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股指期货与50ETF期权对冲 IH Index Futures hedged with 50ETF Options
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股指期货与50ETF期权对冲 IH Index Futures hedged with 50ETF Options
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# 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
#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，范例而已，细节自己添加
#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])
#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) :
#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
option = PBObj()
#option.WeightType = 1
dyndata1 = GetQuote(g.code1).now
#dyndata1=dyndata1.close
dyndata0 = GetQuote(g.code0).now
#dyndata0 =dyndata0.close
dyndata2 = GetQuote(g.code2).now
#print "dyndata0"+str(dyndata0[len(dyndata0)-1])
#print "dyndata1"+str(dyndata1[len(dyndata1)-1])
#print "dyndata2"+str(dyndata2[len(dyndata2)-1])
#dyndata2=dyndata2.close
tradingtime=GetQuote(g.code0).time
print "tradingtime ",tradingtime
if dyndata1 and dyndata0 and dyndata2 :
#.now指最新价，详细属性见API文档
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))
#获取K线数据
klinedata1 = GetHisData(g.code1, BarType.Day)
klinedata0 = GetHisData(g.code0, BarType.Day)
klinedata2 = GetHisData(g.code2, BarType.Day)
#print "k线数据"+str(klinedata1)+" "+str(klinedata2)+" "+str(klinedata0)
#打印K线数据，如最新一根K线的收盘价
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
if monthstring-1 in [1,3,5,7,8,10,12]:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
if monthstring-1==2:
if daystring>28:
option.StartDate = datetime.datetime(yearstring,monthstring-1,28)
else:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
if monthstring-1 in [4,6,9,11]:
if daystring>30:
option.StartDate = datetime.datetime(yearstring,monthstring-1,30)
else:
option.StartDate = datetime.datetime(yearstring,monthstring-1,daystring)
#format (directtion,asset type,asset price,)
option.Count = 30 #计算50ETF 30天历史波动率
klinedata = GetHisData(g.code0, BarType.Day, option)
#print "len(klinedata) ",len(klinedata)
klist = []
i=0
while i<len(klinedata):
klist.append(klinedata[i].close)
#print "klinedata[i].close",klinedata[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 :
# 50ETF隐含波动率大于23%就卖出看涨期权，买入期货对冲
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 len(klinedata1) > 1 and ImpliedVola<0.18 and poslength>0 and context.myaccOPT and context.myaccFUT :
# 50ETF隐含波动率小于18%就买平看涨期权，卖平期货，获利平仓
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 len(klinedata1) > 1 and ImpliedVola>0.30 and poslength>0 and context.myaccOPT and context.myaccFUT :
# 50ETF隐含波动率大于30%就 止损平仓
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)