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[Add]添加希腊值监控组件

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This commit is contained in:
vn.py 2017-12-01 10:08:00 +08:00
parent d3d1afd7c7
commit 796adc7673
5 changed files with 319 additions and 9 deletions
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2
examples/OptionMaster/data/TRADE_MARKET_110100001088sop.dat
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@ -1 +1 @@
HqLpRXdyn/k8CK6bQvjTlg==
4kpJoMUXCPNmN66luTh0Lg==

2
vnpy/pricing/black.py
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@ -79,7 +79,7 @@ def calculateTheta(f, k, r, t, v, cp):
#----------------------------------------------------------------------
def calculateVega(f, k, r, t, v, cp):
"""计算Vega值"""
vega = calculateVega(f, k, r, t, v, cp) / 100
vega = calculateOriginalVega(f, k, r, t, v, cp) / 100
return vega
#----------------------------------------------------------------------

14
vnpy/trader/app/optionMaster/omBase.py
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@ -145,7 +145,7 @@ class OmUnderlying(OmInstrument):
#----------------------------------------------------------------------
def calculatePosGreeks(self):
"""计算持仓希腊值"""
self.posDelta = self.theoDelta * self.netPos
self.posDelta = self.theoDelta * self.netPos * self.size
########################################################################
@ -210,6 +210,8 @@ class OmOption(OmInstrument):
self.bidImpv = self.calculateImpv(self.bidPrice1, underlyingPrice, self.k,
self.r, self.t, self.cp)
self.midImpv = (self.askImpv + self.bidImpv) / 2
self.pricingImpv = self.midImpv
#----------------------------------------------------------------------
def calculateTheoGreeks(self):
@ -228,11 +230,11 @@ class OmOption(OmInstrument):
#----------------------------------------------------------------------
def calculatePosGreeks(self):
"""计算持仓希腊值"""
self.posValue = self.theoPrice * self.netPos
self.posDelta = self.theoDelta * self.netPos
self.posGamma = self.theoGamma * self.netPos
self.posTheta = self.theoTheta * self.netPos
self.posVega = self.theoVega * self.netPos
self.posValue = self.theoPrice * self.netPos * self.size
self.posDelta = self.theoDelta * self.netPos * self.size
self.posGamma = self.theoGamma * self.netPos * self.size
self.posTheta = self.theoTheta * self.netPos * self.size
self.posVega = self.theoVega * self.netPos * self.size
#----------------------------------------------------------------------
def newTick(self, tick):

