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volatility_surface.py
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volatility_surface.py
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"""
Author: shifulin
Email: [email protected]
"""
# python3
from time import sleep
from threading import Thread, Lock
from requests import get, exceptions
from numpy import polyfit, polyval, meshgrid, array, nan
import matplotlib.pyplot as plt
import matplotlib.gridspec as gridspec
from mpl_toolkits.mplot3d import Axes3D
import sina_etf_option_api
http_header = {
'User-Agent': "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_15_7) AppleWebKit/537.36 (KHTML, like Gecko) "
"Chrome/97.0.4692.71 Safari/537.36",
'Referer': "https://stock.finance.sina.com.cn/",
}
COLORS = ['blue', 'yellow', 'lime', 'red', 'purple', 'slategray', 'tomato', 'orange', 'darkred', 'aqua']
global_ax_lines_call = [{'ax': None, 'lines': []} for _ in range(5)]
global_ax_lines_put = [{'ax': None, 'lines': []} for _ in range(5)]
update_picture_lock = Lock()
ELEV = 30
AZIM = 120
def requests_get(all_codes):
url = "http://hq.sinajs.cn/list={codes}".format(codes=all_codes)
while True:
try:
data = get(url, headers=http_header).content.decode('gbk').strip().split('\n')
break
except (exceptions.ConnectionError, exceptions.ConnectTimeout) as e:
print('连接出错，10秒后重试')
print(e)
sleep(10)
return [i.split(',') for i in data]
def get_codes(cate, exchange, underlying, dividend):
while True:
try:
dates = sorted(sina_etf_option_api.get_option_dates(cate=cate, exchange=exchange))
call, put = [], []
for date in dates:
call_codes, put_codes = sina_etf_option_api.get_option_codes(date, underlying=underlying)
call.append(['CON_SO_' + i for i in call_codes])
put.append(['CON_SO_' + i for i in put_codes])
all_codes = ','.join([','.join(i) for i in call] + [','.join(i) for i in put])
data = requests_get(all_codes)
if dividend:
codes_tmp = [i[0][11:26] for i in data] # 考虑分红
else:
codes_tmp = [i[0][11:26] for i in data if not i[0].endswith('A')] # 不考虑分红
for i in range(len(call)):
call[i] = [j for j in call[i] if j in codes_tmp]
put[i] = [j for j in put[i] if j in codes_tmp]
break
except (exceptions.ConnectionError, exceptions.ConnectTimeout) as e:
print('连接出错，10秒后重试')
print(e)
sleep(10)
return call, put, ','.join(codes_tmp), dates
def get_data(call, put, all_codes):
implied_volatility, strike_price, vega, theta, gamma, delta = [], [], [], [], [], []
for line in requests_get(all_codes):
implied_volatility.append(float(line[9]))
vega.append(float(line[8]))
strike_price.append(float(line[13]))
theta.append(float(line[7]))
gamma.append(float(line[6]))
delta.append(float(line[5]))
call_implied_volatility, call_strike_price, call_vega, call_theta, call_gamma, call_delta = [], [], [], [], [], []
put_implied_volatility, put_strike_price, put_vega, put_theta, put_gamma, put_delta = [], [], [], [], [], []
b = 0
for i in call:
len_i = len(i)
call_implied_volatility.append(implied_volatility[b:b + len_i])
call_strike_price.append(strike_price[b:b + len_i])
call_vega.append(vega[b:b + len_i])
call_theta.append(theta[b:b + len_i])
call_gamma.append(gamma[b:b + len_i])
call_delta.append(delta[b:b + len_i])
b += len_i
for i in put:
len_i = len(i)
put_implied_volatility.append(implied_volatility[b:b + len_i])
put_strike_price.append(strike_price[b:b + len_i])
