JUKUAN/Lib/Options/Jiabailie/04_股指ETF期权T型报价.py

# 股指ETF期权T型报价
# 参考资料：
# - 原始策略来源: https://www.joinquant.com/view/community/detail/a5a968ed72f2b827c051d337b0d74d04
# - 研究网址: https://www.joinquant.com/research?target=research&url=/user/75474983526/notebooks/Options/%E8%82%A1%E6%8C%87ETF%E6%9C%9F%E6%9D%83T%E5%9E%8B%E6%8A%A5%E4%BB%B7.ipynb

# TODO: 添加股指ETF期权T型报价相关代码

import pandas as pd
import numpy as np
import talib as tb
from   pandas.plotting import  table
from   jqdata import *

#期权合约信息
class OptionContract:
    
    preClose: 0     #前一天的收盘价
    marginUnit: 0   #单位保证金
    prePosition: 0  #前一天收盘的持仓量
    close: 0        #现价
    volume: 0       #成交量
    position: 0     #当前持仓量
    priceChangePct: 0 #收盘价涨跌幅
    positionChange: 0 #日增仓
    positionChangePct: 0 #日增仓比例
    rewardPct: 0         #报酬率（权利金/保证金）
        
    def __init__(self, preClose, marginUnit, 
                 prePosition, close, volume, 
                 position, priceChangePct, 
                 positionChange, 
                 positionChangePct, 
                 rewardPct):
        
        self.preClose = preClose
        self.marginUnit = marginUnit
        self.prePosition = prePosition
        self.close = close
        self.volume = volume
        self.position = position
        self.priceChangePct = priceChangePct
        self.positionChange = positionChange
        self.positionChangePct = positionChangePct
        self.rewardPct = rewardPct

        
# 同一行权价的一组期权
class OptionGroup:
    
    exercisePrice: 0 ##行权价
    call: None       ##认购的类型
    put: None        ##认沽的类型
        
    def __init__(self, exercisePrice, call, put):
        self.exercisePrice = exercisePrice
        self.call = call
        self.put = put
        
    def __init__(self, exercisePrice):
        self.exercisePrice = exercisePrice

#数据实体

CONTENT = [
    'close', 
    'volume', 
    'position', 
    'priceChangePct', 
    'positionChange', 
    'positionChangePct',
    'preClose', 
    'marginUnit', 
    'rewardPct'
]


##目前支持的域及对应的抬头
CONTENT_HEADER_MAP = {
    
    'rewardPct': '报酬率', #计算方式：权利金/卖出一手所需的保证金*100
    'marginUnit': '保证金', #开盘前一手该期权的保证金额，没有随盘中价格变化更新
    'preClose': '昨收',
    'prePosition': '昨日持仓',
    'close': '现价', 
    'volume': '成交量', 
    'position': '持仓量', 
    'priceChangePct': '涨跌幅', 
    'positionChange': '日增仓', 
    'positionChangePct': '日增仓率', 
    
}


##期权合约，以50ETF为例 
SUBJECT_MATTER = '510050.XSHG'

##期权合约，以300ETF为例 
#SUBJECT_MATTER = '510300.XSHG'

##查询数据日期，以2024-03-22为例
DATA_DATE = '2024-03-22'

#合约到期日，以50ETF2403为例
EXPIRE_MONTH = '2024-03-27'

#查询相关的合约
qy = query(opt.OPT_CONTRACT_INFO).filter(
    opt.OPT_CONTRACT_INFO.underlying_symbol == SUBJECT_MATTER, ##期权标的物
    opt.OPT_CONTRACT_INFO.exercise_date == EXPIRE_MONTH,##期权到期日
).order_by(opt.OPT_CONTRACT_INFO.exercise_price, opt.OPT_CONTRACT_INFO.contract_type)
optList = opt.run_query(qy)

print(optList)

optionGroups = {}

for index, row in optList.iterrows():
    
    code = row['code'] #key - 期权代码
    
    #查询具体合约的信息,商品需要去掉开盘前的静态信息
    optionDailyQuery = query(opt.OPT_DAILY_PREOPEN).filter(
                             opt.OPT_DAILY_PREOPEN.code==code).order_by(
                             opt.OPT_DAILY_PREOPEN.date.desc()).limit(1)
    
    dailyData = opt.run_query(optionDailyQuery)
    realTimeQuery = query(opt.OPT_DAILY_PRICE).filter(
                          opt.OPT_DAILY_PRICE.code==code, 
                          opt.OPT_DAILY_PRICE.date==DATA_DATE).order_by(
                          opt.OPT_DAILY_PRICE.date.desc()).limit(1)
    
    realTimeData = opt.run_query(realTimeQuery)
   
    #期权基本信息
    exercisePrice = row['exercise_price'] #行权价
    contractType = row['contract_type'] #合约类型。CO-认购期权，PO-认沽期权
    
    #盘前静态表查询
    preClose = dailyData.loc[0].at['pre_close'] #前一天的收盘价
    marginUnit = int(dailyData.loc[0].at['margin_unit']) #单位保证金
    prePosition = dailyData.loc[0].at['position'] #前一天收盘的持仓量
    
    #实时表查询
    close = realTimeData.loc[0].at['close'] #现价
    volume = int(realTimeData.loc[0].at['volume']) #成交量
    position = realTimeData.loc[0].at['position'] #当前持仓量
    priceChangePct = str(round(realTimeData.loc[0].at['change_pct_close'], 2)) + '%' #收盘价涨跌幅
    
    #计算
    positionChange = position - prePosition #日增仓
    positionChangePct = str(round(abs(positionChange / prePosition * 100), 2)) + '%' #日增仓比例
    rewardPct = round(close * 10000 / marginUnit * 100, 2) #报酬率（权利金/保证金）
    
    #去除非标准的带A合约
    if(exercisePrice * 10000 % 500 != 0):
        continue
    optionContract = OptionContract(preClose, marginUnit, 
                                    prePosition, close, 
                                    volume, position, 
                                    priceChangePct, positionChange, 
                                    positionChangePct, rewardPct)
    
    if(exercisePrice in optionGroups):
        
        if(contractType == 'CO'):
            optionGroups[exercisePrice].call = optionContract
        else:
            optionGroups[exercisePrice].put = optionContract
            
    else:
        
        optionGroup = OptionGroup(exercisePrice)
        
        if(contractType == 'CO'):
            optionGroup.call = optionContract
        else:
            optionGroup.put = optionContract
            
        optionGroups[exercisePrice] = optionGroup

list = optionGroups.values()

rtitle = CONTENT.copy()
rtitle.reverse()
data = {}

for key in rtitle:
    data['C-'+CONTENT_HEADER_MAP[key]] = []
data['行权价'] = []

for key in CONTENT:
    data['P-'+CONTENT_HEADER_MAP[key]] = []
    
for option in list:
    
    for key in CONTENT:
        data['C-'+CONTENT_HEADER_MAP[key]].append(getattr(option.call, key))
    data['行权价'].append(option.exercisePrice)
    
    for key in rtitle:
        data['P-'+CONTENT_HEADER_MAP[key]].append(getattr(option.put, key))

df = pd.DataFrame(data)

df