mon night lazy

src/finopt/ystockquote.py

@@ -182,21 +182,30 @@ def get_historical_prices(symbol, start_date, end_date):
     """
     Get historical prices for the given ticker symbol.
     Date format is 'YYYYMMDD'
-    
+    http://www.google.com/finance/historical?q=AAPL&startdate=Nov%201,%202011&enddate=Nov%2030,%202011&output=csv
     Returns a nested list.
     """
-    url = 'http://ichart.yahoo.com/table.csv?s=%s&' % symbol + \
-          'd=%s&' % str(int(end_date[4:6]) - 1) + \
-          'e=%s&' % str(int(end_date[6:8])) + \
-          'f=%s&' % str(int(end_date[0:4])) + \
-          'g=d&' + \
-          'a=%s&' % str(int(start_date[4:6]) - 1) + \
-          'b=%s&' % str(int(start_date[6:8])) + \
-          'c=%s&' % str(int(start_date[0:4])) + \
-          'ignore=.csv'
-    days = urllib.urlopen(url).readlines()
-    data = [day[:-2].split(',') for day in days]
-    return data
+#     url = 'http://ichart.yahoo.com/table.csv?s=%s&' % symbol + \
+#           'd=%s&' % str(int(end_date[4:6]) - 1) + \
+#           'e=%s&' % str(int(end_date[6:8])) + \
+#           'f=%s&' % str(int(end_date[0:4])) + \
+#           'g=d&' + \
+#           'a=%s&' % str(int(start_date[4:6]) - 1) + \
+#           'b=%s&' % str(int(start_date[6:8])) + \
+#           'c=%s&' % str(int(start_date[0:4])) + \
+#           'ignore=.csv'
+#     days = urllib.urlopen(url).readlines()
+#     data = [day[:-2].split(',') for day in days]
+#     return data
+    url = 'https://www.google.com/finance/historical?q=%s&startdate=%s&enddate=%s&output=csv' % (symbol, start_date, end_date)
+    
+    #url = 'http://www.google.com/finance/historical?q=HSI&startdate=jan%201,2017&enddate=may%2019,2017&output=csv'
+    print url
+    csv = urllib.urlopen(url).readlines()
+    print csv
+
+
+   
 
 
 #ss = [["0001.HK",2.5],["0002.HK",1.86],["0003.HK",1.62],["0004.HK",1.27],["0005.HK",15.02],["0006.HK",1.44],["0011.HK",1.42],["0012.HK",0.82],["0013.HK",2.53],["0016.HK",2.53],["0017.HK",0.7],["0019.HK",1.01],["0023.HK",0.67],["0066.HK",0.67],["0083.HK",0.66],["0101.HK",0.94],["0144.HK",0.46],["0151.HK",1.14],["0267.HK",0.18],["0291.HK",0.46],["0293.HK",0.24],["0322.HK",0.71],["0330.HK",0.25],["0386.HK",1.88],["0388.HK",1.86],["0494.HK",1.06],["0688.HK",1.25],["0700.HK",4.52],["0762.HK",0.94],["0836.HK",0.49],["0857.HK",3.29],["0883.HK",4.38],["0939.HK",7.08],["0941.HK",8.08],["1044.HK",0.91],["1088.HK",1.59],["1109.HK",0.53],["1199.HK",0.27],["1299.HK",4.69],["1398.HK",5.25],["1880.HK",1.01],["1898.HK",0.43],["1928.HK",1.06],["2318.HK",1.85],["2388.HK",1.42],["2600.HK",0.19],["2628.HK",2.56],["3328.HK",0.71],["3988.HK",3.63]]

src/rethink/analytics_engine.py

@@ -40,7 +40,7 @@ class AnalyticsEngine(AbstractGatewayListener):
         
         oc2.set_option_structure(contract, 200, 50, 0.0012, 0.0328, expiry)        
         
-        oc2.build_chain(24172, 0.04, 0.22)
+        oc2.build_chain(25280, 0.04, 0.22)
         
 #         expiry='20170324'
 #         contractTuple = ('QQQ', 'STK', 'SMART', 'USD', '', 0, '')
@@ -65,7 +65,7 @@ class AnalyticsEngine(AbstractGatewayListener):
          
         oc3.set_option_structure(contract, 200, 50, 0.0012, 0.0328, expiry)        
          