put_vega.append(vega[b:b + len_i])
put_theta.append(theta[b:b + len_i])
put_gamma.append(gamma[b:b + len_i])
put_delta.append(delta[b:b + len_i])
b += len_i
return call_strike_price, [call_delta, call_gamma, call_theta, call_vega, call_implied_volatility], \
put_strike_price, [put_delta, put_gamma, put_theta, put_vega, put_implied_volatility]
def knockout_small_value(x, y):
length = len(x)
new_x = [x[i] for i in range(length) if y[i] > 0.01]
new_y = [i for i in y if i > 0.01]
return new_x, new_y
def fit(call_x, call_y, put_x, put_y):
xx = set()
for i in call_x:
xx |= set(i)
xx = sorted(xx)
call_y2, put_y2 = [], []
for i in range(len(call_x)):
if xx == call_x[i]:
call_y2.append(call_y[i])
else:
new_x, new_y = knockout_small_value(call_x[i], call_y[i])
tmp = polyval(polyfit(new_x, new_y, 2), xx)
tmp[tmp < 0.0] = 0.0
tmp_y, index_y = [], 0
for index, j in enumerate(xx):
if j in call_x[i]:
tmp_y.append(call_y[i][index_y])
index_y += 1
else:
tmp_y.append(tmp[index])
call_y2.append(tmp_y)
if xx == put_x[i]:
put_y2.append(put_y[i])
else:
new_x, new_y = knockout_small_value(put_x[i], put_y[i])
tmp = polyval(polyfit(new_x, new_y, 2), xx)
tmp[tmp < 0.0] = 0.0
tmp_y, index_y = [], 0
for index, j in enumerate(xx):
if j in put_x[i]:
tmp_y.append(put_y[i][index_y])
index_y += 1
else:
tmp_y.append(tmp[index])
put_y2.append(tmp_y)
return xx, call_y2, put_y2
def not_fit(call_x, call_y, put_x, put_y):
xx = set()
for i in call_x:
xx |= set(i)
xx = sorted(xx)
call_y2, put_y2 = [], []
for i in range(len(call_x)):
if xx == call_x[i]:
call_y2.append(call_y[i])
else:
tmp_y, index_y = [], 0
for index, j in enumerate(xx):
if j in call_x[i]:
tmp_y.append(call_y[i][index_y])
index_y += 1
else:
tmp_y.append(nan)
call_y2.append(tmp_y)
if xx == put_x[i]:
put_y2.append(put_y[i])
else:
tmp_y, index_y = [], 0
for index, j in enumerate(xx):
if j in put_x[i]:
tmp_y.append(put_y[i][index_y])
index_y += 1
else:
tmp_y.append(nan)
put_y2.append(tmp_y)
return xx, call_y2, put_y2
def update(call_codes, put_codes, all_codes, x, y, yy, surf_call, surf_put, ax_iv_sf_call, ax_iv_sf_put, is_fit):
azim = AZIM
while True:
# sleep(5) # 每隔5秒刷新一次
sleep(10)
with update_picture_lock:
call_x, call_ys, put_x, put_ys = get_data(call_codes, put_codes, all_codes)
if is_fit:
xx, call_y2, put_y2 = fit(call_x, call_ys[-1], put_x, put_ys[-1])
else:
xx, call_y2, put_y2 = not_fit(call_x, call_ys[-1], put_x, put_ys[-1])
surf_call.remove()
azim += 15
if azim > 360:
azim -= 360
ax_iv_sf_call.view_init(ELEV, azim)
# surf_call = ax_iv_sf_call.plot_surface(x, y, array(call_y2), rstride=1, cstride=1, cmap='rainbow')
surf_call = ax_iv_sf_call.plot_wireframe(x, y, array(call_y2), rstride=1, cstride=1)
surf_put.remove()
ax_iv_sf_put.view_init(ELEV, azim)
# surf_put = ax_iv_sf_put.plot_surface(x, y, array(put_y2), rstride=1, cstride=1, cmap='rainbow')
surf_put = ax_iv_sf_put.plot_wireframe(x, y, array(put_y2), rstride=1, cstride=1)
for index in range(5):
for i in yy:
global_ax_lines_call[index]['ax'].lines.remove(global_ax_lines_call[index]['lines'][i])
global_ax_lines_put[index]['ax'].lines.remove(global_ax_lines_put[index]['lines'][i])
global_ax_lines_call[index]['lines'] = []
global_ax_lines_put[index]['lines'] = []
for index in range(5):
for i in yy:
global_ax_lines_call[index]['lines'].append(global_ax_lines_call[index]['ax'].plot(call_x[i], array(call_ys[index][i]), COLORS[i])[0])
