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IVtws 台灣期貨交易所報價爬蟲即時波動率計算與視覺化

Requires

  • python 2.7 or 3.x
  • pandas >= 0.18
  • numpy
  • matplotlib
  • selenium and PhantomJS
  • requests
  • plotly >= 1.9 (optional)
  • ipywidgets (optional)
  • bqplot (optional)
  • colour (optional)

Quick start example

git clone https://github.com/Yvictor/IVtws.git
cd IVtws
jupyter Notebook

using jupyter notebook

from IVtws import IVstream
form IPython.display import display
import matplotlib.pyplot as plt

import plotly offline to build interactivate plot

#with plotly interactive plot
from plotly.tools import mpl_to_plotly
from plotly.offline import iplot,iplot_mpl,init_notebook_mode
init_notebook_mode()
%matplotlib inline

Initialize the IV table

IVtw = IVstream((8,45),(13,45))
IVtw.init_table(select_settled=0)#select_settled is the selectbox of option qoute's settlement date default is the first week option

update data and recalculate the Implied Volitity

IVtw.append_IV()
買進 賣出 成交 成交價 漲跌 內含價值 時間價值 隱含波動率 組合價 總量 時間 TCUL 履約價
15 270.000 272.000 272.000 272.0 -37.000 268.3 3.7 13.84 9168.3 300 2016-10-14 13:44:29 3.001722 8900
17 178.000 179.000 178.000 178.0 -34.000 167.5 10.5 13.51 9167.5 988 2016-10-14 13:44:36 3.001333 9000
18 134.000 136.000 135.000 135.0 -36.000 117.0 18.0 13.24 9167.0 1142 2016-10-14 13:44:51 3.000500 9050
19 95.000 96.000 96.000 96.0 -34.000 68.0 28.0 12.54 9168.0 8657 2016-10-14 13:44:52 3.000444 9100
20 62.000 63.000 63.000 63.0 -33.000 17.0 46.0 12.26 9167.0 16032 2016-10-14 13:44:53 3.000389 9150
21 39.000 39.500 39.000 39.0 -26.000 0.0 39.0 12.05 9169.0 49552 2016-10-14 13:44:52 3.000444 9200
22 20.500 21.000 20.500 20.5 -20.500 0.0 20.5 11.72 9167.5 47770 2016-10-14 13:44:53 3.000389 9250
23 10.000 10.500 10.000 10.0 -13.000 0.0 10.0 11.58 9168.0 43563 2016-10-14 13:44:53 3.000389 9300
24 4.100 4.200 4.100 4.1 -7.400 0.0 4.1 11.29 9169.1 21033 2016-10-14 13:44:52 3.000444 9350
25 1.600 1.700 1.700 1.7 -2.800 0.0 1.7 11.57 9165.7 21693 2016-10-14 13:44:53 3.000389 9400
履約價 買進 賣出 成交價 成交 內含價值 時間價值 隱含波動率 組合價 漲跌 總量 TCUL 時間
11 8500 0.500 0.600 0.6 0.600 0.0 0.6 29.08 9189.4 -0.300 1926 3.001111 2016-10-14 13:44:40
12 8600 0.800 0.900 0.8 0.800 0.0 0.8 26.08 9189.2 -0.400 2605 3.000778 2016-10-14 13:44:46
13 8700 1.300 1.400 1.4 1.400 0.0 1.4 23.51 9181.6 -0.800 5801 3.000944 2016-10-14 13:44:43
14 8800 2.100 2.200 2.1 2.100 0.0 2.1 19.87 9167.9 -0.900 6778 3.000389 2016-10-14 13:44:53
15 8900 3.700 3.800 3.7 3.700 0.0 3.7 17.00 9168.3 -1.400 19534 3.000389 2016-10-14 13:44:53
16 8950 6.000 6.100 6.0 6.000 0.0 6.0 16.88 9182.0 -2.400 9207 3.000722 2016-10-14 13:44:47
17 9000 10.000 10.500 10.5 10.500 0.0 10.5 15.57 9167.5 -3.000 21161 3.000389 2016-10-14 13:44:53
18 9050 17.500 18.000 18.0 18.000 0.0 18.0 15.05 9167.0 -2.000 18981 3.000444 2016-10-14 13:44:52
19 9100 27.500 28.000 28.0 28.000 0.0 28.0 14.17 9168.0 -1.000 40078 3.000444 2016-10-14 13:44:52
20 9150 45.500 46.000 46.0 46.000 0.0 46.0 13.81 9167.0 2.500 37940 3.000444 2016-10-14 13:44:52
21 9200 70.000 71.000 70.0 70.000 31.0 39.0 13.57 9169.0 7.000 36969 3.000389 2016-10-14 13:44:53
22 9250 103.000 104.000 103.0 103.000 82.5 20.5 13.28 9167.5 13.000 12599 3.000500 2016-10-14 13:44:51
23 9300 141.000 142.000 142.0 142.000 132.0 10.0 13.28 9168.0 21.000 7654 3.000611 2016-10-14 13:44:49
24 9350 181.000 188.000 185.0 185.000 180.9 4.1 13.33 9169.1 24.000 1206 3.000389 2016-10-14 13:44:53
25 9400 232.000 239.000 236.0 236.000 234.3 1.7 14.29 9165.7 36.000 668 3.001722 2016-10-14 13:44:29