-        oc3.build_chain(24172, 0.04, 0.22)
+        oc3.build_chain(25280, 0.04, 0.22)
 
 #         expiry = '20170331'
 #         contractTuple = ('QQQ', 'STK', 'SMART', 'USD', '', 0, '')

src/rethink/portfolio_item.py

@@ -14,6 +14,7 @@ from rethink.tick_datastore import TickDataStore
 from numpy import average
 from rethink.table_model import AbstractTableModel
 from gtk.keysyms import percent
+import numpy as np
 
 
 class PortfolioRules():
@@ -478,38 +479,60 @@ class Portfolio(AbstractTableModel):
     
     
     
-    class PortfolioColumnChart:
+class PortfolioColumnChart:
+
+    '''
     
-        '''
+        code to handle portfolio column chart
+    
+    
+        row1: <strike>, <month-contract_type-
         
-            code to handle portfolio column chart
+    '''
+    def __init__(self, port):
+        self.port = port
         
+    
+    def get_JSON(self):  
         
-            row1: <strike>, <month-contract_type-
-            
-        '''
-        def __init__(self, port):
-            self.port = port
-            
         
-        def get_JSON(self):  
-            
-            
-            p_items = self.port['port_items'].items()
-            
-            # row values domain
-            # find out the strikes of all contracts purchased, for futures, use the average cost 
-            x_range  = set(
-                        map(lambda x:x.get_strike(), filter(lambda x: x.get_right() in 'OPT', p_items)) +   
-                        map(lambda x:x.get_port_field(PortfolioItem.AVERAGE_COST), filter(lambda x: x.get_right() in 'FUT', p_items))
-                       )
-        
-            # column values domain (month,symbol,contract_type)
-            y_range = set(map(lambda x:'%s-%s-%s' % (x.get_expiry(),  x.get_symbol_id(), x.get_instrument_type() ), p_items))
-            
-            x_range = sorted(list(x_range))
-            y_range = sorted(list(y_range))                    
-            
+        p_items = self.port['port_items'].items()
+        
+        # row values domain
+        # find out the strikes of all contracts purchased, for futures, use the average cost 
+        x_range  = set(
+                    map(lambda x:x.get_strike(), filter(lambda x: x.get_right() in 'OPT', p_items)) +   
+                    map(lambda x:x.get_port_field(PortfolioItem.AVERAGE_COST), filter(lambda x: x.get_right() in 'FUT', p_items))
+                   )
+    
+        # column values domain (month,symbol,contract_type)
+        y_range = set(map(lambda x:'%s-%s-%s' % (x.get_expiry(),  x.get_symbol_id(), x.get_instrument_type() ), p_items))
+        
+        # sort the list then create a map that stores kv pairs of value:index_pos
+        x_range = sorted(list(x_range))
+        x_map = {}
+        for i in range(len(x_range)):
+            x_map[x_range[i]] = i
+        
 
-            
+        y_range = sorted(list(y_range))
+        y_map = {}
+        for i in range(len(y_range)):
+            y_map[y_range[i]] = i  
+        
+        
+        def set_ij(p_item):
+            i = x_map[p_item.get_strike()]
+            j = y_map['%s-%s-%s' % (p_item.get_expiry(),  p_item.get_symbol_id(), p_item.get_instrument_type())]
+            v = p_item.get_quantity()
+            return (i,j,v)
+        
+        ijv_dist = map(set_ij, p_items)
+        xy_arr = np.array((len(x_range), len(y_range)))
+        
+        def update_ijv(ijv):
+            xy_arr[ijv[0], ijv[1]] = ijv[2]
+            return 1
+        
+        map(update_ijv, ijv_dist)
         

src/rethink/portfolio_monitor.py

@@ -186,7 +186,8 @@ class PortfolioMonitor(AbstractGatewayListener, AbstractPortfolioTableModelListe
             port_item.update_position(position, average_cost, extra_info)
             port_item.calculate_pl(contract_key)
             
