[Add]新增波动率管理组件
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vn.py
parent
af31162849
commit
dfb23ab2f4
@ -1 +1 @@
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4kpJoMUXCPNmN66luTh0Lg==
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1akdYJY+uYtFOYGtWEJkKg==
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@ -210,8 +210,6 @@ class OmOption(OmInstrument):
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self.bidImpv = self.calculateImpv(self.bidPrice1, underlyingPrice, self.k,
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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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@ -123,4 +123,235 @@ class VolatilityChart(pg.GraphicsWindow):
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def closeEvent(self, event):
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"""关闭"""
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self.eventEngine.unregister(EVENT_TIMER, self.signal.emit)
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########################################################################
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class ChainVolatilityMonitor(QtWidgets.QTableWidget):
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"""期权链波动率监控"""
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headers = [
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u'代码',
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u'买隐波',
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u'定价',
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u'卖隐波',
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u'行权价',
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u'买隐波',
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u'定价',
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u'卖隐波',
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u'代码'
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]
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#----------------------------------------------------------------------
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def __init__(self, chain, parent=None):
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"""Constructor"""
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super(ChainVolatilityMonitor, self).__init__(parent)
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self.chain = chain
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self.cellDict = {} # key: symbol, value: dict of cells
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self.initUi()
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self.itemChanged.connect(self.pricingImpvChanged)
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#----------------------------------------------------------------------
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def initUi(self):
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"""初始化界面"""
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chain = self.chain
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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(len(chain.callDict))
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self.verticalHeader().setVisible(False)
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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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# 初始化单元格
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for row, option in enumerate(chain.callDict.values()):
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cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
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cellBid = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK)
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cellPricing = OmCell('%.1f' %(option.pricingImpv*100), COLOR_POS, COLOR_BLACK)
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cellAsk = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK)
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cellStrike = OmCell(str(option.k), COLOR_STRIKE)
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cellPricing.data = option.symbol
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self.setItem(row, 0, cellSymbol)
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self.setItem(row, 1, cellBid)
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self.setItem(row, 2, cellPricing)
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self.setItem(row, 3, cellAsk)
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self.setItem(row, 4, cellStrike)
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d = {}
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d['bid'] = cellBid
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d['ask'] = cellAsk
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d['pricing'] = cellPricing
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self.cellDict[option.symbol] = d
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for row, option in enumerate(chain.putDict.values()):
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cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
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cellBid = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK)
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cellPricing = OmCell('%.1f' %(option.pricingImpv*100), COLOR_POS, COLOR_BLACK)
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cellAsk = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK)
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cellPricing.data = option.symbol
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self.setItem(row, 5, cellBid)
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self.setItem(row, 6, cellPricing)
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self.setItem(row, 7, cellAsk)
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self.setItem(row, 8, cellSymbol)
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d = {}
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d['bid'] = cellBid
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d['ask'] = cellAsk
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d['pricing'] = cellPricing
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self.cellDict[option.symbol] = d
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#----------------------------------------------------------------------
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def refresh(self):
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"""刷新数据"""
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for option in self.chain.optionDict.values():
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d = self.cellDict[option.symbol]
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d['bid'].setText('%.1f' %(option.bidImpv*100))
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d['ask'].setText('%.1f' %(option.askImpv*100))
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d['pricing'].setText('%.1f' %(option.pricingImpv*100))
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#----------------------------------------------------------------------
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def pricingImpvChanged(self, item):
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"""更细定价波动率"""
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if not item.data:
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return
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option = self.chain.optionDict[item.data]
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newImpv = float(item.text())/100
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if option.pricingImpv != newImpv:
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option.pricingImpv = newImpv
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########################################################################
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class ChainVolatilityManager(QtWidgets.QWidget):
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"""期权链波动率管理"""
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IMPV_CHANGE_STEP = 0.001
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#----------------------------------------------------------------------
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def __init__(self, chain, parent=None):
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"""Constructor"""
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super(ChainVolatilityManager, self).__init__(parent)
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self.chain = chain
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self.initUi()
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#----------------------------------------------------------------------
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def initUi(self):
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"""初始化界面"""
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self.monitor = ChainVolatilityMonitor(self.chain)
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buttonCallIncrease = QtWidgets.QPushButton(u'看涨+' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
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buttonCallDecrease = QtWidgets.QPushButton(u'看涨-' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
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buttonPutIncrease = QtWidgets.QPushButton(u'看跌+' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
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buttonPutDecrease = QtWidgets.QPushButton(u'看跌-' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
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buttonCallReset = QtWidgets.QPushButton(u'看涨重置')
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buttonPutReset = QtWidgets.QPushButton(u'看跌重置')
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buttonRefresh = QtWidgets.QPushButton(u'刷新')
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buttonCallIncrease.clicked.connect(self.callIncrease)
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buttonCallDecrease.clicked.connect(self.callDecrease)
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buttonPutIncrease.clicked.connect(self.putIncrease)
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buttonPutDecrease.clicked.connect(self.putDecrease)
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buttonCallReset.clicked.connect(self.callReset)
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buttonPutReset.clicked.connect(self.putReset)
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buttonRefresh.clicked.connect(self.monitor.refresh)
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hbox = QtWidgets.QHBoxLayout()
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hbox.addStretch()
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hbox.addWidget(buttonCallIncrease)
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hbox.addWidget(buttonCallReset)
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hbox.addWidget(buttonCallDecrease)
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hbox.addStretch()
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hbox.addWidget(buttonRefresh)
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hbox.addStretch()
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hbox.addWidget(buttonPutIncrease)
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hbox.addWidget(buttonPutReset)