294
vnpy/trader/app/optionMaster/uiOmGreeksMonitor.py Normal file
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@ -0,0 +1,294 @@
# encoding: UTF-8
from vnpy.event import Event
from vnpy.trader.vtEvent import EVENT_TIMER
from .uiOmBase import *
########################################################################
class GreeksMonitor(QtWidgets.QTableWidget):
"""希腊值监控"""
headers = [
u'代码',
u'多仓',
u'空仓',
u'净仓',
u'Delta',
u'Gamma',
u'Theta',
u'Vega',
u'持仓Delta',
u'持仓Gamma',
u'持仓Theta',
u'持仓Vega'
]
signal = QtCore.pyqtSignal(type(Event()))
#----------------------------------------------------------------------
def __init__(self, omEngine, parent=None):
"""Constructor"""
super(GreeksMonitor, self).__init__()
self.portfolio = omEngine.portfolio
self.eventEngine = omEngine.eventEngine
self.cellDict = {} # key:symbol, value:cell dict
self.updateTrigger = 2
self.updateCount = 0
self.initUi()
self.initCells()
self.registerEvent()
#----------------------------------------------------------------------
def initUi(self):
"""初始化界面"""
portfolio = self.portfolio
self.setWindowTitle(u'希腊值监控')
# 计算所需行数
totalRow = 1
totalRow += len(portfolio.underlyingDict) + 1
totalRow += len(portfolio.chainDict) + 1
for chain in portfolio.chainDict.values():
totalRow += len(chain.optionDict) + 1
# 初始化表格
self.setColumnCount(len(self.headers))
self.setHorizontalHeaderLabels(self.headers)
self.setRowCount(totalRow)
self.verticalHeader().setVisible(False)
self.setEditTriggers(self.NoEditTriggers)
for i in range(self.columnCount()):
self.horizontalHeader().setResizeMode(i, QtWidgets.QHeaderView.Stretch)
self.horizontalHeader().setResizeMode(0, QtWidgets.QHeaderView.ResizeToContents)
#----------------------------------------------------------------------
def initCells(self):
"""初始化单元格"""
portfolio = self.portfolio
row = 0
# 组合
cellSymbol = OmCell(portfolio.name, COLOR_SYMBOL, COLOR_BLACK)
cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellPosDelta = OmCell(0, COLOR_STRIKE)
cellPosGamma = OmCell(0, COLOR_STRIKE)
cellPosTheta = OmCell(0, COLOR_STRIKE)
cellPosVega = OmCell(0, COLOR_STRIKE)
self.setItem(row, 0, cellSymbol)
self.setItem(row, 1, cellLongPos)
self.setItem(row, 2, cellShortPos)
self.setItem(row, 3, cellNetPos)
self.setItem(row, 8, cellPosDelta)
self.setItem(row, 9, cellPosGamma)
self.setItem(row, 10, cellPosTheta)
self.setItem(row, 11, cellPosVega)
d = {}
d['longPos'] = cellLongPos
d['shortPos'] = cellShortPos
d['netPos'] = cellNetPos
d['posDelta'] = cellPosDelta
d['posGamma'] = cellPosGamma
d['posTheta'] = cellPosTheta
d['posVega'] = cellPosVega
self.cellDict[portfolio.name] = d
row += 1
# 标的
row += 1 # 空行
for underlying in portfolio.underlyingDict.values():
cellSymbol = OmCell(underlying.symbol, COLOR_SYMBOL, COLOR_BLACK)
cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellTheoDelta = OmCell('%.3f' %underlying.theoDelta)
cellPosDelta = OmCell(0, COLOR_STRIKE)
self.setItem(row, 0, cellSymbol)
self.setItem(row, 1, cellLongPos)
self.setItem(row, 2, cellShortPos)
self.setItem(row, 3, cellNetPos)
self.setItem(row, 4, cellTheoDelta)
self.setItem(row, 8, cellPosDelta)
d = {}
d['longPos'] = cellLongPos
d['shortPos'] = cellShortPos
d['netPos'] = cellNetPos
d['theoDelta'] = cellTheoDelta
d['posDelta'] = cellPosDelta
self.cellDict[underlying.symbol] = d
row += 1
# 期权链
row += 1
for chain in portfolio.chainDict.values():
cellSymbol = OmCell(chain.symbol, COLOR_SYMBOL, COLOR_BLACK)
cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellTheoDelta = OmCell(0)
cellTheoGamma = OmCell(0)
cellTheoTheta = OmCell(0)
cellTheoVega = OmCell(0)
cellPosDelta = OmCell(0, COLOR_STRIKE)
cellPosGamma = OmCell(0, COLOR_STRIKE)
cellPosTheta = OmCell(0, COLOR_STRIKE)
cellPosVega = OmCell(0, COLOR_STRIKE)
self.setItem(row, 0, cellSymbol)
self.setItem(row, 1, cellLongPos)
self.setItem(row, 2, cellShortPos)
self.setItem(row, 3, cellNetPos)
self.setItem(row, 4, cellTheoDelta)
self.setItem(row, 5, cellTheoGamma)
self.setItem(row, 6, cellTheoTheta)
self.setItem(row, 7, cellTheoVega)
self.setItem(row, 8, cellPosDelta)
self.setItem(row, 9, cellPosGamma)
self.setItem(row, 10, cellPosTheta)
self.setItem(row, 11, cellPosVega)
d = {}
d['longPos'] = cellLongPos
d['shortPos'] = cellShortPos
d['netPos'] = cellNetPos
d['theoDelta'] = cellTheoDelta
d['theoGamma'] = cellTheoGamma
d['theoTheta'] = cellTheoTheta
d['theoVega'] = cellTheoVega
d['posDelta'] = cellPosDelta
d['posGamma'] = cellPosGamma
d['posTheta'] = cellPosTheta
d['posVega'] = cellPosVega
self.cellDict[chain.symbol + '_chain'] = d
row += 1
# 期权
for chain in portfolio.chainDict.values():
row += 1
for option in chain.optionDict.values():
cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
cellLongPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellShortPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellNetPos = OmCell(0, COLOR_POS, COLOR_BLACK)
cellTheoDelta = OmCell(0)
cellTheoGamma = OmCell(0)
cellTheoTheta = OmCell(0)
cellTheoVega = OmCell(0)
cellPosDelta = OmCell(0, COLOR_STRIKE)
cellPosGamma = OmCell(0, COLOR_STRIKE)
cellPosTheta = OmCell(0, COLOR_STRIKE)
cellPosVega = OmCell(0, COLOR_STRIKE)
self.setItem(row, 0, cellSymbol)
self.setItem(row, 1, cellLongPos)
self.setItem(row, 2, cellShortPos)
self.setItem(row, 3, cellNetPos)
self.setItem(row, 4, cellTheoDelta)
self.setItem(row, 5, cellTheoGamma)
self.setItem(row, 6, cellTheoTheta)
self.setItem(row, 7, cellTheoVega)
self.setItem(row, 8, cellPosDelta)
self.setItem(row, 9, cellPosGamma)
self.setItem(row, 10, cellPosTheta)
self.setItem(row, 11, cellPosVega)
d = {}
d['longPos'] = cellLongPos
d['shortPos'] = cellShortPos
d['netPos'] = cellNetPos
d['theoDelta'] = cellTheoDelta
d['theoGamma'] = cellTheoGamma
d['theoTheta'] = cellTheoTheta
d['theoVega'] = cellTheoVega
d['posDelta'] = cellPosDelta
d['posGamma'] = cellPosGamma
d['posTheta'] = cellPosTheta
d['posVega'] = cellPosVega
self.cellDict[option.symbol] = d
row += 1
#----------------------------------------------------------------------
def registerEvent(self):
"""注册事件监听"""
self.signal.connect(self.updateTable)
self.eventEngine.register(EVENT_TIMER, self.signal.emit)
#----------------------------------------------------------------------
def processTimerEvent(self, event):
"""处理定时事件"""
self.updateCount += 1
if self.updateCount >= self.updateTrigger:
self.updateCount = 0
self.updateTable()
#----------------------------------------------------------------------
def updateTable(self):
"""更新表格"""
# 更新组合
portfolio = self.portfolio
d = self.cellDict[portfolio.name]
d['longPos'].setText(str(portfolio.longPos))
d['shortPos'].setText(str(portfolio.shortPos))
d['netPos'].setText(str(portfolio.netPos))
d['posDelta'].setText('%.1f' %portfolio.posDelta)
d['posGamma'].setText('%.1f' %portfolio.posGamma)
d['posTheta'].setText('%.1f' %portfolio.posTheta)
d['posVega'].setText('%.1f' %portfolio.posVega)
# 更新标的
for underlying in portfolio.underlyingDict.values():
d = self.cellDict[underlying.symbol]
d['longPos'].setText(str(underlying.longPos))
d['shortPos'].setText(str(underlying.shortPos))
d['netPos'].setText(str(underlying.netPos))
d['posDelta'].setText('%.1f' %underlying.posDelta)
# 更新期权链
for chain in portfolio.chainDict.values():
d = self.cellDict[chain.symbol + '_chain']
d['longPos'].setText(str(chain.longPos))
d['shortPos'].setText(str(chain.shortPos))
d['netPos'].setText(str(chain.netPos))
d['posDelta'].setText('%.1f' %chain.posDelta)
d['posGamma'].setText('%.1f' %chain.posGamma)
d['posTheta'].setText('%.1f' %chain.posTheta)
d['posVega'].setText('%.1f' %chain.posVega)
# 更新期权
for chain in portfolio.chainDict.values():
for option in chain.optionDict.values():
d = self.cellDict[option.symbol]
d['longPos'].setText(str(option.longPos))
d['shortPos'].setText(str(option.shortPos))
d['netPos'].setText(str(option.netPos))
d['theoDelta'].setText('%.3f' %option.theoDelta)
d['theoGamma'].setText('%.3f' %option.theoGamma)
d['theoTheta'].setText('%.3f' %option.theoTheta)
d['theoVega'].setText('%.3f' %option.theoVega)
d['posDelta'].setText('%.1f' %option.posDelta)
d['posGamma'].setText('%.1f' %option.posGamma)
d['posTheta'].setText('%.1f' %option.posTheta)
d['posVega'].setText('%.1f' %option.posVega)

