         self.buttonVolatilityManager.clicked.connect(self.openVolatilityManager)
         self.buttonVolatilityManager.setDisabled(True)
         
+        self.buttonAnalysisManager = QtWidgets.QPushButton(u'持仓分析')
+        self.buttonAnalysisManager.clicked.connect(self.openAnalysisManager)
+        self.buttonAnalysisManager.setDisabled(True)
+        
         self.logMonitor = QtWidgets.QTextEdit()
         self.logMonitor.setReadOnly(True)
         
@@ -80,6 +85,7 @@ class OmManager(QtWidgets.QWidget):
         hbox.addWidget(self.buttonGreeksMonitor)
         hbox.addWidget(self.buttonVolatilityChart)
         hbox.addWidget(self.buttonVolatilityManager)
+        hbox.addWidget(self.buttonAnalysisManager)
         hbox.addStretch()
         
         hbox2 = QtWidgets.QHBoxLayout()
@@ -116,6 +122,7 @@ class OmManager(QtWidgets.QWidget):
         self.buttonGreeksMonitor.setEnabled(True)
         self.buttonVolatilityChart.setEnabled(True)
         self.buttonVolatilityManager.setEnabled(True)
+        self.buttonAnalysisManager.setEnabled(True)
         
     #----------------------------------------------------------------------
     def writeLog(self, content, time=''):
@@ -168,6 +175,15 @@ class OmManager(QtWidgets.QWidget):
             self.widgetDict['volatilityManager'] = VolatilityManager(self.omEngine)
             self.widgetDict['volatilityManager'].show()     
             
+    #----------------------------------------------------------------------
+    def openAnalysisManager(self):
+        """打开持仓分析组件"""
+        try:
+            self.widgetDict['analysisManager'].showMaximized()
+        except KeyError:
+            self.widgetDict['analysisManager'] = AnalysisManager(self.omEngine)
+            self.widgetDict['analysisManager'].showMaximized()     
+
     #----------------------------------------------------------------------
     def close(self):
         """关闭"""