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【API解析】| 期权数据获取

我是一个土豆发表于：7 月 4 日 14：54回复(1)

关于opt.XXXX表的提取方法,建议先看看query的教程
注意

  • 期权数据中只有50etf期权有分钟数据,tick数据,盘前静态文件,合约调整记录,排名统计,交收信息,商品期权没有这几项数据。
  • 期权数据中只有50etf期权可以使用get_price/get_bars,商品期权行情数据获取需要通过OPT_DAILY_PRICE表
  • 期权风险指标我们目前提供的数据和交易所一致,如果交易所未披露该项指标,则指标值为空。

以下提供几种常见的数据提取的方法的示例:

获取期权列表¶

可以通过get_all_securities获取,也可以通过OPT_CONTRACT_INFO表或OPT_DAILY_PREOPEN表获取

# 通过get_all_securities获,dataframe的过滤方法可以查看 https://www.joinquant.com/view/community/detail/3e93cf2c6bcc0787c2cdd736a0d4117f?type=1
df1 = get_all_securities('options',date=None)
df1.tail()
.dataframe tbody tr th:only-of-type { vertical-align: middle; } .dataframe tbody tr th { vertical-align: top; } .dataframe thead th { text-align: right; }
display_name name start_date end_date type
SR911P5500.XZCE SR911P5500.XZCE SR911P5500.XZCE 2019-01-22 2019-10-10 options
SR911P5600.XZCE SR911P5600.XZCE SR911P5600.XZCE 2019-02-12 2019-10-10 options
SR911P5700.XZCE SR911P5700.XZCE SR911P5700.XZCE 2019-02-26 2019-10-10 options
SR911P5800.XZCE SR911P5800.XZCE SR911P5800.XZCE 2019-04-12 2019-10-10 options
SR911P5900.XZCE SR911P5900.XZCE SR911P5900.XZCE 2019-04-16 2019-10-10 options 
# 通过OPT_CONTRACT_INFO 表获取50etf的所有合约  query的过滤方法  https://www.joinquant.com/view/community/detail/433d0e9ed9fed11fc9f7772eab8d9376?type=1
from jqdata import *
df2 = opt.run_query(query(opt.OPT_CONTRACT_INFO).filter(opt.OPT_CONTRACT_INFO.underlying_symbol=='510050.XSHG'))
df2.tail()
.dataframe tbody tr th:only-of-type { vertical-align: middle; } .dataframe tbody tr th { vertical-align: top; } .dataframe thead th { text-align: right; }
id code trading_code name contract_type exchange_code currency_id underlying_symbol underlying_name underlying_exchange underlying_type exercise_price contract_unit contract_status list_date list_reason list_price high_limit low_limit expire_date last_trade_date exercise_date delivery_date is_adjust delist_date delist_reason
1903 17860 10001904.XSHG 510050P1907M03400 50ETF沽7月3400 PO XSHG CNY 510050.XSHG 50ETF XSHG ETF 3.4 10000 LIST 2019-07-02 价格波动 0.3800 0.6820 0.0780 2019-07-24 2019-07-24 2019-07-24 2019-07-25 0 None None
1904 17861 10001905.XSHG 510050C1908M03400 50ETF购8月3400 CO XSHG CNY 510050.XSHG 50ETF XSHG ETF 3.4 10000 LIST 2019-07-02 价格波动 0.0245 0.2885 0.0001 2019-08-28 2019-08-28 2019-08-28 2019-08-29 0 None None
1905 17862 10001906.XSHG 510050P1908M03400 50ETF沽8月3400 PO XSHG CNY 510050.XSHG 50ETF XSHG ETF 3.4 10000 LIST 2019-07-02 价格波动 0.3872 0.6892 0.0852 2019-08-28 2019-08-28 2019-08-28 2019-08-29 0 None None
1906 17863 10001907.XSHG 510050C1912M03400 50ETF购12月3400 CO XSHG CNY 510050.XSHG 50ETF XSHG ETF 3.4 10000 LIST 2019-07-02 价格波动 0.0962 0.3602 0.0001 2019-12-25 2019-12-25 2019-12-25 2019-12-26 0 None None
1907 17864 10001908.XSHG 510050P1912M03400 50ETF沽12月3400 PO XSHG CNY 510050.XSHG 50ETF XSHG ETF 3.4 10000 LIST 2019-07-02 价格波动 0.4318 0.7338 0.1298 2019-12-25 2019-12-25 2019-12-25 2019-12-26 0 None None