-            # if the function call is triggered by accountUpdates from TWS
+            # if the function call is triggered by event accountUpdates from TWS
+            # compute the overall portfolio greeks and p/l
             # (that is extra_info is not null)
             if extra_info:
                 logging.info('PortfolioMonitor:process_position Recal overall port figures...')

src/rethink/temp_pm.py

@@ -1,386 +0,0 @@
-# -*- coding: utf-8 -*-
-import sys, traceback
-import logging
-import json
-import time, datetime
-import copy
-from optparse import OptionParser
-from time import sleep
-from misc2.observer import Subscriber, Publisher
-from misc2.helpers import ContractHelper
-from finopt.instrument import Symbol, Option
-from rethink.option_chain import OptionsChain
-from rethink.tick_datastore import TickDataStore
-from rethink.portfolio_item import PortfolioItem, PortfolioRules, Portfolio
-from comms.ibc.tws_client_lib import TWS_client_manager, AbstractGatewayListener
-
-
-
-class PortfolioMonitor(AbstractGatewayListener):
-
-
-   
-
-    def __init__(self, kwargs):
-        self.kwargs = copy.copy(kwargs)
-        self.twsc = TWS_client_manager(kwargs)
-        AbstractGatewayListener.__init__(self, kwargs['name'])
-    
-        self.tds = TickDataStore(kwargs['name'])
-        self.tds.register_listener(self)
-        self.twsc.add_listener_topics(self, kwargs['topics'])
-        
-        '''
-            portfolios: {<account>: <portfolio>}
-        '''
-        self.portfolios = {}
-        
-        
-    
-    def start_engine(self):
-        self.twsc.start_manager()
-        self.twsc.reqPositions()
-        self.starting_engine = True
-        try:
-            logging.info('PortfolioMonitor:main_loop ***** accepting console input...')
-            menu = {}
-            menu['1']="Request position" 
-            menu['2']="Portfolio dump dtj"
-            menu['3']="TDS dump"
-            menu['4']="Request account updates"
-            menu['5']="Table chart JSON"
-            menu['9']="Exit"
-            while True: 
-                choices=menu.keys()
-                choices.sort()
-                for entry in choices: 
-                    print entry, menu[entry]            
-
-                selection = raw_input("Enter command:")
-                if selection =='1':
-                    self.twsc.reqPositions()
-                elif selection == '2': 
-                    for acct in self.portfolios.keys():
-                        #print self.dump_portfolio(acct)
-                        print self.portfolios[acct]['g_table']
-                elif selection == '3': 
-                    print self.tds.dump()
-                elif selection == '4': 
-                    for acct in self.portfolios.keys():
-                        self.twsc.reqAccountUpdates(True, acct)
-                elif selection == '5':
-                    for acct in self.portfolios.keys():
-                        print self.g_datatable_json(acct)
-                elif selection == '9': 
-                    self.twsc.gw_message_handler.set_stop()
-                    break
-                else: 
-                    pass                
-                
-                sleep(0.15)
-            
-        except (KeyboardInterrupt, SystemExit):
-            logging.error('PortfolioMonitor: caught user interrupt. Shutting down...')
-            self.twsc.gw_message_handler.set_stop() 
-            logging.info('PortfolioMonitor: Service shut down complete...')               
-    
-        
-                
-    def get_portfolio(self, account):
-        try:
-            return self.portfolios[account]
-        except KeyError:
-            self.portfolios[account] = Portfolio(account)
-        return self.portfolios[account]
-    
-    def deduce_option_underlying(self, option):
-        '''
-            given an Option object, return the underlying Symbol object
-        '''
-        try:
-            symbol_id = option.get_contract().m_symbol
-            underlying_sectype = PortfolioRules.rule_map['symbol'][symbol_id]
-            exchange = option.get_contract().m_exchange
-            currency = option.get_contract().m_currency
-            expiry = option.get_contract().m_expiry if PortfolioRules.rule_map['expiry'][symbol_id] ==  'same_month' else ''
-            contractTuple = (symbol_id, underlying_sectype, exchange, currency, expiry, 0, '')
-            logging.info('PortfolioMonitor:deduce_option_underlying. Deduced underlying==> %s' %
