wassname/options_backtester
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fixed

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wassname
2022-07-08 22:43:37 +08:00
parent 6764b03b04
commit 16394d5c3e
1 changed files with 31 additions and 29 deletions
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backtester/datahandler/option_metrics_data.py
+31 -29
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@@ -11,7 +11,18 @@ class OptionMetricsData:
if schema is None: if schema is None:
self.schema = OptionMetricsData.default_schema() self.schema = OptionMetricsData.default_schema()
self._data = load_for_tickers(tickers).reset_index() self._data = load_for_tickers(tickers).reset_index().rename(columns={'secid': 'underlying',
'forward_price': 'underlying_last',
'optionid': 'contract',
'cp_flag': 'type',
'exdate': 'expiration',
'strike_price': 'strike',
'best_bid': 'bid',
'best_offer': 'ask',
'open_interest': 'open_interest',
'impl_volatility': 'impliedvol'})
self._data['type'] = self._data['type'].replace('C', 'call').replace('P', 'put')
self._data['contract'] = self._data['contract'].astype(str)
# self._data['date']=self._data.date.dt.tz_localize('utc') # self._data['date']=self._data.date.dt.tz_localize('utc')
# self._data['exdate']=self._data['exdate'].dt.tz_localize('utc') # self._data['exdate']=self._data['exdate'].dt.tz_localize('utc')
# print(self._data.head(5)) # print(self._data.head(5))
@@ -80,32 +91,23 @@ class OptionMetricsData:
def default_schema(): def default_schema():
"""Returns default schema for Historical Options Data""" """Returns default schema for Historical Options Data"""
schema = Schema.options() schema = Schema.options()
schema.update({ # schema.update({
'underlying': 'secid', # 'underlying': 'secid',
'underlying_last': 'forward_price', #last price of underlying # 'underlying_last': 'forward_price', #last price of underlying
'date': 'date', # 'date': 'date',
'contract': 'optionid', # 'contract': 'optionid',
'type': 'cp_flag', # 'type': 'cp_flag',
'expiration': 'exdate', # 'expiration': 'exdate',
'strike': 'strike_price', # 'strike': 'strike_price',
'bid': 'best_bid', # 'bid': 'best_bid',
'ask': 'best_offer', # 'ask': 'best_offer',
'volume': 'volume', # 'volume': 'volume',
'open_interest': 'open_interest', # 'open_interest': 'open_interest',
'last': 'forward_price', # 'last': 'forward_price',
'impliedvol': 'impl_volatility', # 'impliedvol': 'impl_volatility',
'vega': 'vega', # 'vega': 'vega',
'delta': 'delta', # 'delta': 'delta',
'gamma': 'gamma', # 'gamma': 'gamma',
'theta': 'theta', # 'theta': 'theta',
}) # })
return schema return schema
# Index(['symbol', 'symbol_flag', 'exdate', 'last_date', 'cp_flag',
# 'strike_price', 'best_bid', 'best_offer', 'volume', 'open_interest',
# 'impl_volatility', 'delta', 'gamma', 'vega', 'theta', 'optionid',
# 'cfadj', 'am_settlement', 'contract_size', 'ss_flag', 'forward_price',
# 'expiry_indicator', 'root', 'suffix', 'secid'],
# dtype='object')
# Schema([Field(name='underlying', mapping='underlying'), Field(name='underlying_last', mapping='underlying_last'), Field(name='date', mapping='quotedate'), Field(name='contract', mapping='optionroot'), Field(name='type', mapping='type'), Field(name='expiration', mapping='expiration'), Field(name='strike', mapping='strike'), Field(name='bid', mapping='bid'), Field(name='ask', mapping='ask'), Field(name='volume', mapping='volume'), Field(name='open_interest', mapping='openinterest'), Field(name='last', mapping='last'), Field(name='impliedvol', mapping='impliedvol'), Field(name='delta', mapping='delta'), Field(name='gamma', mapping='gamma'), Field(name='theta', mapping='theta'), Field(name='vega', mapping='vega')])