Research for Implavo v1.4.RMD
Julian Hillier-Fry
16 April 2019
- Load libraries and import P and IV data
# lirary load
Packages <- c("tidyverse", "DBI", "data.table", "readr", "IBrokers", "RMySQL", "ggplot2", "ggExtra")
lapply(Packages, library, character.only = TRUE)## Warning: package 'tidyverse' was built under R version 3.5.2## -- Attaching packages ------------------------------------------------------------------------------------------------------------------ tidyverse 1.2.1 --## v ggplot2 3.1.0 v purrr 0.2.5
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## v readr 1.3.1 v forcats 0.3.0## Warning: package 'ggplot2' was built under R version 3.5.2## Warning: package 'tidyr' was built under R version 3.5.2## Warning: package 'readr' was built under R version 3.5.2## Warning: package 'dplyr' was built under R version 3.5.2## Warning: package 'forcats' was built under R version 3.5.2## -- Conflicts --------------------------------------------------------------------------------------------------------------------- tidyverse_conflicts() --
## x dplyr::filter() masks stats::filter()
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## first, last## IBrokers version 0.9-10. Implementing API Version 9.64##
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## [13] "tidyr" "tibble" "ggplot2" "tidyverse"
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## [25] "base"# Connect to IB
library(IBrokers)
tws = twsConnect(port=7496)
isConnected(tws)## [1] TRUEtwsConnectionTime(tws)## [1] "20190416 17:02:02 Greenwich Mean Time"# Define contract
ohlc_daily_spx = twsIND("SPX", "CBOE")
# Download ohlc of price of the underlying and the iv of the underlying
ohlc_daily_iv_spx_IB = reqHistoricalData(tws, ohlc_daily_spx, barSize = "1 day", duration = '15 Y', whatToShow = "OPTION_IMPLIED_VOLATILITY")## TWS Message: 2 -1 2106 HMDS data farm connection is OK:ushmds.nj
## waiting for TWS reply on SPX .... done.ohlc_daily_price_spx_IB = reqHistoricalData(tws, ohlc_daily_spx, barSize = "1 day", duration = '15 Y', whatToShow = "TRADES")## waiting for TWS reply on SPX .... done.# Convert with`as data table`
ohlc_daily_price_spx_dt <- as.data.table(ohlc_daily_price_spx_IB)
ohlc_daily_iv_spx_dt <- as.data.table(ohlc_daily_iv_spx_IB)
# Convert index to date format
ohlc_daily_price_spx_dt$index <- as.Date(as.POSIXct(ohlc_daily_price_spx_dt$index, 'GMT'))
ohlc_daily_iv_spx_dt$index <- as.Date(as.POSIXct(ohlc_daily_iv_spx_dt$index, 'GMT'))
# Merge into one table
ohlc_p_iv_spx <- inner_join(ohlc_daily_price_spx_dt, ohlc_daily_iv_spx_dt, by = "index")
# Rename index to Date
colnames(ohlc_p_iv_spx)[1] <- "Date"- Created calculated values Name Description
R_co range at close of close to open C - O R-hl range of high to low at close H - L E_h expected H O * (1+v) E_l expected L O * (1-v) H_E_h diff from H to E.H [O * (1+v)] - H L_E_l diff from E.L to L [O * (1-v)] - L R_2 theoretical range expected Library Call back (given constant) S_UP upper bear spread strike E.H +/- CONSTANT S_DW lower bull spread strike E.L +/- CONSTANT C_ER.H calculated expected error for high C_ER.L calculated expected error for low IV_d daily IV as a function of the yearly [[ IV Y]]/SQRT(252) H_o high from open deviation [O * (1+v)] - (H - O) L_o low from open deviation [O * (1+v)] - (H - O) E_h_o expected high dev from open E_L_o expected low dev from open
ohlc_p_iv_spx$R_co <- ohlc_p_iv_spx$SPX.Close.x - ohlc_p_iv_spx$SPX.Open.x
ohlc_p_iv_spx$R_hl <- ohlc_p_iv_spx$SPX.High.x - ohlc_p_iv_spx$SPX.Low.x
ohlc_p_iv_spx$IV_d <- ohlc_p_iv_spx$SPX.Open.y / sqrt(252)
ohlc_p_iv_spx$E_h <- ohlc_p_iv_spx$SPX.Open.x * ( 1 + ohlc_p_iv_spx$IV_d)
ohlc_p_iv_spx$E_l <- ohlc_p_iv_spx$SPX.Open.x * ( 1 - ohlc_p_iv_spx$IV_d)
ohlc_p_iv_spx$H_E_h <- ohlc_p_iv_spx$E_h - ohlc_p_iv_spx$SPX.High.x
ohlc_p_iv_spx$H_E_h <- ohlc_p_iv_spx$E_h - ohlc_p_iv_spx$SPX.High.x
ohlc_p_iv_spx$H_o <- ohlc_p_iv_spx$SPX.High.x - ohlc_p_iv_spx$SPX.Open.x
ohlc_p_iv_spx$L_o <- ohlc_p_iv_spx$SPX.Open.x - ohlc_p_iv_spx$SPX.Low.x
ohlc_p_iv_spx$E_h_o <- ohlc_p_iv_spx$E_h - ohlc_p_iv_spx$SPX.Open.x
ohlc_p_iv_spx$E_l_o <- ohlc_p_iv_spx$SPX.Open.x - ohlc_p_iv_spx$SPX.Low.xPlot the inial data
# classic plot :
ggplot(ohlc_p_iv_spx, aes(x=Date, y=R_co)) +
geom_point() +
geom_line(data=ohlc_p_iv_spx, aes(x=Date, y=SPX.Open.y), col="yellow")