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[Add]初步完成OptionMaster中的数据缓存结构

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vn.py 2017-11-09 14:17:36 +08:00
parent 6e30b59ea3
commit 42a28e419f
1 changed files with 75 additions and 124 deletions
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193
vnpy/trader/app/optionMaster/omBase.py
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@ -19,7 +19,7 @@ class OmInstrument(VtTickData):
"""交易合约对象""" """交易合约对象"""
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def __init__(self, contract): def __init__(self, contract, detail):
"""Constructor""" """Constructor"""
super(OmInstrument, self).__init__() super(OmInstrument, self).__init__()
@ -35,9 +35,9 @@ class OmInstrument(VtTickData):
self.midPrice = EMPTY_FLOAT self.midPrice = EMPTY_FLOAT
# 持仓数据 # 持仓数据
self.longPos = EMPTY_INT self.longPos = detail.longPos
self.shortPos = EMPTY_INT self.shortPos = detail.shortPos
self.netPos = EMPTY_INT self.netPos = self.longPos - self.shortPos
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def newTick(self, tick): def newTick(self, tick):
@ -75,16 +75,6 @@ class OmInstrument(VtTickData):
self.calculateNetPos() self.calculateNetPos()
#----------------------------------------------------------------------
def newPos(self, pos):
"""持仓更新"""
if pos.direction is DIRECTION_LONG:
self.longPos = pos.position
else:
self.shortPos = pos.position
return self.calculateNetPos()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def calculateNetPos(self): def calculateNetPos(self):
"""计算净持仓""" """计算净持仓"""
@ -133,41 +123,12 @@ class OmUnderlying(OmInstrument):
super(OmUnderlying, self).newTrade(trade) super(OmUnderlying, self).newTrade(trade)
self.calculatePosGreeks() self.calculatePosGreeks()
#----------------------------------------------------------------------
def newPos(self, pos):
"""持仓更新"""
netPosChanged = super(OmUnderlying, self).newPos(pos)
if netPosChanged:
self.calculatePosGreeks()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def calculatePosGreeks(self): def calculatePosGreeks(self):
"""计算持仓希腊值""" """计算持仓希腊值"""
self.posDelta = self.theoDelta * self.netPos self.posDelta = self.theoDelta * self.netPos
########################################################################
class OmEquity(OmUnderlying):
"""股票"""
#----------------------------------------------------------------------
def __init__(self, contract, chainList):
"""Constructor"""
super(OmEquity, self).__init__(contract, chainList)
########################################################################
class OmFutures(OmUnderlying):
"""期货"""
#----------------------------------------------------------------------
def __init__(self, contract, chainList):
"""Constructor"""
super(OmFutures, self).__init__(contract, chainList)
self.expiryDate = contract.expiryDate
######################################################################## ########################################################################
class OmOption(OmInstrument): class OmOption(OmInstrument):
"""期权""" """期权"""
@ -215,6 +176,9 @@ class OmOption(OmInstrument):
self.posTheta = EMPTY_FLOAT self.posTheta = EMPTY_FLOAT
self.posVega = EMPTY_FLOAT self.posVega = EMPTY_FLOAT
# 期权链
self.chain = None
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def calculateImpv(self): def calculateImpv(self):
"""计算隐含波动率""" """计算隐含波动率"""
@ -270,13 +234,6 @@ class OmOption(OmInstrument):
super(OmOption, self).newTrade(trade) super(OmOption, self).newTrade(trade)
self.calculatePosGreeks() self.calculatePosGreeks()
#----------------------------------------------------------------------
def newPos(self, pos):
"""持仓更新"""
netPosChanged = super(OmOption, self).newPos(pos)
if netPosChanged:
self.calculatePosGreeks()
######################################################################## ########################################################################
class OmChain(object): class OmChain(object):
@ -288,9 +245,19 @@ class OmChain(object):
self.symbol = symbol self.symbol = symbol
# 原始容器 # 原始容器
self.callDict = OrderedDict((option.symbol, option) for option in callList) self.callDict = OrderedDict()
self.putDict = OrderedDict((option.symbol, option) for option in putList) self.putDict = OrderedDict()
self.optionDict = OrderedDict((option.symbol, option) for option in (callList+putList)) self.optionDict = OrderedDict()
for option in callList:
option.chain = self
self.callDict[option.symbol] = option
self.optionDict[option.symbol] = option
for option in putList:
option.chain = self
self.putDict[option.symbol] = option
self.optionDict[option.symbol] = option
# 持仓数据 # 持仓数据
self.longPos = EMPTY_INT self.longPos = EMPTY_INT
@ -316,7 +283,7 @@ class OmChain(object):
self.posVega = 0 self.posVega = 0
# 遍历汇总 # 遍历汇总
for option in self.optionList: for option in self.optionDict.values():
self.longPos += option.longPos self.longPos += option.longPos
self.shortPos += option.shortPos self.shortPos += option.shortPos
@ -337,7 +304,7 @@ class OmChain(object):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def newUnderlyingTick(self): def newUnderlyingTick(self):
"""期货行情更新""" """期货行情更新"""
for option in self.optionList: for option in self.optionDict.values():
option.newUnderlyingTick() option.newUnderlyingTick()
self.calculatePosGreeks() self.calculatePosGreeks()
@ -346,18 +313,30 @@ class OmChain(object):
def newTrade(self, trade): def newTrade(self, trade):
"""期权成交更新""" """期权成交更新"""
option = self.optionDict[trade.symbol] option = self.optionDict[trade.symbol]
# 缓存旧数据
oldLongPos = option.longPos
oldShortPos = option.shortPos
oldPosValue = option.posValue
oldPosDelta = option.posDelta
oldPosGamma = option.posGamma
oldPosTheta = option.posTheta
oldPosVega = option.posVega
# 更新到期权s中
option.newTrade(trade) option.newTrade(trade)
self.calculatePosGreeks() # 计算持仓希腊值
self.longPos = self.longPos - oldLongPos + option.longPos
#---------------------------------------------------------------------- self.shortPos = self.shortPos - oldShortPos+ option.shortPos
def newPos(self, pos): self.netPos = self.longPos - self.shortPos
"""期权持仓更新"""
option = self.optionDict[pos.symbol]
option.newPos(pos)
self.calculatePosGreeks()
self.posValue = self.posValue - oldPosValue + option.posValue
self.posDelta = self.posDelta - oldPosDelta + option.posDelta
self.posGamma = self.posGamma - oldPosGamma + option.posGamma
self.posTheta = self.posTheta - oldPosTheta + option.posTheta
self.posVega = self.posVega - oldPosVega + option.posVega
######################################################################## ########################################################################
@ -365,64 +344,42 @@ class OmPortfolio(object):
"""持仓组合""" """持仓组合"""
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def __init__(self, name): def __init__(self, name, underlyingList, chainList):
"""Constructor""" """Constructor"""
self.name = name self.name = name
# 原始容器 # 原始容器
self.futuresDict = OrderedDict()
self.equityDict = OrderedDict()
self.chainDict = OrderedDict()
# 初始化生成的容器
self.underlyingDict = OrderedDict() self.underlyingDict = OrderedDict()
self.underlyingList = [] self.chainDict = OrderedDict()
self.chainList = [] self.optionDict = {}
self.contractDict = {}
self.optionChainDict = {} # option symbol: chain object for underlying in underlyingList:
self.optionDict = {} # option symbol: option object self.underlyingDict[underlying.symbol] = underlying
self.optionList = []
for chain in chainList:
self.chainDict[chain.symbol] = chain
self.optionDict.update(chain.callDict)
self.optionDict.update(chain.putDict)
# 持仓数据 # 持仓数据
self.longPos = EMPTY_INT self.longPos = EMPTY_INT
self.shortPos = EMPTY_INT self.shortPos = EMPTY_INT
self.netPos = EMPTY_INT self.netPos = EMPTY_INT
self.posValue = EMPTY_FLOAT
self.posDelta = EMPTY_FLOAT self.posDelta = EMPTY_FLOAT
self.posGamma = EMPTY_FLOAT self.posGamma = EMPTY_FLOAT
self.posTheta = EMPTY_FLOAT self.posTheta = EMPTY_FLOAT
self.posVega = EMPTY_FLOAT self.posVega = EMPTY_FLOAT
#----------------------------------------------------------------------
def init(self, futuresDict, equityDict, chainDict):
"""初始化数据结构"""
self.futuresDict = futuresDict
self.equityDict = equityDict
self.chainDict = chainDict
self.underlyingDict.update(self.futuresDict)
self.underlyingDict.update(self.equityDict)
self.underlyingList = self.underlyingDict.values()
self.chainList = chainDict.values()
self.contractDict.update(self.futuresDict)
self.contractDict.update(self.equityDict)
for chain in self.chainList:
self.contractDict.update(chain.callDict)
self.contractDict.update(chain.putDict)
for option in chain.optionList:
self.optionChainDict[option.symbol] = chain
self.optionDict[option.symbol] = option
self.optionList.append(option)
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def calculatePosGreeks(self): def calculatePosGreeks(self):
"""计算持仓希腊值""" """计算持仓希腊值"""
self.longPos = 0 self.longPos = 0
self.shortPos = 0 self.shortPos = 0
self.netPos = 0 self.netPos = 0
self.posValue = 0
self.posDelta = 0 self.posDelta = 0
self.posGamma = 0 self.posGamma = 0
self.posTheta = 0 self.posTheta = 0
@ -435,6 +392,7 @@ class OmPortfolio(object):
self.longPos += chain.longPos self.longPos += chain.longPos
self.shortPos += chain.shortPos self.shortPos += chain.shortPos
self.posValue += chain.posValue
self.posDelta += chain.posDelta self.posDelta += chain.posDelta
self.posGamma += chain.posGamma self.posGamma += chain.posGamma
self.posTheta += chain.posTheta self.posTheta += chain.posTheta
@ -445,34 +403,27 @@ class OmPortfolio(object):
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def newTick(self, tick): def newTick(self, tick):
"""行情推送""" """行情推送"""
if tick.symbol in self.optionChainDict: symbol = tick.symbol
chain = self.optionChainDict[tick.symbol]
if symbol in self.optionDict:
chain = self.optionDict[symbol].chain
chain.newTick(tick) chain.newTick(tick)
elif tick.symbol in self.underlyingDict: self.calculatePosGreeks()
underlying = self.underlyingDict[tick.symbol] elif symbol in self.underlyingDict:
underlying = self.underlyingDict[symbol]
underlying.newTick(tick) underlying.newTick(tick)
self.calculatePosGreeks() self.calculatePosGreeks()
#---------------------------------------------------------------------- #----------------------------------------------------------------------
def newTrade(self, trade): def newTrade(self, trade):
"""成交推送""" """成交推送"""
if trade.symbol in self.optionChainDict: symbol = trade.symbol
chain = self.optionChainDict[trade.symbol]
if symbol in self.optionDict:
chain = self.optionDict[symbol].chain
chain.newTrade(trade) chain.newTrade(trade)
else: self.calculatePosGreeks()
underlying = self.underlyingDict[trade.symbol] elif symbol in self.underlyingDict:
underlying = self.underlyingDict[symbol]
underlying.newTrade(trade) underlying.newTrade(trade)
self.calculatePosGreeks() self.calculatePosGreeks()
#----------------------------------------------------------------------
def newPos(self, pos):
"""持仓推送"""
if pos.symbol in self.optionChainDict:
chain = self.optionChainDict[pos.symbol]
chain.newPos(pos)
elif pos.symbol in self.underlyingDict:
underlying = self.underlyingDict[pos.symbol]
underlying.newPos(pos)
self.calculatePosGreeks()