针对期权波动率交易类策略设计的应用模块,支持波动率曲面实时跟踪、期权组合持仓希腊值风控、Delta自动对冲算法、电子眼波动率执行算法、情景分析压力测试等功能。
安装环境推荐基于3.9.0版本以上的【VeighNa Studio】。
直接使用pip命令:
pip install vnpy_optionmaster
或者下载源代码后,解压后在cmd中运行:
pip install .
VeighNa框架的期权波动率交易模块
Home Page: https://www.vnpy.com
License: MIT License
针对期权波动率交易类策略设计的应用模块,支持波动率曲面实时跟踪、期权组合持仓希腊值风控、Delta自动对冲算法、电子眼波动率执行算法、情景分析压力测试等功能。
安装环境推荐基于3.9.0版本以上的【VeighNa Studio】。
直接使用pip命令:
pip install vnpy_optionmaster
或者下载源代码后,解压后在cmd中运行:
pip install .
利用Paper测试时,希腊值风险不显示任何持仓相关数据
未测试实盘
我是先装的python,再手动安装veighna。其他cta策略、回测、组合、数据加载等都没问题,可以使用。
vnpy_optionmaster版本:Metadata-Version: 2.1 Name: vnpy-optionmaster Version: 1.0.7
晚上交易时间,用simnow里的第一组ip连接。。哪个合约都报错。。好比cu2310和cu312我已经订阅成功,有日志输出,有跳动。。我再点击optionmaster图标,选择cu_o.shfe,点配置,选cu2310和cu2312,点确定就报错,t型报价,希腊值等都是灰色点不了。
但行情显示中全部出现cu2310和2312的所有call和put的价格跳动。
报错信息是:
Traceback (most recent call last):
File "C:\Users\54364\AppData\Local\Programs\Python\Python310\lib\site-packages\vnpy_optionmaster\ui\widget.py", line 309, in update_portfolio_setting
result: bool = self.option_engine.init_portfolio(self.portfolio_name)
File "C:\Users\54364\AppData\Local\Programs\Python\Python310\lib\site-packages\vnpy_optionmaster\engine.py", line 302, in init_portfolio
holding: PositionHolding = converter.get_position_holding(instrument.vt_symbol)
AttributeError: 'NoneType' object has no attribute 'get_position_holding'
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