[Add]添加希腊值监控组件
This commit is contained in:
vn.py
parent
d3d1afd7c7
commit
796adc7673
@ -1 +1 @@
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HqLpRXdyn/k8CK6bQvjTlg==
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4kpJoMUXCPNmN66luTh0Lg==
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@ -79,7 +79,7 @@ def calculateTheta(f, k, r, t, v, cp):
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#----------------------------------------------------------------------
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def calculateVega(f, k, r, t, v, cp):
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"""计算Vega值"""
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vega = calculateVega(f, k, r, t, v, cp) / 100
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vega = calculateOriginalVega(f, k, r, t, v, cp) / 100
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return vega
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#----------------------------------------------------------------------
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@ -145,7 +145,7 @@ class OmUnderlying(OmInstrument):
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#----------------------------------------------------------------------
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def calculatePosGreeks(self):
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"""计算持仓希腊值"""
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self.posDelta = self.theoDelta * self.netPos
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self.posDelta = self.theoDelta * self.netPos * self.size
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########################################################################
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@ -211,6 +211,8 @@ class OmOption(OmInstrument):
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self.r, self.t, self.cp)
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self.midImpv = (self.askImpv + self.bidImpv) / 2
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self.pricingImpv = self.midImpv
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#----------------------------------------------------------------------
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def calculateTheoGreeks(self):
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"""计算理论希腊值"""
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@ -228,11 +230,11 @@ class OmOption(OmInstrument):
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#----------------------------------------------------------------------
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def calculatePosGreeks(self):
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"""计算持仓希腊值"""
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self.posValue = self.theoPrice * self.netPos
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self.posDelta = self.theoDelta * self.netPos
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self.posGamma = self.theoGamma * self.netPos
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self.posTheta = self.theoTheta * self.netPos
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self.posVega = self.theoVega * self.netPos
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self.posValue = self.theoPrice * self.netPos * self.size
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self.posDelta = self.theoDelta * self.netPos * self.size
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self.posGamma = self.theoGamma * self.netPos * self.size
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self.posTheta = self.theoTheta * self.netPos * self.size
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self.posVega = self.theoVega * self.netPos * self.size
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#----------------------------------------------------------------------
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def newTick(self, tick):
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294
vnpy/trader/app/optionMaster/uiOmGreeksMonitor.py
Normal file
294
vnpy/trader/app/optionMaster/uiOmGreeksMonitor.py
Normal file
@ -0,0 +1,294 @@
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# encoding: UTF-8
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from vnpy.event import Event
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from vnpy.trader.vtEvent import EVENT_TIMER
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from .uiOmBase import *
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########################################################################
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class GreeksMonitor(QtWidgets.QTableWidget):
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"""希腊值监控"""
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headers = [
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u'代码',
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u'多仓',
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u'空仓',
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u'净仓',
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u'Delta',
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u'Gamma',
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u'Theta',
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u'Vega',
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u'持仓Delta',
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u'持仓Gamma',
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u'持仓Theta',
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u'持仓Vega'
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]
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signal = QtCore.pyqtSignal(type(Event()))
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#----------------------------------------------------------------------
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def __init__(self, omEngine, parent=None):
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"""Constructor"""
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super(GreeksMonitor, self).__init__()
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self.portfolio = omEngine.portfolio
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self.eventEngine = omEngine.eventEngine
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self.cellDict = {} # key:symbol, value:cell dict
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self.updateTrigger = 2
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self.updateCount = 0
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self.initUi()
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self.initCells()
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self.registerEvent()
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#----------------------------------------------------------------------
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def initUi(self):
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"""初始化界面"""
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portfolio = self.portfolio
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self.setWindowTitle(u'希腊值监控')
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# 计算所需行数
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totalRow = 1
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totalRow += len(portfolio.underlyingDict) + 1
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totalRow += len(portfolio.chainDict) + 1
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for chain in portfolio.chainDict.values():
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totalRow += len(chain.optionDict) + 1
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# 初始化表格
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self.setColumnCount(len(self.headers))
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self.setHorizontalHeaderLabels(self.headers)
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self.setRowCount(totalRow)
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self.verticalHeader().setVisible(False)
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self.setEditTriggers(self.NoEditTriggers)
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for i in range(self.columnCount()):
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self.horizontalHeader().setResizeMode(i, QtWidgets.QHeaderView.Stretch)
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self.horizontalHeader().setResizeMode(0, QtWidgets.QHeaderView.ResizeToContents)
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#----------------------------------------------------------------------
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def initCells(self):
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"""初始化单元格"""
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portfolio = self.portfolio
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row = 0
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# 组合
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cellSymbol = OmCell(portfolio.name, COLOR_SYMBOL, COLOR_BLACK)
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cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellPosDelta = OmCell(0, COLOR_STRIKE)
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cellPosGamma = OmCell(0, COLOR_STRIKE)
