[Add]新增波动率管理组件

examples/OptionMaster/data/TRADE_MARKET_110100001088sop.dat

@@ -1 +1 @@
-4kpJoMUXCPNmN66luTh0Lg==
+1akdYJY+uYtFOYGtWEJkKg==

vnpy/trader/app/optionMaster/omBase.py

@@ -211,8 +211,6 @@ class OmOption(OmInstrument):
                                           self.r, self.t, self.cp)        
         self.midImpv = (self.askImpv + self.bidImpv) / 2
     
-        self.pricingImpv = self.midImpv
-    
     #----------------------------------------------------------------------
     def calculateTheoGreeks(self):
         """计算理论希腊值"""

vnpy/trader/app/optionMaster/uiOmVolatilityManager.py

@@ -124,3 +124,234 @@ class VolatilityChart(pg.GraphicsWindow):
         """关闭"""
         self.eventEngine.unregister(EVENT_TIMER, self.signal.emit)
 
+
+########################################################################
+class ChainVolatilityMonitor(QtWidgets.QTableWidget):
+    """期权链波动率监控"""
+    headers = [
+        u'代码',
+        u'买隐波',
+        u'定价',
+        u'卖隐波',
+        u'行权价',
+        u'买隐波',
+        u'定价',
+        u'卖隐波',   
+        u'代码'
+    ]
+
+    #----------------------------------------------------------------------
+    def __init__(self, chain, parent=None):
+        """Constructor"""
+        super(ChainVolatilityMonitor, self).__init__(parent)
+        
+        self.chain = chain
+        self.cellDict = {}      # key: symbol, value: dict of cells
+        
+        self.initUi()
+        self.itemChanged.connect(self.pricingImpvChanged)
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        chain = self.chain
+        
+        # 初始化表格
+        self.setColumnCount(len(self.headers))
+        self.setHorizontalHeaderLabels(self.headers)
+        self.setRowCount(len(chain.callDict))
+        self.verticalHeader().setVisible(False)
+        
+        for i in range(self.columnCount()):
+            self.horizontalHeader().setResizeMode(i, QtWidgets.QHeaderView.Stretch)
+            
+        # 初始化单元格
+        for row, option in enumerate(chain.callDict.values()):
+            cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
+            cellBid = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK)
+            cellPricing = OmCell('%.1f' %(option.pricingImpv*100), COLOR_POS, COLOR_BLACK)
+            cellAsk = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK)
+            cellStrike = OmCell(str(option.k), COLOR_STRIKE)
+            
+            cellPricing.data = option.symbol
+            
+            self.setItem(row, 0, cellSymbol)
+            self.setItem(row, 1, cellBid)
+            self.setItem(row, 2, cellPricing)
+            self.setItem(row, 3, cellAsk)
+            self.setItem(row, 4, cellStrike)
+            
+            d = {}
+            d['bid'] = cellBid
+            d['ask'] = cellAsk
+            d['pricing'] = cellPricing
+            self.cellDict[option.symbol] = d
+            
+        for row, option in enumerate(chain.putDict.values()):
+            cellSymbol = OmCell(option.symbol, COLOR_SYMBOL, COLOR_BLACK)
+            cellBid = OmCell('%.1f' %(option.bidImpv*100), COLOR_BID, COLOR_BLACK)
+            cellPricing = OmCell('%.1f' %(option.pricingImpv*100), COLOR_POS, COLOR_BLACK)
+            cellAsk = OmCell('%.1f' %(option.askImpv*100), COLOR_ASK, COLOR_BLACK)
+            
+            cellPricing.data = option.symbol
+            
+            self.setItem(row, 5, cellBid)
+            self.setItem(row, 6, cellPricing)
+            self.setItem(row, 7, cellAsk)
+            self.setItem(row, 8, cellSymbol)
+            
+            d = {}
+            d['bid'] = cellBid
+            d['ask'] = cellAsk
+            d['pricing'] = cellPricing
+            self.cellDict[option.symbol] = d        
+    
+    #----------------------------------------------------------------------
+    def refresh(self):
+        """刷新数据"""
+        for option in self.chain.optionDict.values():
+            d = self.cellDict[option.symbol]
+            d['bid'].setText('%.1f' %(option.bidImpv*100))
+            d['ask'].setText('%.1f' %(option.askImpv*100))
+            d['pricing'].setText('%.1f' %(option.pricingImpv*100))
+    
+    #----------------------------------------------------------------------
+    def pricingImpvChanged(self, item):
+        """更细定价波动率"""
+        if not item.data:
+            return
+        
+        option = self.chain.optionDict[item.data]
+        newImpv = float(item.text())/100
+        
+        if option.pricingImpv != newImpv:
+            option.pricingImpv = newImpv
+
+
+########################################################################
+class ChainVolatilityManager(QtWidgets.QWidget):