16
vnpy/trader/app/optionMaster/uiOmWidget.py
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@ -6,10 +6,11 @@ import os
from datetime import datetime
from vnpy.event import Event
from vnpy.trader.uiQt import QtWidgets, QtCore
from .omBase import EVENT_OM_LOG
from .uiOmBase import QtWidgets, QtCore
from .uiOmManualTrader import ManualTrader
from .uiOmGreeksMonitor import GreeksMonitor
########################################################################
@ -55,6 +56,9 @@ class OmManager(QtWidgets.QWidget):
self.buttonManualTrader = QtWidgets.QPushButton(u'手动交易')
self.buttonManualTrader.clicked.connect(self.openManualTrader)
self.buttonGreeksMonitor = QtWidgets.QPushButton(u'希腊值监控')
self.buttonGreeksMonitor.clicked.connect(self.openGreeksMonitor)
self.logMonitor = QtWidgets.QTextEdit()
self.logMonitor.setReadOnly(True)
@ -62,6 +66,7 @@ class OmManager(QtWidgets.QWidget):
hbox.addWidget(self.comboSettingFile)
hbox.addWidget(self.buttonInit)
hbox.addWidget(self.buttonManualTrader)
hbox.addWidget(self.buttonGreeksMonitor)
hbox.addStretch()
hbox2 = QtWidgets.QHBoxLayout()
@ -110,6 +115,15 @@ class OmManager(QtWidgets.QWidget):
except KeyError:
self.widgetDict['manualTrader'] = ManualTrader(self.omEngine)
self.widgetDict['manualTrader'].showMaximized()
#----------------------------------------------------------------------
def openGreeksMonitor(self):
"""打开希腊值监控组件"""
try:
self.widgetDict['greeksMonitor'].showMaximized()
except KeyError:
self.widgetDict['greeksMonitor'] = GreeksMonitor(self.omEngine)
self.widgetDict['greeksMonitor'].showMaximized()
#----------------------------------------------------------------------
def close(self):