quick plot with matplotlib inline

fig,ax = plt.subplots(1)
Call = IVtw.Call[IVtw.Call['內含價值']<450].set_index('履約價',drop=False)
Put = IVtw.Put[IVtw.Put['內含價值']<450].set_index('履約價',drop=False)
Call['隱含波動率'].plot(ax = ax,figsize=(13,6),c='r',label='CallIV',marker='o')
Put['隱含波動率'].plot(ax = ax,figsize=(13,6),c='g',label='PutIV',marker='o')

png

interactive visualization with plotly

fig,ax = plt.subplots(1)
Call = IVtw.Call[IVtw.Call['內含價值']<500].set_index('履約價',drop=False)
Put = IVtw.Put[IVtw.Put['內含價值']<500].set_index('履約價',drop=False)
Call['隱含波動率'].plot(ax = ax,figsize=(13,6),c='r',label='CallIV')#,marker='o')
Put['隱含波動率'].plot(ax = ax,figsize=(13,6),c='g',label='PutIV')#,marker='o')
Call.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Call['時間價值']*5,c=(0.7,0.3,0.3),edgecolor=(0.7,0.3,0.3))
Put.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Put['時間價值']*5,c=(0.3,0.7,0.3),edgecolor=(0.3,0.7,0.3))
Call.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Call['內含價值'],c=(0.7,0.7,0.9),edgecolor=(0.7,0.3,0.3))
Put.plot.scatter(ax = ax, x='履約價',y='隱含波動率',s = Put['內含價值'],c=(0.7,0.7,0.9),edgecolor=(0.3,0.7,0.3))
plotly_fig = mpl_to_plotly(fig)
plotly_fig['layout']['showlegend'] = True
iplot(plotly_fig)

gif

Plot IV as timeseries

from colour import Color
IVtw.CallIVtable.drop_duplicates().plot(figsize=(13,6),grid=True,
                                      color=[i.hex for i in list(Color(rgb=(0.45,0.55,0.75)).range_to(Color(rgb=(0.75,0,0)), len(IVtw.CallIVtable.columns.tolist())))])

png

IVtw.PutIVtable.drop_duplicates().plot(figsize=(13,6),grid=True,
                                      color=[i.hex for i in list(Color(rgb=(0.45,0.55,0.75)).range_to(Color(rgb=(0.75,0,0)), len(IVtw.PutIVtable.columns.tolist())))])

png

Plot Option curve with ipywidgets

from ipywidgets import interactive,IntSlider,FloatSlider,Dropdown,Button,fixed,HBox,VBox,Layout
widg = interactive(IVtw.creatSTwithPlot,futshare=IntSlider(min=-5,max=5,step=1),
            Cal1 = IVtw.Callless['履約價'].tolist(),c1share=IntSlider(min=-5,max=5,step=1),
            Cal2 = IVtw.Callless['履約價'].tolist(),c2share=IntSlider(min=-5,max=5,step=1),
            Put1 = IVtw.Putless['履約價'].tolist(),p1share=IntSlider(min=-5,max=5,step=1),
            Put2 = IVtw.Putless['履約價'].tolist(),p2share=IntSlider(min=-5,max=5,step=1),
            showrange = IntSlider(min = 200, max = 500,step = 50,value=320),
            up = IntSlider(min=100,max=500,step=50),
            down=IntSlider(min=100,max=500,step=50),
            customcur = FloatSlider(min=0.1,max=0.9,step=0.1,value=0.5),
           risk_free_rate=FloatSlider(min=0.010,max=0.050,step=0.005,value=0.0136))#,__manual=True)#0.0136
#.layout = Layout(display='display', justify_content= 'space-between',  align_items='center', width='100%')
HBox([VBox(widg.children[:5]),VBox(widg.children[5:10]),VBox(widg.children[10:])])
[['Call', 9400, 1.7, 9165.7000000000007, 1], ['Put', 9050, 18.0, 9167.0, -1]]

gif

IVtw.close_PhantomJS()