+    """期权链波动率管理"""
+    IMPV_CHANGE_STEP = 0.001
+
+    #----------------------------------------------------------------------
+    def __init__(self, chain, parent=None):
+        """Constructor"""
+        super(ChainVolatilityManager, self).__init__(parent)
+        
+        self.chain = chain
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.monitor = ChainVolatilityMonitor(self.chain)
+        
+        buttonCallIncrease = QtWidgets.QPushButton(u'看涨+' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
+        buttonCallDecrease = QtWidgets.QPushButton(u'看涨-' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
+        buttonPutIncrease = QtWidgets.QPushButton(u'看跌+' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
+        buttonPutDecrease = QtWidgets.QPushButton(u'看跌-' + ('%.1f%%' %(self.IMPV_CHANGE_STEP*100)))
+        buttonCallReset = QtWidgets.QPushButton(u'看涨重置')
+        buttonPutReset = QtWidgets.QPushButton(u'看跌重置')
+        buttonRefresh = QtWidgets.QPushButton(u'刷新')
+        
+        buttonCallIncrease.clicked.connect(self.callIncrease)
+        buttonCallDecrease.clicked.connect(self.callDecrease)
+        buttonPutIncrease.clicked.connect(self.putIncrease)
+        buttonPutDecrease.clicked.connect(self.putDecrease)
+        buttonCallReset.clicked.connect(self.callReset)
+        buttonPutReset.clicked.connect(self.putReset)
+        buttonRefresh.clicked.connect(self.monitor.refresh)
+        
+        hbox = QtWidgets.QHBoxLayout()
+        hbox.addStretch()
+        hbox.addWidget(buttonCallIncrease)
+        hbox.addWidget(buttonCallReset)
+        hbox.addWidget(buttonCallDecrease)
+        hbox.addStretch()
+        hbox.addWidget(buttonRefresh)
+        hbox.addStretch()
+        hbox.addWidget(buttonPutIncrease)
+        hbox.addWidget(buttonPutReset)
+        hbox.addWidget(buttonPutDecrease)     
+        hbox.addStretch()
+        
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addLayout(hbox)
+        vbox.addWidget(self.monitor)
+        
+        self.setLayout(vbox)
+        
+    #----------------------------------------------------------------------
+    def callIncrease(self):
+        """看涨增加"""
+        for option in self.chain.callDict.values():
+            option.pricingImpv += self.IMPV_CHANGE_STEP
+        self.monitor.refresh()
+    
+    #----------------------------------------------------------------------
+    def callDecrease(self):
+        """看涨减少"""
+        for option in self.chain.callDict.values():
+            option.pricingImpv -= self.IMPV_CHANGE_STEP
+        self.monitor.refresh()
+    
+    #----------------------------------------------------------------------
+    def callReset(self):
+        """看涨重置为中值"""
+        for option in self.chain.callDict.values():
+            option.pricingImpv = option.midImpv
+        self.monitor.refresh()
+    
+    #----------------------------------------------------------------------
+    def putIncrease(self):
+        """看跌增加"""
+        for option in self.chain.putDict.values():
+            option.pricingImpv += self.IMPV_CHANGE_STEP
+        self.monitor.refresh()
+    
+    #----------------------------------------------------------------------
+    def putDecrease(self):
+        """看跌减少"""
+        for option in self.chain.putDict.values():
+            option.pricingImpv -= self.IMPV_CHANGE_STEP
+        self.monitor.refresh()
+    
+    #----------------------------------------------------------------------
+    def putReset(self):
+        """看跌重置为中值"""
+        for option in self.chain.putDict.values():
+            option.pricingImpv = option.midImpv
+        self.monitor.refresh()
+
+
+
+########################################################################
+class VolatilityManager(QtWidgets.QWidget):
+    """波动率管理"""
+
+    #----------------------------------------------------------------------
+    def __init__(self, omEngine, parent=None):
+        """Constructor"""
+        super(VolatilityManager, self).__init__(parent)
+        
+        self.omEngine = omEngine
+        self.portfolio = omEngine.portfolio
+        self.eventEngine = omEngine.eventEngine
+        
+        self.initUi()
+        
+    #----------------------------------------------------------------------
+    def initUi(self):
+        """初始化界面"""
+        self.setWindowTitle(u'波动率管理')
+        
+        tab = QtWidgets.QTabWidget()
+        for chain in self.portfolio.chainDict.values():
+            chainManager = ChainVolatilityManager(chain)
+            tab.addTab(chainManager, chain.symbol)
+        
+        vbox = QtWidgets.QVBoxLayout()
+        vbox.addWidget(tab)
+        
+        self.setLayout(vbox)

