diff --git a/examples/WebTrader/CTP_connect.json b/examples/WebTrader/CTP_connect.json index 1b4d5a42..e4bfa6b8 100644 --- a/examples/WebTrader/CTP_connect.json +++ b/examples/WebTrader/CTP_connect.json @@ -2,6 +2,6 @@ "brokerID": "9999", "mdAddress": "tcp://180.168.146.187:10011", "tdAddress": "tcp://180.168.146.187:10001", - "userID": "000300", - "password": "19890624" + "userID": "simnow申请", + "password": "simnow申请" } \ No newline at end of file diff --git a/vnpy/pricing/README.md b/vnpy/pricing/README.md new file mode 100644 index 00000000..9034981e --- /dev/null +++ b/vnpy/pricing/README.md @@ -0,0 +1,4 @@ +* Cython相关模型的编译方法：python setup.py build_ext --inplace + +* 报错Unable to find vcvarsall.bat的解决方法：SET VS90COMNTOOLS=%VS120COMNTOOLS% + diff --git a/vnpy/pricing/bsCython.pyd b/vnpy/pricing/bsCython.pyd new file mode 100644 index 00000000..285ea771 Binary files /dev/null and b/vnpy/pricing/bsCython.pyd differ diff --git a/vnpy/pricing/bsCython/bsCython.pyx b/vnpy/pricing/bsCython/bsCython.pyx new file mode 100644 index 00000000..b6c5be1f --- /dev/null +++ b/vnpy/pricing/bsCython/bsCython.pyx @@ -0,0 +1,148 @@ +DX_TARGET = 0.00001 + + + +cdef extern from "math.h" nogil: + double exp(double) + double sqrt(double) + double pow(double, double) + double log(double) + double erf(double) + double fabs(double) + +cdef double cdf(double x): + return 0.5 * (1 + erf(x / sqrt(2.0))) + +cdef double pdf(double x): + return exp(- pow(x, 2) / 2) / sqrt(2 * 3.1416) + +cdef double calculateD1(double s, double k, double r, double t, double v): + return (log(s / k) + (r + 0.5 * pow(v, 2)) * t) / (v * sqrt(t)) + + +#---------------------------------------------------------------------- +def calculatePrice(double s, double k, double r, double t, double v, int cp): + """""" + cdef double d1, d2, price + + if v <= 0: + return max(0, cp * (s - k)) + + d1 = calculateD1(s, k, r, t, v) + d2 = d1 - v * sqrt(t) + price = cp * (s * cdf(cp * d1) - k * cdf(cp * d2) * exp(-r * t)) + + return price + +#---------------------------------------------------------------------- +def calculateDelta(double s, double k, double r, double t, double v, int cp): + """""" + cdef double d1, delta + + if v <= 0: + return 0 + + d1 = calculateD1(s, k, r, t, v) + delta = cp * cdf(cp * d1) + delta = delta * s * 0.01 + + return delta + +#---------------------------------------------------------------------- +def calculateGamma(double s, double k, double r, double t, double v, int cp): + """""" + cdef double d1, gamma + + if v <= 0: + return 0 + + d1 = calculateD1(s, k, r, t, v) + gamma = pdf(d1) / (s * v * sqrt(t)) + gamma = gamma * pow(s, 2) * 0.0001 + + return gamma + +#---------------------------------------------------------------------- +def calculateTheta(double s, double k, double r, double t, double v, int cp): + """""" + cdef double d1, d2, theta + + if v <= 0: + return 0 + + d1 = calculateD1(s, k, r, t, v) + d2 = d1 - v * sqrt(t) + theta = (-0.5 * s * pdf(d1) * v / sqrt(t) - + cp * r * k * exp(-r * t) * cdf(cp * d2)) + theta = theta / 240 + return theta + +#---------------------------------------------------------------------- +def calculateVega(double s, double k, double r, double t, double v, int cp): + """""" + vega = calculateOriginalVega(s, k, r, t, v, cp) / 100 + return vega + +#---------------------------------------------------------------------- +def calculateOriginalVega(double s, double k, double r, double t, double v, int cp): + """""" + cdef double d1, vega + + if v <= 0: + return 0 + + d1 = calculateD1(s, k, r, t, v) + vega = s * pdf(d1) * sqrt(t) + + return vega + +#---------------------------------------------------------------------- +def calculateGreeks(double s, double k, double r, double t, double v, int cp): + """""" + price = calculatePrice(s, k, r, t, v, cp) + delta = calculateDelta(s, k, r, t, v, cp) + gamma = calculateGamma(s, k, r, t, v, cp) + theta = calculateTheta(s, k, r, t, v, cp) + vega = calculateVega(s, k, r, t, v, cp) + return price, delta, gamma, theta, vega + +#---------------------------------------------------------------------- +def calculateImpv(price, s, k, r, t, cp): + """""" + if price <= 0: + return 0 + + meet = False + + if cp == 1 and (price > (s - k) * exp(-r * t)): + meet = True + elif cp == -1 and (price > k * exp(-r * t) - s): + meet = True + + if not meet: + return 0 + + v = 0.3 + + for i in range(50): + p = calculatePrice(s, k, r, t, v, cp) + + vega = calculateOriginalVega(s, k, r, t, v, cp) + + if not vega: + break + + dx = (price - p) / vega + + if abs(dx) < DX_TARGET: + break + + v += dx + + if v <= 0: + return 0 + + v = round(v, 4) + + return v + \ No newline at end of file diff --git a/vnpy/pricing/bsCython/setup.py b/vnpy/pricing/bsCython/setup.py new file mode 100644 index 00000000..dae54a84 --- /dev/null +++ b/vnpy/pricing/bsCython/setup.py @@ -0,0 +1,7 @@ +from distutils.core import setup +from Cython.Build import cythonize + +setup( + name = 'bsCython', + ext_modules = cythonize("bsCython.pyx"), +) diff --git a/vnpy/trader/app/optionMaster/etf_portfolio.json b/vnpy/trader/app/optionMaster/etf_portfolio.json index 626f29cc..fe2ea449 100644 --- a/vnpy/trader/app/optionMaster/etf_portfolio.json +++ b/vnpy/trader/app/optionMaster/etf_portfolio.json @@ -1,6 +1,6 @@ { "name": "etf_portfolio", - "model": "black", + "model": "bsCython", "underlying": [ "510050" ], diff --git a/vnpy/trader/app/optionMaster/omEngine.py b/vnpy/trader/app/optionMaster/omEngine.py index f7f98b2c..3e2eba03 100644 --- a/vnpy/trader/app/optionMaster/omEngine.py +++ b/vnpy/trader/app/optionMaster/omEngine.py @@ -17,7 +17,7 @@ from vnpy.trader.vtConstant import (PRODUCT_OPTION, OPTION_CALL, OPTION_PUT, DIRECTION_LONG, DIRECTION_SHORT, OFFSET_OPEN, OFFSET_CLOSE, PRICETYPE_LIMITPRICE) -from vnpy.pricing import black, bs, crr +from vnpy.pricing import black, bs, crr, bsCython from .omBase import (OmOption, OmUnderlying, OmChain, OmPortfolio, EVENT_OM_LOG, EVENT_OM_STRATEGY, EVENT_OM_STRATEGYLOG, @@ -31,6 +31,7 @@ MODEL_DICT = {} MODEL_DICT['black'] = black MODEL_DICT['bs'] = bs MODEL_DICT['crr'] = crr +MODEL_DICT['bsCython'] = bsCython