-                          str(contractTuple))
-            return Symbol(ContractHelper.makeContract(contractTuple))
-        except KeyError:
-            logging.error('PortfolioMonitor:deduce_option_underlying. Unable to deduce the underlying for the given option %s' %
-                          ContractHelper.printContract(option.get_contract))
-            return None
-        
-        
-    def get_portfolio_option_chain(self, account, underlying):
-        
-        
-        def create_oc_id(account, underlying_id, month):
-            return '%s-%s-%s' % (account, underlying_id, month)
-        
-        underlying_id = underlying.get_contract().m_symbol
-        month = underlying.get_contract().m_expiry
-        oc_id = create_oc_id(account, underlying_id, month)
-        oc = self.portfolios[account].is_oc_in_portfolio(oc_id)
-        if oc == None:
-            oc = OptionsChain(oc_id)
-            oc.register_listener(self)
-            oc.set_option_structure(underlying.get_contract(),
-                                    PortfolioRules.rule_map['option_structure'][underlying_id]['spd_size'],
-                                    PortfolioRules.rule_map['option_structure'][underlying_id]['multiplier'],
-                                    PortfolioRules.rule_map['option_structure'][underlying_id]['rate'],
-                                    PortfolioRules.rule_map['option_structure'][underlying_id]['div'],
-                                    month,
-                                    PortfolioRules.rule_map['option_structure'][underlying_id]['trade_vol'])
-            
-            self.portfolios[account].set_option_chain(oc_id, oc) 
-            
-            
-        return oc
-    
-
-    
-    def process_position(self, account, contract_key, position, average_cost, extra_info=None):
-        
-        # obtain a reference to the portfolio, if not exist create a new one 
-        port = self.get_portfolio(account)
-        port_item =  port.is_contract_in_portfolio(contract_key)
-        if port_item:
-            # update the values and recalculate p/l
-            port_item.update_position(position, average_cost, extra_info)
-            port_item.calculate_pl(contract_key)
-            
-            port.fire_table_rows_updated(port.ckey_to_row(contract_key))
-        # new position 
-        else:
-            port_item = PortfolioItem(account, contract_key, position, average_cost)
-            #port['port_items'][contract_key] = port_item
-            port.set_portfolio_port_item(contract_key, port_item)
-            instrument = port_item.get_instrument()
-            self.tds.add_symbol(instrument)
-            self.twsc.reqMktData(instrument.get_contract(), True)
-            # option position
-            if port_item.get_instrument_type() == 'OPT':
-                '''
-                    deduce option's underlying
-                    resolve associated option chain by month, underlying
-                    
-                '''
-                underlying = self.deduce_option_underlying(instrument)
-                if underlying:
-                    oc = self.get_portfolio_option_chain(account, underlying)
-                    instrument.set_extra_attributes(OptionsChain.CHAIN_IDENTIFIER, oc.get_name())
-                    oc.add_option(instrument)
-                else:
-                    logging.error('PortfolioMonitor:process_position. **** Error in adding the new position %s' % contract_key)
-            # non options. stocks, futures that is...    
-            else:
-                logging.info('PortfolioMonitor:process_position. Adding a new non-option position into the portfolio [%s]' % port_item.dump())
-                #port['port_items'][contract_key] = port_item
-                #port.set_portfolio_port_item(contract_key, port_item)
-                
-            port.fire_table_row_inserted(port.ckey_to_row(contract_key))
-            #self.dump_portfolio(account)    
-            port.dump_portfolio()
-            
-            
-            
-            
-            
-    
-    #         EVENT_OPTION_UPDATED = 'oc_option_updated'
-    #         EVENT_UNDERLYING_ADDED = 'oc_underlying_added
-    def oc_option_updated(self, event, update_mode, name, instrument):        
-        logging.info('oc_option_updated. %s %s' % (event, vars()))
-        self.tds.add_symbol(instrument)
-        self.twsc.reqMktData(instrument.get_contract(), True)
-        
-    