vnpy/trader/app/optionMaster/uiOmWidget.py

@@ -11,7 +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
+from .uiOmVolatilityManager import VolatilityChart, VolatilityManager
 
 
 ########################################################################
@@ -56,12 +56,19 @@ class OmManager(QtWidgets.QWidget):
         
         self.buttonManualTrader = QtWidgets.QPushButton(u'手动交易')
         self.buttonManualTrader.clicked.connect(self.openManualTrader)
+        self.buttonManualTrader.setDisabled(True)
         
         self.buttonGreeksMonitor = QtWidgets.QPushButton(u'希腊值监控')
         self.buttonGreeksMonitor.clicked.connect(self.openGreeksMonitor)
+        self.buttonGreeksMonitor.setDisabled(True)
         
         self.buttonVolatilityChart = QtWidgets.QPushButton(u'波动率图表')
         self.buttonVolatilityChart.clicked.connect(self.openVolatilityChart)
+        self.buttonVolatilityChart.setDisabled(True)
+        
+        self.buttonVolatilityManager = QtWidgets.QPushButton(u'波动率管理')
+        self.buttonVolatilityManager.clicked.connect(self.openVolatilityManager)
+        self.buttonVolatilityManager.setDisabled(True)
         
         self.logMonitor = QtWidgets.QTextEdit()
         self.logMonitor.setReadOnly(True)
@@ -72,6 +79,7 @@ class OmManager(QtWidgets.QWidget):
         hbox.addWidget(self.buttonManualTrader)
         hbox.addWidget(self.buttonGreeksMonitor)
         hbox.addWidget(self.buttonVolatilityChart)
+        hbox.addWidget(self.buttonVolatilityManager)
         hbox.addStretch()
         
         hbox2 = QtWidgets.QHBoxLayout()
@@ -94,9 +102,21 @@ class OmManager(QtWidgets.QWidget):
         
         if result:
             self.writeLog(u'引擎初始化成功')
+            self.enableButtons()
         else:
             self.writeLog(u'请勿重复初始化引擎')
     
+    #----------------------------------------------------------------------
+    def enableButtons(self):
+        """启用按钮"""
+        self.comboSettingFile.setDisabled(True)
+        self.buttonInit.setDisabled(True)
+        
+        self.buttonManualTrader.setEnabled(True)
+        self.buttonGreeksMonitor.setEnabled(True)
+        self.buttonVolatilityChart.setEnabled(True)
+        self.buttonVolatilityManager.setEnabled(True)
+        
     #----------------------------------------------------------------------
     def writeLog(self, content, time=''):
         """记录日志"""
@@ -139,6 +159,15 @@ class OmManager(QtWidgets.QWidget):
             self.widgetDict['volatilityChart'] = VolatilityChart(self.omEngine)
             self.widgetDict['volatilityChart'].showMaximized()
     
+    #----------------------------------------------------------------------
+    def openVolatilityManager(self):
+        """打开波动率管理组件"""
+        try:
+            self.widgetDict['volatilityManager'].show()
+        except KeyError:
+            self.widgetDict['volatilityManager'] = VolatilityManager(self.omEngine)
+            self.widgetDict['volatilityManager'].show()       
+
     #----------------------------------------------------------------------
     def close(self):
         """关闭"""

vnpy/trader/uiBasicWidget.py

@@ -454,8 +454,8 @@ class MarketMonitor(BasicMonitor):
         # 设置字体
         self.setFont(BASIC_FONT)
         
-        # 设置允许排序
+        # 设置排序
-        self.setSorting(True)
+        self.setSorting(False)
         
         # 初始化表格
         self.initTable()