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cellPosTheta = OmCell(0, COLOR_STRIKE)
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cellPosVega = OmCell(0, COLOR_STRIKE)
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self.setItem(row, 0, cellSymbol)
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self.setItem(row, 1, cellLongPos)
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self.setItem(row, 2, cellShortPos)
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self.setItem(row, 3, cellNetPos)
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self.setItem(row, 8, cellPosDelta)
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self.setItem(row, 9, cellPosGamma)
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self.setItem(row, 10, cellPosTheta)
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self.setItem(row, 11, cellPosVega)
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d = {}
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d['longPos'] = cellLongPos
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d['shortPos'] = cellShortPos
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d['netPos'] = cellNetPos
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d['posDelta'] = cellPosDelta
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d['posGamma'] = cellPosGamma
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d['posTheta'] = cellPosTheta
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d['posVega'] = cellPosVega
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self.cellDict[portfolio.name] = d
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row += 1
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# 标的
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row += 1 # 空行
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for underlying in portfolio.underlyingDict.values():
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cellSymbol = OmCell(underlying.symbol, COLOR_SYMBOL, COLOR_BLACK)
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cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellTheoDelta = OmCell('%.3f' %underlying.theoDelta)
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cellPosDelta = OmCell(0, COLOR_STRIKE)
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self.setItem(row, 0, cellSymbol)
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self.setItem(row, 1, cellLongPos)
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self.setItem(row, 2, cellShortPos)
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self.setItem(row, 3, cellNetPos)
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self.setItem(row, 4, cellTheoDelta)
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self.setItem(row, 8, cellPosDelta)
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d = {}
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d['longPos'] = cellLongPos
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d['shortPos'] = cellShortPos
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d['netPos'] = cellNetPos
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d['theoDelta'] = cellTheoDelta
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d['posDelta'] = cellPosDelta
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self.cellDict[underlying.symbol] = d
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row += 1
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# 期权链
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row += 1
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for chain in portfolio.chainDict.values():
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cellSymbol = OmCell(chain.symbol, COLOR_SYMBOL, COLOR_BLACK)
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cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellTheoDelta = OmCell(0)
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cellTheoGamma = OmCell(0)
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cellTheoTheta = OmCell(0)
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cellTheoVega = OmCell(0)
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cellPosDelta = OmCell(0, COLOR_STRIKE)
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cellPosGamma = OmCell(0, COLOR_STRIKE)
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cellPosTheta = OmCell(0, COLOR_STRIKE)
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cellPosVega = OmCell(0, COLOR_STRIKE)
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self.setItem(row, 0, cellSymbol)
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self.setItem(row, 1, cellLongPos)
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self.setItem(row, 2, cellShortPos)
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self.setItem(row, 3, cellNetPos)
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self.setItem(row, 4, cellTheoDelta)
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self.setItem(row, 5, cellTheoGamma)
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self.setItem(row, 6, cellTheoTheta)
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self.setItem(row, 7, cellTheoVega)
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self.setItem(row, 8, cellPosDelta)
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self.setItem(row, 9, cellPosGamma)
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self.setItem(row, 10, cellPosTheta)
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self.setItem(row, 11, cellPosVega)
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d = {}
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d['longPos'] = cellLongPos
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d['shortPos'] = cellShortPos
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d['netPos'] = cellNetPos
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d['theoDelta'] = cellTheoDelta
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d['theoGamma'] = cellTheoGamma
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d['theoTheta'] = cellTheoTheta
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d['theoVega'] = cellTheoVega
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d['posDelta'] = cellPosDelta
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d['posGamma'] = cellPosGamma
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d['posTheta'] = cellPosTheta
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d['posVega'] = cellPosVega
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self.cellDict[chain.symbol + '_chain'] = d
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row += 1
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# 期权
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for chain in portfolio.chainDict.values():
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row += 1
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for option in chain.optionDict.values():
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cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
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cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
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cellTheoDelta = OmCell(0)
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cellTheoGamma = OmCell(0)
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cellTheoTheta = OmCell(0)
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cellTheoVega = OmCell(0)
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cellPosDelta = OmCell(0, COLOR_STRIKE)
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cellPosGamma = OmCell(0, COLOR_STRIKE)
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cellPosTheta = OmCell(0, COLOR_STRIKE)
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cellPosVega = OmCell(0, COLOR_STRIKE)
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self.setItem(row, 0, cellSymbol)
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self.setItem(row, 1, cellLongPos)
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self.setItem(row, 2, cellShortPos)
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self.setItem(row, 3, cellNetPos)
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self.setItem(row, 4, cellTheoDelta)
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self.setItem(row, 5, cellTheoGamma)
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self.setItem(row, 6, cellTheoTheta)
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self.setItem(row, 7, cellTheoVega)
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self.setItem(row, 8, cellPosDelta)
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self.setItem(row, 9, cellPosGamma)
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self.setItem(row, 10, cellPosTheta)
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self.setItem(row, 11, cellPosVega)
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d = {}
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d['longPos'] = cellLongPos
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d['shortPos'] = cellShortPos
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d['netPos'] = cellNetPos
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d['theoDelta'] = cellTheoDelta
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d['theoGamma'] = cellTheoGamma
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d['theoTheta'] = cellTheoTheta