-    def oc_underlying_added(self, event, update_mode, name, instrument):
-        
-        logging.info('oc_underlying_added. %s %s' % (event, vars()))
-        self.tds.add_symbol(instrument)
-        self.twsc.reqMktData(instrument.get_contract(), True)
-
-    
-    def tds_event_symbol_added(self, event, update_mode, name, instrument):
-        pass
-        #logging.info('tds_event_new_symbol_added. %s' % ContractHelper.object2kvstring(symbol.get_contract()))
-        
-    
-    def tds_event_tick_updated(self, event, contract_key, field, price, syms):
-        
-        for s in syms:
-            
-            if OptionsChain.CHAIN_IDENTIFIER in s.get_extra_attributes():
-                results = {}
-                chain_id = s.get_extra_attributes()[OptionsChain.CHAIN_IDENTIFIER]
-                #logging.info('PortfolioMonitor:tds_event_tick_updated chain_id %s' % chain_id)
-                
-                for acct in self.portfolios:
-                    
-                    #if chain_id  in self.portfolios[acct]['opt_chains'].keys():
-                    if chain_id in self.portfolios[acct].get_option_chains():
-                        #logging.info('PortfolioMonitor:tds_event_tick_updated --> portfolio opt_chains: [  %s  ] ' % 
-                        #             str(self.portfolios[acct]['opt_chains'].keys()))
-                        if 'FUT' in contract_key or 'STK' in contract_key:
-                            #results = self.portfolios[acct]['opt_chains'][chain_id].cal_greeks_in_chain(self.kwargs['evaluation_date'])
-                            results = self.portfolios[acct].get_option_chain(chain_id).cal_greeks_in_chain(self.kwargs['evaluation_date'])
-                        else:
-                            #results[ContractHelper.makeRedisKeyEx(s.get_contract())] =  self.portfolios[acct]['opt_chains'][chain_id].cal_option_greeks(s, self.kwargs['evaluation_date'])
-                            results[ContractHelper.makeRedisKeyEx(s.get_contract())] =  self.portfolios[acct].get_option_chain(chain_id).cal_option_greeks(s, self.kwargs['evaluation_date'])
-                    #logging.info('PortfolioMonitor:tds_event_tick_updated. compute greek results %s' % results)
-                        
-                        #underlying_px = self.portfolios[acct]['opt_chains'][chain_id].get_underlying().get_tick_value(4)
-                        
-                    def update_portfolio_fields(key_greeks):
-                        
-                        self.tds.set_symbol_analytics(key_greeks[0], Option.IMPL_VOL, key_greeks[1][Option.IMPL_VOL])
-                        self.tds.set_symbol_analytics(key_greeks[0], Option.DELTA, key_greeks[1][Option.DELTA])
-                        self.tds.set_symbol_analytics(key_greeks[0], Option.GAMMA, key_greeks[1][Option.GAMMA])
-                        self.tds.set_symbol_analytics(key_greeks[0], Option.THETA, key_greeks[1][Option.THETA])
-                        self.tds.set_symbol_analytics(key_greeks[0], Option.VEGA, key_greeks[1][Option.VEGA])
-                        
-                        #if contract_key in self.portfolios[acct]['port_items']:
-                        if self.portfolios[acct].is_contract_in_portfolio(contract_key):
-                            #self.portfolios[acct]['port_items'][contract_key].calculate_pl(key_greeks[0]) #, underlying_px)
-                            self.portfolios[acct].calculate_item_pl(contract_key)
-                        
-                            
-                            self.portfolios[acct].fire_table_rows_updated(self.portfolios[acct].ckey_to_row(contract_key))
-                            
-                    if results:
-                        #logging.info('PortfolioMonitor:tds_event_tick_updated ....before map')
-                        map(update_portfolio_fields, list(results.iteritems()))
-                        #logging.info('PortfolioMonitor:tds_event_tick_updated ....after map')
-                           
-                               
-                    
-            else:
-                logging.info('PortfolioMonitor:tds_event_tick_updated ignoring uninterested ticks %s' % contract_key)
-                continue
-             
-        
-
-
-    def tds_event_symbol_deleted(self, event, update_mode, name, instrument):
-        pass
-
-
-    def tickPrice(self, event, contract_key, field, price, canAutoExecute):
-        self.tds.set_symbol_tick_price(contract_key, field, price, canAutoExecute)
-
-
-    def tickSize(self, event, contract_key, field, size):
