xing_test2.py

optionview_getATM.py

# -*- coding: utf-8 -*-
"""
Created on Thu Jan 22 09:01:06 2015

@author: assa
"""

import os
import sqlite3 as lite
import pandas as pd


def convert_strike(strike):
    if type(strike).__name__ == 'unicode':
        if strike[2] == '2' or strike[2] == '7':
            return '%s.5'%strike
        else:
            return strike
    pass

print os.path.dirname(os.path.realpath(__file__)) + '\\'

filedbname = 'TAQ_20150127.db'
conn = lite.connect(filedbname)


sql_text = """
SELECT Time, ShortCD, LastPrice
FROM FutOptTickData
WHERE TAQ = 'E'
and Time between '15:05:00.000' and '15:15:00.000'
and substr(ShortCD,4,2) = 'K2'
"""

df = pd.read_sql(sql_text,conn)
ShortCDSet = set(list(df['ShortCD']))

df_call = df[df['ShortCD'].str[:3] == '201']
df_put = df[df['ShortCD'].str[:3] == '301']

CallShortCDSet = set(df_call['ShortCD'])
PutShortCDSet = set(df_put['ShortCD'])


df['ShortCDStrike'] = df['ShortCD'].str[-3:]
StrikeLst = list(df.drop_duplicates(cols=['ShortCDStrike'])['ShortCDStrike'])
StrikeLst.sort()



df_call_last = pd.DataFrame()
df_put_last = pd.DataFrame()

for strike in StrikeLst:
    shortcd = '201K2%s'%strike
    df_tmp = df[df['ShortCD'] == shortcd][-1:]
    df_tmp['Strike'] = convert_strike(strike)
    if len(df_call_last) == 0: df_call_last = df_tmp
    else: df_call_last = df_call_last.append(df_tmp)
    print shortcd
    shortcd = '301K2%s'%strike
    df_tmp = df[df['ShortCD'] == shortcd][-1:]
    df_tmp['Strike'] = convert_strike(strike)
    if len(df_put_last) == 0: df_put_last = df_tmp
    else: df_put_last = df_put_last.append(df_tmp)
    print shortcd

df_syth = df_call_last.merge(df_put_last,left_on='Strike',right_on='Strike',how='outer')
df_syth['SythPrice'] = df_syth['LastPrice_x'].astype(float) - df_syth['LastPrice_y'].astype(float) + df_syth['Strike'].astype(float)

df_syth['Differ'] = abs(df_syth['LastPrice_x'].astype(float) - df_syth['LastPrice_y'].astype(float))
df_syth = df_syth.sort('Differ')


df_syth['Differ'] = abs(df_syth['LastPrice_x'].astype(float) - df_syth['LastPrice_y'].astype(float))
df_syth = df_syth.sort('Differ')

call_atm_price = df_syth.iloc[0]['LastPrice_x']
put_atm_price = df_syth.iloc[0]['LastPrice_y']


call_condition = (df_call_last['LastPrice'] <= call_atm_price) & (df_call_last['LastPrice'].astype(float) < 2.88)
put_condition = (df_put_last['LastPrice'] <= put_atm_price) & (df_put_last['LastPrice'].astype(float) < 2.88)


call_target_shortcd = df_call_last[call_condition].sort('LastPrice').iloc[-1]['ShortCD']
put_target_shortcd = df_put_last[put_condition].sort('LastPrice').iloc[-1]['ShortCD']

print call_target_shortcd, put_target_shortcd

xing_test2.py

# -*- coding: utf-8 -*-
"""
Created on Tue Jul 01 11:28:32 2014

@author: assa
"""

import pyxing as px
import pythoncom


class observer_cmd:
    def Update(self,subject):        
        for i in xrange(len(subject.data)):
            print subject.data[i]
        print "=================================="
        subject.flag = False
        pass
    
class observer_order:
    def Update(self,subject):
        for i in subject.data.keys():
            try:
                print i, subject.data[i]
            except:
                print i, 'error'
        print "=================================="
        subject.flag = False
        pass
        

XASession = px.XASession()
obs = observer_cmd()
obs_order = observer_order()

server = 'demo.etrade.co.kr'
port = 20001
servertype = 0      # demo server
showcerterror = 1

user = 'eddy7777'
password = 'c9792458'
certpw = ""


XASession.observer = obs
XASession.ConnectServer(server,port)
#print 'connect server'
ret = XASession.Login(user,password,certpw,servertype,showcerterror)
        
        

XASession.flag = True
while XASession.flag:
    pythoncom.PumpWaitingMessages()
    
accountlist = XASession.GetAccountList()
servername = XASession.GetServerName()
print servername, accountlist
    

NewQuery = px.XAQuery_t0441()
NewQuery.observer = obs
NewQuery.SetFieldData('t0441InBlock','accno',0,accountlist[0])
NewQuery.SetFieldData('t0441InBlock','passwd',0,'0000')
ret = NewQuery.Request(False)
print ret
NewQuery.flag = True

while NewQuery.flag:
    pythoncom.PumpWaitingMessages()


NewQuery1 = px.XAQuery_t0434()
NewQuery1.observer = obs
NewQuery1.SetFieldData('t0434InBlock','accno',0,accountlist[0])
NewQuery1.SetFieldData('t0434InBlock','passwd',0,'0000')
NewQuery1.SetFieldData('t0434InBlock','chegb',0,'0')
NewQuery1.SetFieldData('t0434InBlock','sortgb',0,'1')
NewQuery1.SetFieldData('t0434InBlock','cts_ordno',0,' ')
ret = NewQuery1.Request(False)
print ret

NewQuery1.flag = True

while NewQuery1.flag:
    pythoncom.PumpWaitingMessages()