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d['theoVega'] = cellTheoVega
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d['posDelta'] = cellPosDelta
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d['posGamma'] = cellPosGamma
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d['posTheta'] = cellPosTheta
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d['posVega'] = cellPosVega
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self.cellDict[option.symbol] = d
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row += 1
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#----------------------------------------------------------------------
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def registerEvent(self):
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"""注册事件监听"""
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self.signal.connect(self.updateTable)
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self.eventEngine.register(EVENT_TIMER, self.signal.emit)
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#----------------------------------------------------------------------
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def processTimerEvent(self, event):
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"""处理定时事件"""
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self.updateCount += 1
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if self.updateCount >= self.updateTrigger:
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self.updateCount = 0
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self.updateTable()
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#----------------------------------------------------------------------
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def updateTable(self):
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"""更新表格"""
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# 更新组合
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portfolio = self.portfolio
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d = self.cellDict[portfolio.name]
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d['longPos'].setText(str(portfolio.longPos))
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d['shortPos'].setText(str(portfolio.shortPos))
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d['netPos'].setText(str(portfolio.netPos))
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d['posDelta'].setText('%.1f' %portfolio.posDelta)
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d['posGamma'].setText('%.1f' %portfolio.posGamma)
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d['posTheta'].setText('%.1f' %portfolio.posTheta)
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d['posVega'].setText('%.1f' %portfolio.posVega)
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# 更新标的
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for underlying in portfolio.underlyingDict.values():
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d = self.cellDict[underlying.symbol]
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d['longPos'].setText(str(underlying.longPos))
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d['shortPos'].setText(str(underlying.shortPos))
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d['netPos'].setText(str(underlying.netPos))
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d['posDelta'].setText('%.1f' %underlying.posDelta)
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# 更新期权链
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for chain in portfolio.chainDict.values():
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d = self.cellDict[chain.symbol + '_chain']
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d['longPos'].setText(str(chain.longPos))
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d['shortPos'].setText(str(chain.shortPos))
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d['netPos'].setText(str(chain.netPos))
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d['posDelta'].setText('%.1f' %chain.posDelta)
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d['posGamma'].setText('%.1f' %chain.posGamma)
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d['posTheta'].setText('%.1f' %chain.posTheta)
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d['posVega'].setText('%.1f' %chain.posVega)
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# 更新期权
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for chain in portfolio.chainDict.values():
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for option in chain.optionDict.values():
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d = self.cellDict[option.symbol]
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d['longPos'].setText(str(option.longPos))
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d['shortPos'].setText(str(option.shortPos))
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d['netPos'].setText(str(option.netPos))
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d['theoDelta'].setText('%.3f' %option.theoDelta)
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d['theoGamma'].setText('%.3f' %option.theoGamma)
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d['theoTheta'].setText('%.3f' %option.theoTheta)
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d['theoVega'].setText('%.3f' %option.theoVega)
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d['posDelta'].setText('%.1f' %option.posDelta)
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d['posGamma'].setText('%.1f' %option.posGamma)
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d['posTheta'].setText('%.1f' %option.posTheta)
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d['posVega'].setText('%.1f' %option.posVega)
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@ -6,10 +6,11 @@ import os
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from datetime import datetime
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from vnpy.event import Event
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from vnpy.trader.uiQt import QtWidgets, QtCore
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from .omBase import EVENT_OM_LOG
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from .uiOmBase import QtWidgets, QtCore
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from .uiOmManualTrader import ManualTrader
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from .uiOmGreeksMonitor import GreeksMonitor
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########################################################################
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@ -55,6 +56,9 @@ class OmManager(QtWidgets.QWidget):
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self.buttonManualTrader = QtWidgets.QPushButton(u'手动交易')
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self.buttonManualTrader.clicked.connect(self.openManualTrader)
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self.buttonGreeksMonitor = QtWidgets.QPushButton(u'希腊值监控')
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self.buttonGreeksMonitor.clicked.connect(self.openGreeksMonitor)
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self.logMonitor = QtWidgets.QTextEdit()
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self.logMonitor.setReadOnly(True)
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@ -62,6 +66,7 @@ class OmManager(QtWidgets.QWidget):
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hbox.addWidget(self.comboSettingFile)
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hbox.addWidget(self.buttonInit)
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hbox.addWidget(self.buttonManualTrader)
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hbox.addWidget(self.buttonGreeksMonitor)
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hbox.addStretch()
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hbox2 = QtWidgets.QHBoxLayout()
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@ -111,6 +116,15 @@ class OmManager(QtWidgets.QWidget):
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self.widgetDict['manualTrader'] = ManualTrader(self.omEngine)
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self.widgetDict['manualTrader'].showMaximized()
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#----------------------------------------------------------------------
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def openGreeksMonitor(self):
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"""打开希腊值监控组件"""
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try:
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self.widgetDict['greeksMonitor'].showMaximized()
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except KeyError:
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self.widgetDict['greeksMonitor'] = GreeksMonitor(self.omEngine)
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self.widgetDict['greeksMonitor'].showMaximized()
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#----------------------------------------------------------------------
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def close(self):
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"""关闭"""
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Block a user