-        #self.tds.set_symbol_tick_size(contract_key, field, size)
-        #logging.info('MessageListener:%s. %s: %d %8.2f' % (event, contract_key, field, size))
-        pass
- 
-    def position(self, event, account, contract_key, position, average_cost, end_batch):
-        if not end_batch:
-            #logging.info('PortfolioMonitor:position. received position message contract=%s' % contract_key)
-            self.process_position(account, contract_key, position, average_cost)
-   
-        else:
-            # to be run once during start up
-            # subscribe to automatic account updates
-#             if self.starting_engine:
-#                 for acct in self.portfolios.keys():
-#                     self.portfolios[acct].g_datatable_json()
-#                     logging.info('PortfolioMonitor:position. generate gtable for ac: [%s]' % acct)
-#                     self.twsc.reqAccountUpdates(True, acct)
-#                     logging.info('PortfolioMonitor:position. subscribing to auto updates for ac: [%s]' % acct)
-#             self.starting_engine = False
-            pass
-                    
-    '''
-        the 4 account functions below are invoked by AbstractListener.update_portfolio_account.
-        the original message from TWS is first wrapped into update_portfolio_account event in 
-        class TWS_event_handler and then expanded by AbstractListener.update_portfolio_account
-        (check tws_event_hander)
-    '''
-
-                
-    def updateAccountValue(self, event, key, value, currency, account):  # key, value, currency, accountName):
-        self.raw_dump(event, vars())
- 
-    def updatePortfolio(self, event, contract_key, position, market_price, market_value, average_cost, unrealized_PNL, realized_PNL, account):
-        self.raw_dump(event, vars())
-        self.process_position(account, contract_key, position, average_cost, 
-                              {'market_price':market_price, 'market_value':market_value, 'unrealized_PNL': unrealized_PNL, 'realized_PNL': realized_PNL})
-        
-            
-    def updateAccountTime(self, event, timestamp):
-        self.raw_dump(event, vars())
-        
-    def accountDownloadEnd(self, event, account):  # accountName):
-        self.raw_dump(event, vars())
-
- 
-    def error(self, event, message_value):
-        logging.info('PortfolioMonitor:%s. val->[%s]' % (event, message_value))         
-        
-    def raw_dump(self, event, items):
-        del(items['self'])
-        logging.info('%s [[ %s ]]' % (event, items))      
-        
-        
-if __name__ == '__main__':
-    
-
-    
-    kwargs = {
-      'name': 'portfolio_monitor',
-      'bootstrap_host': 'localhost',
-      'bootstrap_port': 9092,
-      'redis_host': 'localhost',
-      'redis_port': 6379,
-      'redis_db': 0,
-      'tws_host': 'localhost',
-      'tws_api_port': 8496,
-      'tws_app_id': 38868,
-      'group_id': 'PM',
-      'session_timeout_ms': 10000,
-      'clear_offsets':  False,
-      'logconfig': {'level': logging.INFO, 'filemode': 'w', 'filename': '/tmp/pm.log'},
-      'topics': ['position', 'positionEnd', 'tickPrice', 'update_portfolio_account'],
-      'seek_to_end': ['*'],
-      'interested_position_types': {'symbol': ['HSI', 'MHI'], 'instrument_type': ['OPT', 'FUT']}
-
-      
-      }
-
-    usage = "usage: %prog [options]"
-    parser = OptionParser(usage=usage)
-    parser.add_option("-c", "--clear_offsets", action="store_true", dest="clear_offsets",
-                      help="delete all redis offsets used by this program")
-    parser.add_option("-g", "--group_id",
-                      action="store", dest="group_id", 
-                      help="assign group_id to this running instance")
-    parser.add_option("-e", "--evaluation_date",
-                     action="store", dest="evaluation_date", 
-                     help="specify evaluation date for option calculations")   
-    
-    (options, args) = parser.parse_args()
-    if options.evaluation_date == None:
-        options.evaluation_date = time.strftime('%Y%m%d') 
-    
-    for option, value in options.__dict__.iteritems():
-        if value <> None:
-            kwargs[option] = value
-    
-    
-            
-  
-      
-    logconfig = kwargs['logconfig']
-    logconfig['format'] = '%(asctime)s %(levelname)-8s %(message)s'    
-    logging.basicConfig(**logconfig)        
-    
-    
-    server = PortfolioMonitor(kwargs)
-    server.start_engine()
-    
-          
-