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hbox.addWidget(buttonPutDecrease)
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hbox.addStretch()
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vbox = QtWidgets.QVBoxLayout()
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vbox.addLayout(hbox)
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vbox.addWidget(self.monitor)
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self.setLayout(vbox)
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#----------------------------------------------------------------------
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def callIncrease(self):
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"""看涨增加"""
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for option in self.chain.callDict.values():
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option.pricingImpv += self.IMPV_CHANGE_STEP
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self.monitor.refresh()
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#----------------------------------------------------------------------
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def callDecrease(self):
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"""看涨减少"""
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for option in self.chain.callDict.values():
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option.pricingImpv -= self.IMPV_CHANGE_STEP
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self.monitor.refresh()
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#----------------------------------------------------------------------
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def callReset(self):
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"""看涨重置为中值"""
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for option in self.chain.callDict.values():
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option.pricingImpv = option.midImpv
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self.monitor.refresh()
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#----------------------------------------------------------------------
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def putIncrease(self):
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"""看跌增加"""
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for option in self.chain.putDict.values():
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option.pricingImpv += self.IMPV_CHANGE_STEP
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self.monitor.refresh()
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#----------------------------------------------------------------------
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def putDecrease(self):
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"""看跌减少"""
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for option in self.chain.putDict.values():
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option.pricingImpv -= self.IMPV_CHANGE_STEP
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self.monitor.refresh()
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#----------------------------------------------------------------------
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def putReset(self):
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"""看跌重置为中值"""
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for option in self.chain.putDict.values():
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option.pricingImpv = option.midImpv
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self.monitor.refresh()
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########################################################################
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class VolatilityManager(QtWidgets.QWidget):
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"""波动率管理"""
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#----------------------------------------------------------------------
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def __init__(self, omEngine, parent=None):
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"""Constructor"""
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super(VolatilityManager, self).__init__(parent)
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self.omEngine = omEngine
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self.portfolio = omEngine.portfolio
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self.eventEngine = omEngine.eventEngine
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self.initUi()
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#----------------------------------------------------------------------
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def initUi(self):
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"""初始化界面"""
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self.setWindowTitle(u'波动率管理')
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tab = QtWidgets.QTabWidget()
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for chain in self.portfolio.chainDict.values():
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chainManager = ChainVolatilityManager(chain)
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tab.addTab(chainManager, chain.symbol)
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vbox = QtWidgets.QVBoxLayout()
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vbox.addWidget(tab)
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self.setLayout(vbox)
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@ -11,7 +11,7 @@ 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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from .uiOmVolatilityManager import VolatilityChart
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from .uiOmVolatilityManager import VolatilityChart, VolatilityManager
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########################################################################
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@ -56,12 +56,19 @@ 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.buttonManualTrader.setDisabled(True)
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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.buttonGreeksMonitor.setDisabled(True)
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self.buttonVolatilityChart = QtWidgets.QPushButton(u'波动率图表')
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self.buttonVolatilityChart.clicked.connect(self.openVolatilityChart)
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self.buttonVolatilityChart.setDisabled(True)
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self.buttonVolatilityManager = QtWidgets.QPushButton(u'波动率管理')
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self.buttonVolatilityManager.clicked.connect(self.openVolatilityManager)
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self.buttonVolatilityManager.setDisabled(True)
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self.logMonitor = QtWidgets.QTextEdit()
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self.logMonitor.setReadOnly(True)
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@ -72,6 +79,7 @@ class OmManager(QtWidgets.QWidget):
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hbox.addWidget(self.buttonManualTrader)
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hbox.addWidget(self.buttonGreeksMonitor)
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hbox.addWidget(self.buttonVolatilityChart)
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hbox.addWidget(self.buttonVolatilityManager)
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hbox.addStretch()
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hbox2 = QtWidgets.QHBoxLayout()
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@ -94,8 +102,20 @@ class OmManager(QtWidgets.QWidget):
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if result:
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self.writeLog(u'引擎初始化成功')
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self.enableButtons()
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else:
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self.writeLog(u'请勿重复初始化引擎')
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#----------------------------------------------------------------------
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def enableButtons(self):
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"""启用按钮"""
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self.comboSettingFile.setDisabled(True)
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self.buttonInit.setDisabled(True)
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self.buttonManualTrader.setEnabled(True)
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self.buttonGreeksMonitor.setEnabled(True)
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self.buttonVolatilityChart.setEnabled(True)
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self.buttonVolatilityManager.setEnabled(True)
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#----------------------------------------------------------------------
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def writeLog(self, content, time=''):
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@ -137,7 +157,16 @@ class OmManager(QtWidgets.QWidget):
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self.widgetDict['volatilityChart'].showMaximized()
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except KeyError:
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self.widgetDict['volatilityChart'] = VolatilityChart(self.omEngine)
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self.widgetDict['volatilityChart'].showMaximized()
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self.widgetDict['volatilityChart'].showMaximized()
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#----------------------------------------------------------------------
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def openVolatilityManager(self):
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"""打开波动率管理组件"""
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try:
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self.widgetDict['volatilityManager'].show()
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except KeyError:
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self.widgetDict['volatilityManager'] = VolatilityManager(self.omEngine)
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self.widgetDict['volatilityManager'].show()
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#----------------------------------------------------------------------
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def close(self):
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@ -454,8 +454,8 @@ class MarketMonitor(BasicMonitor):
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# 设置字体
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self.setFont(BASIC_FONT)
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# 设置允许排序
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self.setSorting(True)
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# 设置排序
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self.setSorting(False)
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# 初始化表格
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self.initTable()
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