中金所IH与50ETF对冲-改进历史波动率计算代码研究学习

中金所IH与50ETF对冲-改进历史波动率计算代码研究学习，程序适用与博易量化交易平台-真格量化系统。

# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
import numpy as np
#上证50指数期货 和 50ETF期权的对冲交易，当ETF隐含波动率较高时就买IH期货并做空ETF看涨期权
#Hedge IH Index Futures with 50ETF call options, open positions when IV's high
#开始时间，用于初始化一些参数
def OnStart(context) :
    print "system starting..."
    #设定一个全局变量品种
    
    g.code0 = "510050.SHSE"
    g.code1 = "10001315.SHSE" # 50ETF购12月2600
    g.code2="IH1812.CFFEX"

    #订阅实时数据，用于驱动OnQuote事件
    SubscribeQuote([g.code1,g.code0,g.code2]) #批量订阅行情
    #订阅K线数据，用于驱动OnBar事件
    #SubscribeBar(g.code1, BarType.Day)

    #登录交易账号，需在主页用户管理中设置账号，并把证券测试替换成您的账户名称
    context.myaccOPT = None
    if context.accounts.has_key("回测期权") :
        print "登录交易账号[回测期权]"
        if context.accounts["回测期权"].Login() :
            context.myaccOPT = context.accounts["回测期权"]
    
    context.myaccFUT = None
    if context.accounts.has_key("回测期货") :
        print "登录交易账号[回测期货]"
        if context.accounts["回测期货"].Login() :
            context.myaccFUT = context.accounts["回测期货"]        
  
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
    #获取最新行情
    dyndata1 = GetQuote(g.code1).now#.now指最新价，详细属性见API文档
    dyndata0 = GetQuote(g.code0).now
    dyndata2 = GetQuote(g.code2).now
    tradingtime=GetQuote(g.code0).time#获取50ETF交易时间，用于计算波动率
    print "tradingtime ",tradingtime
    if dyndata1 and dyndata0 and dyndata2 :        
        now1 = dyndata1
        now0 = dyndata0
        now2 = dyndata2
        #打印最新价
        log.info("50ETF购12月2600: " + str(dyndata1))
        log.info("510050最新价: " + str(dyndata0))
        log.info("IH1812最新价:" + str(dyndata2))        
               
        #klinedata0 = GetHisData(g.code0, BarType.Day)#获取K线数据         
        CalOBJ = CreateCalcObj() #创建一个计算对象
        option = PBObj()
        #option.StartDate = datetime.datetime(int(tradingtime.year), int(tradingtime.month), int(tradingtime.day))
        yearstring=int(tradingtime.year)
        #print "yearstring=int(tradingtime.year)",int(tradingtime.year)
        monthstring=int(tradingtime.month)
        daystring=int(tradingtime.day)
        #准备计算50ETF的历史波动率

        option.EndDate=datetime.datetime(yearstring,monthstring,daystring)
        option.Count = 31 #计算50ETF 30天历史波动率 
        klinedata0 = GetHisData(g.code0, BarType.Day, option)
        #print "len(klinedata) ",len(klinedata)
        klist = []
        i=0
        while i<len(klinedata0)-1:
            #print "previous trading day" +str(klinedata0[i].tradedate)
            #print "previous prices "+str(klinedata0[i].close)
            klist.append(klinedata0[i].close) #  
            i+=1
        if len(klist)>0:
            Kl = np.array(klist, dtype=np.double)
            HisVola=CalOBJ.GetVolatility(Kl) #得到历史波动率
        print "30D HisVola "+str(HisVola)
        
        OptDirection=0 # 0 for call, 1 for put
        
        AssetType=0 # 0 for stock opt,1 for etf opt, 2 for futures opt
        
        AssetPrice=now0 # here is the 510050 price
        print "AssetPrice ",AssetPrice
        StrikePrice=2.6 # for 50ETF购12月2600 strike price
        
        InterestRate=4.5*0.01 # the risk free interest rate 
        print "g.code ",g.code0
        #dates=GetOptionsLastDates("m1901.DCE")# not working
        #dates=GetOptionsLastDates("SR901C6000.CZCE") # not working 
        #dates=GetOptionsLastDates("510050.SHSE")#  working
        #dates=GetOptionsLastDates("m1805-C-3300.DCE")
        dates=datetime.datetime(2018,12,26) # expire date for 50ETF购12月2600 options 
        
        print "dates of expire ",str(dates)
        
        #ExpireinYear=(GetOptionsLastDates(g.code1) - tradingtime).days / 365.0 # years to expire
        ExpireinYear=(dates - tradingtime).days / 365.0 # years to expire
        print "ExpireinYear ",ExpireinYear
        OptionPrice=now1 # for option price
        
        
        #calculate the implied volatility
        #format (direction,asset type,asset price,strikeprice,HisVola,interest rate,expire year,option price)
        print "opt para:"+str(OptDirection)+","+str(AssetType)+","+str(AssetPrice)+","+str(StrikePrice)+","+str(HisVola)+","+str(InterestRate)+","+str(ExpireinYear)+","+str(OptionPrice)
        ImpliedVola=CalOBJ.GetImpliedVolatility(OptDirection,AssetType,AssetPrice,StrikePrice,HisVola,InterestRate,ExpireinYear,OptionPrice)
        print "Implied Volatility is " + str(ImpliedVola)
        
        balOPT = context.myaccOPT.AccountBalance #获取账户资金状况
        posmarginOPT=balOPT.MarketValue
        
        balFUT = context.myaccFUT.AccountBalance #获取账户资金状况
        posmarginFUT=balFUT.MarketValue
        
        posmargin=posmarginOPT + posmarginFUT
        
        pos = context.myaccOPT.GetPositions()    
        
        poslength=len(pos)
        print "持仓合约数： "+str(poslength)
        #如果配置好交易账号了，可以根据条件下单，需把下面中的证券测试账号换成您设置的账号名称
        #if len(klinedata1) > 1  and ImpliedVola>0.23 and context.myaccOPT and context.myaccFUT  and posmargin<600000 :
        if  ImpliedVola>0.23   and posmargin<600000 :
            # 
            print "open positions with IV at "+str(ImpliedVola)
            print "trading day "+str(tradingtime)
            print "期权持仓市值 "+str(posmargin)
            context.myaccOPT.InsertOrder(g.code1, BSType.SellOpen, dyndata1, 30)#sell options
            context.myaccFUT.InsertOrder(g.code2, BSType.BuyOpen, dyndata2, 1)#buy ETF
            
            
        if  ImpliedVola<0.18 and poslength>0 :
            # 
            print "Close positions,take profit with IV"+str(ImpliedVola)
            print "trading day "+str(tradingtime)
            context.myaccOPT.InsertOrder(g.code1, BSType.BuyClose, dyndata1, 30)
            context.myaccFUT.InsertOrder(g.code2, BSType.SellClose, dyndata2, 1)
        
        if  ImpliedVola>0.30 and poslength>0 :
            # 
            print "sell close the spread,cut loss with IV "+str(ImpliedVola)
            print "trading day "+str(tradingtime)
            context.myaccOPT.InsertOrder(g.code1, BSType.BuyClose, dyndata1, 30)
            context.myaccFUT.InsertOrder(g.code2, BSType.SellClose, dyndata2, 1)    

#委托回报事件，当有委托回报时调用
def OnOrderChange(context, AccountName, order) :
    #打印委托信息，id是编号，volume是数量，详细见API文档
    print "委托编号： " + order.id + "   账号名称： " + AccountName
    print "Vol: " + str(order.volume) + " Price: " + str(order.price)