global_ax_lines_put[index]['lines'].append(global_ax_lines_put[index]['ax'].plot(put_x[i], array(put_ys[index][i]), COLORS[i])[0])
plt.draw()
def main(cate, exchange, underlying, dividend=True, is_fit=True):
call_codes, put_codes, all_codes, dates = get_codes(cate, exchange, underlying, dividend)
dates_label = ',,'.join(dates).split(',')
call_x, call_ys, put_x, put_ys = get_data(call_codes, put_codes, all_codes)
if is_fit:
xx, call_y2, put_y2 = fit(call_x, call_ys[-1], put_x, put_ys[-1])
else:
xx, call_y2, put_y2 = not_fit(call_x, call_ys[-1], put_x, put_ys[-1])
yy = list(range(len(call_y2)))
x, y = meshgrid(xx, yy)
fig = plt.figure(figsize=(12, 5.7))
fig.canvas.mpl_connect('button_press_event', lambda event: update_picture_lock.acquire())
fig.canvas.mpl_connect('button_release_event', lambda event: update_picture_lock.release())
gs = gridspec.GridSpec(3, 6, figure=fig)
ylabels = ['Delta', 'Gamma', 'Theta', 'Vega', 'Implied Volatility']
call_gs = [gs[2:3, :1], gs[2:3, 1:2], gs[2:3, 2:3], gs[1:2, 2:3], gs[:1, 2:3]]
put_gs = [gs[2:3, 3:4], gs[2:3, 4:5], gs[2:3, 5:6], gs[1:2, 5:6], gs[:1, 5:6]]
# ---------------------------------------------------------------------------------------------------
for index in range(5):
call_ax = fig.add_subplot(call_gs[index])
for i in yy:
line, = call_ax.plot(call_x[i], call_ys[index][i], COLORS[i])
global_ax_lines_call[index]['lines'].append(line)
call_ax.set_xlabel('Strike Price')
call_ax.set_ylabel(ylabels[index])
call_ax.legend(dates, fontsize='xx-small')
global_ax_lines_call[index]['ax'] = call_ax
put_ax = fig.add_subplot(put_gs[index])
for i in yy:
line, = put_ax.plot(put_x[i], put_ys[index][i], COLORS[i])
global_ax_lines_put[index]['lines'].append(line)
put_ax.set_xlabel('Strike Price')
put_ax.set_ylabel(ylabels[index])
put_ax.legend(dates, fontsize='xx-small')
global_ax_lines_put[index]['ax'] = put_ax
ax_iv_sf_call = fig.add_subplot(gs[:2, :2], projection='3d')
ax_iv_sf_call.view_init(ELEV, AZIM)
# surf_call = ax_iv_sf_call.plot_surface(x, y, array(call_y2), rstride=1, cstride=1, cmap='rainbow')
# print(x.shape, y.shape, array(call_y2).shape)
surf_call = ax_iv_sf_call.plot_wireframe(x, y, array(call_y2), rstride=1, cstride=1, cmap='rainbow')
ax_iv_sf_call.set_yticklabels(dates_label)
ax_iv_sf_call.set_xlabel('Strike Price')
ax_iv_sf_call.set_ylabel('Expiration Date')
ax_iv_sf_call.set_zlabel('Implied Volatility')
ax_iv_sf_call.set_title('Call Option')
ax_iv_sf_put = fig.add_subplot(gs[:2, 3:5], projection='3d')
ax_iv_sf_put.view_init(ELEV, AZIM)
# surf_put = ax_iv_sf_put.plot_surface(x, y, array(put_y2), rstride=1, cstride=1, cmap='rainbow')
surf_put = ax_iv_sf_put.plot_wireframe(x, y, array(put_y2), rstride=1, cstride=1, cmap='rainbow')
ax_iv_sf_put.set_yticklabels(dates_label)
ax_iv_sf_put.set_xlabel('Strike Price')
ax_iv_sf_put.set_ylabel('Expiration Date')
ax_iv_sf_put.set_zlabel('Implied Volatility')
ax_iv_sf_put.set_title('Put Option')
plt.tight_layout()
thread = Thread(target=update, args=(call_codes, put_codes, all_codes, x, y, yy, surf_call, surf_put, ax_iv_sf_call, ax_iv_sf_put, is_fit))
thread.setDaemon(True)
thread.start()
plt.show()
if __name__ == '__main__':
category = '50ETF'
underlying_security = '510050'
# category = '300ETF'
# underlying_security = '510300'
main(cate=category, exchange='null', underlying=underlying_security, dividend=False, is_fit=True)