50etf期权¶

50etf期权的行情数据目前提供有天,分钟,tick级别。
其中天数据可以通过get_price,get_bars函数获取,也可以通过opt.OPT_DAILY_PRICE表获得(OPT_DAILY_PRICE表是盘后更新,get_price等盘中实时更新,对50etf期权,建议直接使用get_price/get_bars获取数据);
分钟数据可以通过 get_price/get_bars获取;
tick数据通过get_ticks获取。

获取50etf期权天/分钟数据¶

以下仅做示例,关于get_price及get_bars的用法,可以直接查看API。

# 使用get_price 获取多个期权的日行情
get_price(["10001908.XSHG","10001907.XSHG"],end_date='2019-07-03',count=5)

<class 'pandas.core.panel.Panel'>
Dimensions: 6 (items) x 5 (major_axis) x 2 (minor_axis)
Items axis: open to money
Major_axis axis: 2019-06-27 00:00:00 to 2019-07-03 00:00:00
Minor_axis axis: 10001908.XSHG to 10001907.XSHG
# 使用get_bars获取多个期权的15m行情
get_bars(["10001908.XSHG","10001907.XSHG"],end_dt='2019-07-03',count=5,unit='15m')

{'10001908.XSHG': array([(0.4286, 0.4286, 0.4286, 0.4286), (0.4286, 0.4286, 0.4286, 0.4286),
        (0.4286, 0.4286, 0.4242, 0.4242), (0.4242, 0.4242, 0.4227, 0.4227),
        (0.4227, 0.4227, 0.4227, 0.4227)],
       dtype=(numpy.record, [('open', '<f8'), ('high', '<f8'), ('low', '<f8'), ('close', '<f8')])),
 '10001907.XSHG': array([(0.0899, 0.0899, 0.089, 0.089), (0.0891, 0.0902, 0.0891, 0.0902),
        (0.0902, 0.0915, 0.0898, 0.0915), (0.0915, 0.0934, 0.0915, 0.0931),
        (0.0931, 0.0931, 0.0914, 0.0918)],
       dtype=(numpy.record, [('open', '<f8'), ('high', '<f8'), ('low', '<f8'), ('close', '<f8')]))}

获取50etf期权tick数据¶

get_ticks的API : https://www.joinquant.com/help/api/help?name=api#get_ticks

# 获取 10001908 在 2019-07-02 的tick数据
get_ticks("10001908.XSHG", end_dt='2019-07-02 15:30:00', start_dt='2019-07-02 09:00:00')

array([(20190702092500.32, 0.4318, 0.4318, 0.4318, 0.0, 0.0),
       (20190702093000.56, 0.4318, 0.4318, 0.4318, 0.0, 0.0),
       (20190702093001.03, 0.4318, 0.4318, 0.4318, 0.0, 0.0), ...,
       (20190702145659.96, 0.4227, 0.4397, 0.4227, 0.0, 0.0),
       (20190702145701.46, 0.4227, 0.4397, 0.4227, 0.0, 0.0),
       (20190702150000.008, 0.4227, 0.4397, 0.4227, 0.0, 0.0)],
      dtype=[('time', '<f8'), ('current', '<f8'), ('high', '<f8'), ('low', '<f8'), ('volume', '<f8'), ('money', '<f8')])

商品期权¶

关于query的用法,请查看此篇教程: Query的简单教程

商品期权的行情目前只有天级别的,仅可以通过 opt.OPT_CONTRACT_INFO 表查询。
商品期货没有OPT_DAILY_PREOPEN表,OPT_TRADE_RANK_STK表以及分钟和tick行情数据

