{ "cells": [ { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "import akshare as ak\n", "import pandas as pd\n", "import numpy as np\n", "import os\n", "import time" ] }, { "cell_type": "code", "execution_count": 20, "metadata": {}, "outputs": [], "source": [ "# option_df = ak.option_finance_board(symbol=\"中证1000股指期权\", end_month=\"2503\")\n", "# option_df" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "# option_cffex_df = ak.option_cffex_zz1000_spot_sina(symbol='ag2504')\n", "option_commodity_contract_table_sina_df = ak.option_commodity_contract_table_sina(symbol=\"白银期权\", contract=\"ag2504\")\n", "option_commodity_contract_table_sina_df" ] }, { "cell_type": "code", "execution_count": 27, "metadata": {}, "outputs": [], "source": [ "#根据中证l000指数获取点位\n", "\n", "def get_format_option_gap(value:float, deviation:int=0):\n", " \"\"\"\n", " 根据标准的行权价，生成不同档位的期权列表，适合中金所\n", " :param value:当前行权价\n", " :param deviation:相较于行权价向哪个方向偏移，>0表示较行权价向上调整，<-表示较行权价向下调整\n", " return:\n", " \"\"\"\n", " def _gap_value(_mark_value):\n", " if _mark_value < 500:\n", " return 25\n", " elif _mark_value < 5000:\n", " return 50\n", " elif _mark_value < 10000:\n", " return 100\n", " elif _mark_value >10000:\n", " return 200\n", " \n", " for i in range(abs(deviation)):\n", " _gap =_gap_value(value)\n", " #option a ex price=int(value/gap)*gap#买入看跌期权\n", " if deviation >=0:\n", " value +=_gap\n", " elif deviation<0:\n", " value -=_gap\n", " return value\n", " " ] }, { "cell_type": "code", "execution_count": 28, "metadata": {}, "outputs": [], "source": [ "def future_to_option_code(symbol):\n", " \"\"\"\n", " 转换期权代码格式\n", " \n", " Args:\n", " symbol (str): 原始期权代码\n", " \n", " Returns:\n", " str: 转换后的期权代码\n", " \"\"\"\n", " symbol_upper = symbol.upper()\n", " \n", " if 'IM' in symbol_upper:\n", " # 将IM替换为MO\n", " return symbol_upper.replace('IM', 'mo')\n", " elif 'IF' in symbol_upper:\n", " # 将IF替换为IO\n", " return symbol_upper.replace('IF', 'io')\n", " elif 'IH' in symbol_upper:\n", " # 将IH替换为HO\n", " return symbol_upper.replace('IH', 'ho')\n", " else:\n", " raise ValueError(f\"不支持的期权代码格式: {symbol}\")" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "future_to_option_code('im2503')" ] }, { "cell_type": "code", "execution_count": 30, "metadata": {}, "outputs": [], "source": [ "\n", "def get_atm_option_code(symbol:str, current_price:float, call_level:int, put_level:int):\n", " symbol_upper = symbol.upper()\n", "\n", " # if 'IM' in symbol_upper:\n", " # # 将IM替换为MO\n", " # return symbol_upper.replace('IM', 'mo')\n", " # # print(symbol_upper)\n", " # elif 'IF' in symbol_upper:\n", " # # 将IF替换为IO\n", " # return symbol_upper.replace('IF', 'io')\n", " # elif 'IH' in symbol_upper:\n", " # # 将IH替换为HO\n", " # return symbol_upper.replace('IH', 'ho')\n", " # else:\n", " # raise ValueError(f\"不支持的期权代码格式: {symbol}\")\n", "\n", " # # symbol_upper = symbol_upper.lower()\n", " # print(symbol_upper)\n", " if 'MO' in symbol_upper:\n", " option_cffex_df = ak.option_cffex_zz1000_spot_sina(symbol=symbol)\n", " elif 'IO' in symbol_upper:\n", " option_cffex_df = ak.option_cffex_hs300_spot_sina(symbol=symbol)\n", " elif 'HO' in symbol_upper:\n", " option_cffex_df = ak.option_cffex_sz50_spot_sina(symbol=symbol)\n", " else:\n", " raise ValueError(f\"不支持的期权代码格式: {symbol_upper}\")\n", " # 提取所有行权价并转换为数值\n", " strike_prices = option_cffex_df['行权价'].astype(float).unique()\n", " find_call_prices = get_format_option_gap(current_price,call_level)\n", " find_put_prices = get_format_option_gap(current_price,-put_level)\n", " closest_call_strike = min(strike_prices, key=lambda x: abs(x - find_call_prices))\n", " closest_put_strike = min(strike_prices, key=lambda x: abs(x - find_put_prices))\n", " # 生成平值期权代码（如MO2503-C-6250）\n", " call_atm_option_code = f\"{symbol_upper}-C-{int(closest_call_strike)}\"\n", " put_atm_option_code = f\"{symbol_upper}-P-{int(closest_put_strike)}\"\n", " # print(f\"平值看涨期权：{call_atm_option_code}\")\n", " # print(f\"平值看跌期权：{put_atm_option_code}\")\n", " return call_atm_option_code, put_atm_option_code\n" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "get_atm_option_code(future_to_option_code('im2503'),6273,0,0)" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "get_atm_option_code(future_to_option_code('ih2503'),2628,0,0)" ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], "source": [ "get_atm_option_code(future_to_option_code('if2503'),3386,0,0)" ] }, { "cell_type": "code", "execution_count": 18, "metadata": {}, "outputs": [], "source": [ "option_cffex_df = ak.option_cffex_zz1000_spot_sina(symbol='mo2503')" ] }, { "cell_type": "code", "execution_count": 16, "metadata": {}, "outputs": [], "source": [ "# stock_individual_spot_xq_df = ak.stock_individual_spot_xq(symbol='000852')\n", "# print(stock_individual_spot_xq_df.dtypes)" ] } ], "metadata": { "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.10.9" } }, "nbformat": 4, "nbformat_minor": 2 }