GS.Trade: мая 2022

Sint, Bonds c Валютой

https://gist.github.com/AphelionVega/49aeed9fcef9951d9c50a0fa4e006c5a

-- Synthetic Bonds For QUIK
-- v1.0
-- (c) Aphelion, 2021
--[[
Для корректной работы скрипта необходимо в настройках заказать получение данных по классам:
SPBFUT (FORTS), TQBR (МБ ФР: T+ Акции и Др) и FQBR (МБ ФР: T+ Ин.Акции и Др)
Фильтры по инструментам и параметрам должны быть выключены.
]]--
local requiredYield = 8 -- Показывать синт. облигации с доходностью не ниже X % годовых
local requiredDaysToMaturity = 30 -- Показывать синт. облигации со сроком жизни не меньше X дней
local symbols = {
-- Код фьючерса = {Класс Акции, Код Акции}
AF = {'TQBR', 'AFLT'},
AL = {'TQBR', 'ALRS'},
CH = {'TQBR', 'CHMF'},
FS = {'TQBR', 'FEES'},
GZ = {'TQBR', 'GAZP'},
GK = {'TQBR', 'GMKN'},
HY = {'TQBR', 'HYDR'},
LK = {'TQBR', 'LKOH'},
MN = {'TQBR', 'MGNT'},
ME = {'TQBR', 'MOEX'},
MT = {'TQBR', 'MTSS'},
NM = {'TQBR', 'NLMK'},
NK = {'TQBR', 'NVTK'},
RN = {'TQBR', 'ROSN'},
RT = {'TQBR', 'RTKM'},
SP = {'TQBR', 'SBERP'},
SR = {'TQBR', 'SBER'},
SG = {'TQBR', 'SNGSP'},
SN = {'TQBR', 'SNGS'},
TT = {'TQBR', 'TATN'},
TN = {'TQBR', 'TRNFP'},
VB = {'TQBR', 'VTBR'},
MG = {'TQBR', 'MAGN'},
PZ = {'TQBR', 'PLZL'},
YN = {'TQBR', 'YNDX'},
AK = {'TQBR', 'AFKS'},
IR = {'TQBR', 'IRAO'},
PO = {'TQBR', 'POLY'},
TI = {'TQBR', 'TCSG'},
FV = {'TQBR', 'FIVE'},
ML = {'TQBR', 'MAIL'},
OZ = {'TQBR', 'OZON'},
PI = {'TQBR', 'PIKK'},
BA = {'FQBR', 'BABA-RM'},
BI = {'FQBR', 'BIDU-RM'}
}
local running = true
local bondsTable = nil
local index = {}
function main()
local result = indexFutures()
if not result then
message('SBonds: Failed To Index Futures', 3)
do return end
end
createSyntheticBondsTable()
while running do
calculateYields()
sleep(1000)
end
end
function indexFutures()
local SPBFUT = getClassSecurities('SPBFUT')
local matches = string.gmatch(SPBFUT, '([^,]+)')
local count = 0
for futures in matches do
local futuresCode = string.sub(futures, 1, 2)
if symbols[futuresCode] ~= nil then
if index[futuresCode] == nil then
index[futuresCode] = {}
count = count + 1
end
index[futuresCode][#index[futuresCode] + 1] = {
code = futures,
scale = getSecurityInfo('SPBFUT', futures).scale,
size = getSecurityInfo('SPBFUT', futures).lot_size,
expiration = string.format('%.0f', getParamEx('SPBFUT', futures, 'MAT_DATE').param_value)
}
end
end
if count == 0 then
return false
end
return true
end
function calculateYields()
local tableIndex = {}
local rows, _ = GetTableSize(bondsTable)
for i = 1, rows do
local cell = GetCell(bondsTable, i, 0)
tableIndex[cell.image] = i
end
for futuresCode, items in pairs(index) do
if symbols[futuresCode] ~= nil then
for _, item in pairs(items) do
local class = symbols[futuresCode][1]
local stock = symbols[futuresCode][2]
if isTrading(class, stock) and isTrading('SPBFUT', item.code) then
local futuresBid = tonumber(getParamEx('SPBFUT', item.code, 'BID').param_value)
local stockAsk = tonumber(getParamEx(class, stock, 'OFFER').param_value)
if futuresBid > 0 and stockAsk > 0 then
local term = timeToMaturity(item.expiration)
local yield = (futuresBid - stockAsk * item.size) / term / (stockAsk * item.size) * 100
if term >= requiredDaysToMaturity / 365 and yield >= requiredYield then
local bond = stock .. ' x ' .. item.code
local row = tableIndex[bond]
if row == nil then
row = InsertRow(bondsTable, -1)
SetCell(bondsTable, row, 0, bond)
end
local stockScale = getSecurityInfo(class, stock).scale
SetCell(bondsTable, row, 1, string.format('%.' .. stockScale .. 'f', stockAsk), stockAsk)
SetCell(bondsTable, row, 2, string.format('%.' .. item.scale .. 'f', futuresBid), futuresBid)
SetCell(bondsTable, row, 3, string.format('%.0f', term * 365), term * 365)
SetCell(bondsTable, row, 4, string.format('%.2f', yield) .. '%', yield)
tableIndex[bond] = nil
end
end
end
end
end
end
for _, row in pairs(tableIndex) do
DeleteRow(bondsTable, row)
end
end
function OnStop()
DestroyTable(bondsTable)
running = false
return 0
end
function createSyntheticBondsTable()
bondsTable = AllocTable()
AddColumn(bondsTable, 0, 'Bond', true, QTABLE_STRING_TYPE, 17)
AddColumn(bondsTable, 1, 'Stock Ask', true, QTABLE_DOUBLE_TYPE, 12)
AddColumn(bondsTable, 2, 'Futures Bid', true, QTABLE_DOUBLE_TYPE, 12)
AddColumn(bondsTable, 3, 'Days', true, QTABLE_DOUBLE_TYPE, 10)
AddColumn(bondsTable, 4, 'Yield', true, QTABLE_DOUBLE_TYPE, 12)
CreateWindow(bondsTable)
SetWindowCaption(bondsTable, 'Synthetic Bonds')
SetWindowPos(bondsTable, 0, 0, 460, 230)
SetTableNotificationCallback(bondsTable, tableNotificationCallback)
end
function tableNotificationCallback(sender, event, param1, param2)
if sender == bondsTable and event == QTABLE_CLOSE then
running = false
end
end
function isTrading(class, security)
local status = tonumber(getParamEx(class, security, class == 'SPBFUT' and 'STATUS' or 'TRADINGSTATUS').param_value)
return status == 1
end
function timeToMaturity(string)
local year = string.sub(string, 1, 4)
local month = string.sub(string, 5, 6)
local day = string.sub(string, 7, 8)
local date = os.time({
day = tonumber(day),
year = tonumber(year),
month = tonumber(month),
hour = 18,
min = 45,
sec = 0
})
local time = os.difftime(date, os.time()) / (365 * 24 * 60 * 60)
return time
end

GS.Trade

вторник, 31 мая 2022 г.

History, Ticks,

суббота, 21 мая 2022 г.

Lua, Script, Sint, Bonds

Ярлыки

Архив блога

вторник, 31 мая 2022 г.

History, Ticks,

суббота, 21 мая 2022 г.

Lua, Script, Sint, Bonds

вторник, 31 мая 2022 г.

суббота, 21 мая 2022 г.