获取所有SR1911合约的合约资料¶

from jqdata import *
info_df = opt.run_query(query(opt.OPT_CONTRACT_INFO).filter(opt.OPT_CONTRACT_INFO.underlying_symbol=="SR1911.XZCE"))
info_df.tail()
.dataframe tbody tr th:only-of-type { vertical-align: middle; } .dataframe tbody tr th { vertical-align: top; } .dataframe thead th { text-align: right; }
id code trading_code name contract_type exchange_code currency_id underlying_symbol underlying_name underlying_exchange underlying_type exercise_price contract_unit contract_status list_date list_reason list_price high_limit low_limit expire_date last_trade_date exercise_date delivery_date is_adjust delist_date delist_reason
29 13388 SR911P5700.XZCE None 白糖沽11月5700 PO XZCE CNY SR1911.XZCE 郑白糖911合约 XZCE FUTURE 5700.0 10 LIST 2019-02-26 合约新挂 583.0 790.0 376.0 2019-10-10 2019-10-10 None None 0 None None
30 14784 SR911C5800.XZCE None 白糖购11月5800 CO XZCE CNY SR1911.XZCE 郑白糖911合约 XZCE FUTURE 5800.0 10 LIST 2019-04-12 合约新挂 38.0 248.5 0.5 2019-10-10 2019-10-10 None None 0 None None
31 14786 SR911P5800.XZCE None 白糖沽11月5800 PO XZCE CNY SR1911.XZCE 郑白糖911合约 XZCE FUTURE 5800.0 10 LIST 2019-04-12 合约新挂 560.5 771.0 350.0 2019-10-10 2019-10-10 None None 0 None None
32 14799 SR911C5900.XZCE None 白糖购11月5900 CO XZCE CNY SR1911.XZCE 郑白糖911合约 XZCE FUTURE 5900.0 10 LIST 2019-04-16 合约新挂 64.0 280.0 0.5 2019-10-10 2019-10-10 None None 0 None None
33 14803 SR911P5900.XZCE None 白糖沽11月5900 PO XZCE CNY SR1911.XZCE 郑白糖911合约 XZCE FUTURE 5900.0 10 LIST 2019-04-16 合约新挂 556.5 772.0 340.5 2019-10-10 2019-10-10 None None 0 None None

获取 SR911P5900.XZCE 在2019-07-02这天及之前10个交易日的行情数据¶

from jqdata import *
q = query(opt.OPT_DAILY_PRICE).filter(
    opt.OPT_DAILY_PRICE.code=='SR911P5900.XZCE',# 选择标的,多个合约用in_操作,详细查看query教程
    opt.OPT_DAILY_PRICE.date<='2019-07-02'      # 过滤掉date大于2019-07-02 的数据
    ).order_by(opt.OPT_DAILY_PRICE.date.desc()  # 根据日期排序
              ).limit(10)
opt.run_query(q)
.dataframe tbody tr th:only-of-type { vertical-align: middle; } .dataframe tbody tr th { vertical-align: top; } .dataframe thead th { text-align: right; }
id code exchange_code date pre_settle pre_close open high low close change_pct_close settle_price change_pct_settle volume money position
0 845809 SR911P5900.XZCE XZCE 2019-07-02 891.0 0.0 None None None 0.0 -100.0 824.5 -7.4635 0.0 0.0 24
1 844142 SR911P5900.XZCE XZCE 2019-07-01 898.0 0.0 None None None 0.0 -100.0 891.0 -0.7795 0.0 0.0 24
2 842484 SR911P5900.XZCE XZCE 2019-06-28 933.0 0.0 None None None 0.0 -100.0 898.0 -3.7513 0.0 0.0 24
3 840827 SR911P5900.XZCE XZCE 2019-06-27 909.0 0.0 None None None 0.0 -100.0 933.0 2.6403 0.0 0.0 24
4 839173 SR911P5900.XZCE XZCE 2019-06-26 898.5 0.0 None None None 0.0 -100.0 909.0 1.1686 0.0 0.0 24
5 837465 SR911P5900.XZCE XZCE 2019-06-25 879.0 0.0 None None None 0.0 -100.0 898.5 2.2184 0.0 0.0 24
6 835723 SR911P5900.XZCE XZCE 2019-06-24 858.5 0.0 None None None 0.0 -100.0 879.0 2.3879 0.0 0.0 24
7 833951 SR911P5900.XZCE XZCE 2019-06-21 826.0 0.0 None None None 0.0 -100.0 858.5 3.9346 0.0 0.0 24
8 832180 SR911P5900.XZCE XZCE 2019-06-20 818.5 0.0 None None None 0.0 -100.0 826.0 0.9163 0.0 0.0 24
9 830415 SR911P5900.XZCE XZCE 2019-06-19 830.5 0.0 None None None 0.0 -100.0 818.5 -1.4449 0.0 0.0 24

