[Add]新增波动率图表

vnpy/trader/app/optionMaster/etf_portfolio.json

@@ -14,6 +14,16 @@
             "underlyingSymbol": "510050", 
             "chainSymbol": "510050-1801", 
             "r": 0.03
+        },
+        {
+            "underlyingSymbol": "510050", 
+            "chainSymbol": "510050-1803", 
+            "r": 0.03
+        },
+        {
+            "underlyingSymbol": "510050", 
+            "chainSymbol": "510050-1806", 
+            "r": 0.03
         }
     ]
 }

vnpy/trader/app/optionMaster/uiOmVolatilityManager.py

@@ -0,0 +1,126 @@
+# encoding: UTF-8
+
+import pyqtgraph as pg
+
+from vnpy.event import Event
+from vnpy.trader.vtEvent import EVENT_TIMER
+from .uiOmBase import *
+
+
+########################################################################
+class VolatilityChart(pg.GraphicsWindow):
+    """持仓组合波动率图表"""
+    signal = QtCore.pyqtSignal(type(Event()))
+    
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(VolatilityChart, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.portfolio = omEngine.portfolio
+        self.eventEngine = omEngine.eventEngine
+        
+        self.updateCount = 0
+        self.updateTrigger = 2
+        
+        self.bidCurveDict = {}
+        self.askCurveDict = {}
+        self.pricingCurveDict = {}
+        
+        self.initUi()
+        self.registerEvent()
+    
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        portfolio = self.portfolio
+        
+        self.setWindowTitle(u'波动率图表')
+
+        pg.setConfigOptions(antialias=True)         #启用抗锯齿
+        
+        # 创建绘图区以及线
+        for chain in portfolio.chainDict.values():
+            symbol = chain.symbol + CALL_SUFFIX
+
+            chart = self.addPlot(title=symbol)
+            chart.showGrid(x=True, y=True) 
+            chart.setLabel('left', u'波动率')          #设置左边标签
+            chart.setLabel('bottom', u'行权价')        #设置底部标签                
+
+            self.bidCurveDict[symbol] = chart.plot(pen='r', symbol='t', symbolSize=8, symbolBrush='r')
+            self.askCurveDict[symbol] = chart.plot(pen='g', symbolSize=8, symbolBrush='g')
+            self.pricingCurveDict[symbol] = chart.plot(pen='w', symbol = 's', symbolSize=8, symbolBrush='w')
+        
+        self.nextRow()
+        
+        for chain in portfolio.chainDict.values():
+            symbol = chain.symbol + PUT_SUFFIX
+
+            chart = self.addPlot(title=symbol)
+            chart.showGrid(x=True, y=True) 
+            chart.setLabel('left', u'波动率') 
+            chart.setLabel('bottom', u'行权价')
+
+            self.bidCurveDict[symbol] = chart.plot(pen='r', symbol='t', symbolSize=8, symbolBrush='r')
+            self.askCurveDict[symbol] = chart.plot(pen='g', symbolSize=8, symbolBrush='g')
+            self.pricingCurveDict[symbol] = chart.plot(pen='w', symbol = 's', symbolSize=8, symbolBrush='w')
+
+    #----------------------------------------------------------------------
+    def registerEvent(self):
+        """注册事件监听"""
+        self.signal.connect(self.processTimerEvent)
+        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.updateChart()
+        
+    #----------------------------------------------------------------------
+    def updateChart(self):
+        """更新图表"""
+        for chain in self.portfolio.chainDict.values():
+            strikeData = [option.k for option in chain.callDict.values()]
+            
+            # 看涨
+            symbol = chain.symbol + CALL_SUFFIX
+            
+            bidImpvData = []
+            askImpvData = []
+            pricingImpvData = []
+            
+            for option in chain.callDict.values():
+                bidImpvData.append(option.bidImpv*100)
+                askImpvData.append(option.askImpv*100)
+                pricingImpvData.append(option.pricingImpv*100)
+            
+            self.bidCurveDict[symbol].setData(y=bidImpvData, x=strikeData)
+            self.askCurveDict[symbol].setData(y=askImpvData, x=strikeData)
+            self.pricingCurveDict[symbol].setData(y=pricingImpvData, x=strikeData)
+            
+            # 看跌
+            symbol = chain.symbol + PUT_SUFFIX
+            
+            bidImpvData = []
+            askImpvData = []
+            pricingImpvData = []
+            
+            for option in chain.putDict.values():
+                bidImpvData.append(option.bidImpv*100)
+                askImpvData.append(option.askImpv*100)
+                pricingImpvData.append(option.pricingImpv*100)
+            
+            self.bidCurveDict[symbol].setData(y=bidImpvData, x=strikeData)
+            self.askCurveDict[symbol].setData(y=askImpvData, x=strikeData)
+            self.pricingCurveDict[symbol].setData(y=pricingImpvData, x=strikeData)
+            
+    #----------------------------------------------------------------------
+    def closeEvent(self, event):
+        """关闭"""
+        self.eventEngine.unregister(EVENT_TIMER, self.signal.emit)
+        

vnpy/trader/app/optionMaster/uiOmWidget.py

@@ -11,6 +11,7 @@ from .omBase import EVENT_OM_LOG
 from .uiOmBase import QtWidgets, QtCore
 from .uiOmManualTrader import ManualTrader
 from .uiOmGreeksMonitor import GreeksMonitor
+from .uiOmVolatilityManager import VolatilityChart
 
 
 ########################################################################
@@ -59,6 +60,9 @@ class OmManager(QtWidgets.QWidget):
         self.buttonGreeksMonitor = QtWidgets.QPushButton(u'希腊值监控')
         self.buttonGreeksMonitor.clicked.connect(self.openGreeksMonitor)
         
+        self.buttonVolatilityChart = QtWidgets.QPushButton(u'波动率图表')
+        self.buttonVolatilityChart.clicked.connect(self.openVolatilityChart)
+        
         self.logMonitor = QtWidgets.QTextEdit()
         self.logMonitor.setReadOnly(True)
         
@@ -67,6 +71,7 @@ class OmManager(QtWidgets.QWidget):
         hbox.addWidget(self.buttonInit)
         hbox.addWidget(self.buttonManualTrader)
         hbox.addWidget(self.buttonGreeksMonitor)
+        hbox.addWidget(self.buttonVolatilityChart)
         hbox.addStretch()
         
         hbox2 = QtWidgets.QHBoxLayout()
@@ -125,13 +130,22 @@ class OmManager(QtWidgets.QWidget):
             self.widgetDict['greeksMonitor'] = GreeksMonitor(self.omEngine)
             self.widgetDict['greeksMonitor'].showMaximized()   
             
+    #----------------------------------------------------------------------
+    def openVolatilityChart(self):
+        """打开波动率图表组件"""
+        try:
+            self.widgetDict['volatilityChart'].showMaximized()
+        except KeyError:
+            self.widgetDict['volatilityChart'] = VolatilityChart(self.omEngine)
+            self.widgetDict['volatilityChart'].showMaximized()      
+
     #----------------------------------------------------------------------
     def close(self):
         """关闭"""
         for widget in self.widgetDict.values():
             widget.close()
             
-        super(OmManagerWidget, self).close()
+        super(OmManager, self).close()
         
     #----------------------------------------------------------------------
     def registerEvent(self):