A期客# coding:utf-8
#!/usr/bin/env python
from PoboAPI import *
import datetime
import numpy as np
#用poboquant python实现，在poboquant上运行，如果有问题 可加群 726895887 咨询
#50ETF 和 50ETF期权的对冲交易，当ETF隐含波动率较高时就买50ETF并做空50ETF看涨期权.
#日线级别策略 Strategy on Day Range
#Hedge 50ETF 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.code1 = "10001315.SHSE" # 50ETF购12月2600
g.code0 = "510050.SHSE" #其中g表示code0是一个类全局变量
#订阅实时数据，用于驱动OnQuote事件
SubscribeQuote(g.code0)
#订阅K线数据，用于驱动OnBar事件
SubscribeBar(g.code0, 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 #初始化期权账户
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.myaccSTC = None #初始化股票账户
if context.accounts.has_key("回测证券") :
print "登录交易账号[回测证券]"
if context.accounts["回测证券"].Login() :
context.myaccSTC = context.accounts["回测证券"]
def Getop(code):#获取期权合约，包括call和put合约
dyndata = GetQuote(code)
now1 = dyndata.now
now50 = round(now1,1) + 0.05
cutime = GetCurrentTime()
if cutime.day >15 and cutime.month<12:
tim = cutime.month + 1
month_time = datetime.datetime(month=tim, year=cutime.year,day = 20)
elif cutime.day >15 and cutime.month==12:
tim = 1
yea = cutime.year + 1
month_time = datetime.datetime(month=tim, year=yea,day = 20)
else:
month_time = cutime
atmopc = GetAtmOptionContract(code,month_time,now50,0)
atmopp = GetAtmOptionContract(code,month_time,now50,1)
return atmopc,atmopp
def GetDaystoExpire(op):#计算期权到期日
info1 = GetContractInfo(op)
kill = info1['行权到期日']
cutime = GetCurrentTime()
c = cutime.date()
n = (kill - c).days
print n
#实时行情事件，当有新行情出现时调用该事件
def OnQuote(context, code) :
#过滤掉不需要的行情通知
# if code != g.code1 :
# return
# if code != g.code2 :
# return
#获取最新行情
#dyndata1 = GetQuote(g.code1)
dyndata0 = GetQuote(g.code0)
tradingtime=GetQuote(g.code0).time
tradingdate=GetCurrentTime().date()
print "tradingtime ",tradingtime
print "tradingdate ",tradingdate
if dyndata0 :
#.now指最新价，详细属性见API文档
#now1 = dyndata1.now
now0 = dyndata0.now
#打印最新价
#log.info("50ETF购12月2600: " + str(dyndata1.now))
log.info("510050最新价: " + str(now0))
opc,opp = Getop(g.code0)#获取期权合约代码
#获取K线数据
#klinedata1 = GetHisData(g.code1, BarType.Day)
dyndata1 = GetQuote(opc)
klinedata0 = GetHisData(g.code0, BarType.Day)
#打印K线数据，如最新一根K线的收盘价
CalObj = CreateCalcObj()
option = PBObj()
option.EndDate = GetCurrentTime()
option.Count = 30
#计算30日历史波动率
klist = GetHisDataByField(g.code0, BarType.Day, "close", option)
if len(klist)>0:
Kl = np.array(klist, dtype=np.double)
HisVola=CalObj.GetVolatility(Kl)
print 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=round(now0,1) + 0.05 # 计算期权行权价
InterestRate=4.35*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
OptInfo = GetContractInfo(opc)#查询期权信息
ExpDates=OptInfo['行权到期日']
print "dates of expire ",str(ExpDates)
#ExpireinYear=(GetOptionsLastDates(g.code1) - tradingtime).days / 365.0 # years to expire
ExpireinYear=(ExpDates - tradingdate).days / 365.0 # years to expire
print "ExpireinYear ",ExpireinYear
OptionPrice=dyndata1.now # get 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
balSTC = context.myaccSTC.AccountBalance #获取账户资金状况
posmarginSTC=balSTC.MarketValue
posmargin=posmarginOPT + posmarginSTC
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 ImpliedVola>0.23 and poslength==0 and context.myaccOPT and context.myaccSTC and posmargin<=500000 :
# 50ETF隐含波动率大于23%就卖出50ETF购12月2600，买入50ETF
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(opc, BSType.SellOpen, dyndata1.now, 10)#sell options
context.myaccSTC.InsertOrder(g.code0, BSType.BuyOpen, dyndata0.now, 100000)#buy ETF
if ImpliedVola<0.18 and poslength>0 and context.myaccOPT and context.myaccSTC :
# 50ETF隐含波动率小于18%就买平50ETF购12月2600，卖出50ETF，获利平仓
print "Close positions,take profit with IV"+str(ImpliedVola)
print "trading day "+str(tradingtime)
context.myaccOPT.InsertOrder(opc, BSType.BuyClose, dyndata1.now, 10)
context.myaccSTC.InsertOrder(g.code0, BSType.SellClose, dyndata0.now, 100000)
if ImpliedVola>0.30 and poslength>0 and context.myaccOPT and context.myaccSTC :
# 50ETF隐含波动率大于30%就买平50ETF购12月2600，卖出50ETF，止损平仓
print "sell close the spread,cut loss with IV "+str(ImpliedVola)
print "trading day "+str(tradingtime)
context.myaccOPT.InsertOrder(opc, BSType.BuyClose, dyndata1.now, 10)
context.myaccSTC.InsertOrder(g.code0, BSType.SellClose, dyndata0.now, 100000)
if poslength>0:
#平仓快要到期的期权头寸和相应50ETF头寸
for i in pos:
if GetDaystoExpire(i.contract)<=3:
OptClosePrice=GetQuote(i.contract)
OptCloseVolume=i.availvolume
print "平仓快到期头寸"
context.myaccOPT.InsertOrder(i.contract, BSType.BuyClose, OptClosePrice, OptCloseVolume)
context.myaccSTC.InsertOrder(g.code0, BSType.SellClose, dyndata0.now, 10000*OptCloseVolume)
#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)Click to rate this post!