获取2019-07-02 这天所有SR合约的日行情数据¶

from jqdata import *
q = query(opt.OPT_DAILY_PRICE).filter(
    opt.OPT_DAILY_PRICE.code.like('SR%'),      # 选择code中以SR开头的标的,详细查看query教程
    opt.OPT_DAILY_PRICE.date=='2019-07-02'      # 指定date等于2019-07-02 
    ).order_by(opt.OPT_DAILY_PRICE.date.desc()  # 根据日期排序
              ).limit(10)
opt.run_query(q)
.dataframe tbody tr th:only-of-type { vertical-align: middle; } .dataframe tbody tr th { vertical-align: top; } .dataframe thead th { text-align: right; }
id code exchange_code date pre_settle pre_close open high low close change_pct_close settle_price change_pct_settle volume money position
0 845056 SR005P5500.XZCE XZCE 2019-07-02 671.0 0.0 NaN NaN NaN 0.0 -100.0000 637.0 -5.0671 0.0 0.0 20
1 845060 SR001C5600.XZCE XZCE 2019-07-02 69.5 67.5 69.5 78.5 67.5 69.5 0.0000 72.0 3.5971 664.0 480400.0 4766
2 845072 SR001P5700.XZCE XZCE 2019-07-02 717.5 0.0 NaN NaN NaN 0.0 -100.0000 670.5 -6.5505 0.0 0.0 482
3 845078 SR909C4800.XZCE XZCE 2019-07-02 252.0 257.5 256.5 326.5 256.5 283.5 12.5000 295.5 17.2619 430.0 1269700.0 754
4 845085 SR003P5400.XZCE XZCE 2019-07-02 496.5 0.0 NaN NaN NaN 0.0 -100.0000 453.0 -8.7613 0.0 0.0 10
5 845092 SR911P4800.XZCE XZCE 2019-07-02 85.0 0.0 63.5 63.5 63.5 63.5 -25.2941 61.0 -28.2353 60.0 37400.0 154
6 845094 SR005C5200.XZCE XZCE 2019-07-02 166.5 173.0 177.0 190.0 172.5 175.0 5.1051 179.0 7.5075 326.0 594100.0 360
7 845157 SR003C4400.XZCE XZCE 2019-07-02 676.5 0.0 NaN NaN NaN 0.0 -100.0000 721.5 6.6519 0.0 0.0 10
8 845158 SR909P4400.XZCE XZCE 2019-07-02 4.0 4.0 3.5 4.0 2.5 3.0 -25.0000 2.5 -37.5000 744.0 22300.0 9970
9 845160 SR003C4800.XZCE XZCE 2019-07-02 378.0 0.0 NaN NaN NaN 0.0 -100.0000 410.5 8.5979 0.0 0.0 0

其他涉及到query的数据获取和上述逻辑相同,按照表中对应的字段进行过滤,排序及限制,提取就可以了¶

       

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