-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathcboe_monitor.py
141 lines (126 loc) · 5.53 KB
/
cboe_monitor.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
# encoding: UTF-8
from cboe_monitor.utilities import \
DATE_FORMAT, run_over_time_frame, DAILY_UPDATE_HOUR, get_last_day, \
mk_notification, mk_notification_params, is_business_day
from cboe_monitor.data_manager import VIXDataManager, GVZDataManager, OVXDataManager
from cboe_monitor.schedule_manager import ScheduleManager
from cboe_monitor.util_http_bs4 import get_content_json
from cboe_monitor.util_cboe_vix_futures import \
check_vix_intraday_warning, check_warning_info_same, VIX_FUTURES_URL, \
mk_intraday_notification
from cboe_monitor.util_dingding import send_md_msg
from cboe_monitor.logger import logger
from datetime import datetime
from time import sleep
import argparse
#----------------------------------------------------------------------
class MonitorScheduleManager(ScheduleManager):
# UTC+8
_update_hour = DAILY_UPDATE_HOUR
_crontab = f'50 {_update_hour} * * *'
_last_day = None
_day_index = None
_day_vix_downloaded = False
_day_gvz_downloaded = False
_day_ovx_downloaded = False
def __init__(self, immediately: bool = False, push_msg: bool = False):
""""""
self._immediately = immediately
self._push_msg = push_msg
super(MonitorScheduleManager, self).__init__(immediately)
def do_timeout(self):
""""""
logger.info('start schedule task. ')
delivery_dates, schedule_days = run_over_time_frame()
self._last_day = get_last_day(self._update_hour)
self._day_index = datetime.strftime(self._last_day, DATE_FORMAT)
if not is_business_day(self._last_day, schedule_days):
logger.info('last day is not a business day. ')
return self.clear_and_return_true()
vdm = VIXDataManager(delivery_dates)
vdm.download_raw_data(self._day_vix_downloaded)
df = vdm.combine_all()
rets_vix = vdm.analyze()
if rets_vix['vix_diff'].index[-1] != self._day_index or \
self._day_index not in rets_vix['vix'].index:
# vix diff is not pulled, retry 5 minutes later
logger.info(f"last_day: {self._last_day}, index: {self._day_index}, vix_index: {rets_vix['vix'].index[-1]}, vix_diff_index: {rets_vix['vix_diff'].index[-1]}")
logger.info("vix info download failed. ")
return False
elif df.iloc[-1][0] <= 1 or df.iloc[-1][1] <= 1:
logger.info(f'vix info download failed due to vix 0 or 1 is zero. ')
return False
self._day_vix_downloaded = True
# gvz futures are delisted
gvzm = GVZDataManager([])
gvzm.download_raw_data(self._day_gvz_downloaded)
rets_gvzm = gvzm.analyze()
if self._day_index not in rets_gvzm['gvz'].index:
logger.info("gvz info download failed. ")
return False
self._day_gvz_downloaded = True
# ovx futures are delisted
ovxm = OVXDataManager([])
ovxm.download_raw_data(self._day_ovx_downloaded)
rets_ovxm = ovxm.analyze()
if self._day_index not in rets_ovxm['ovx'].index:
logger.info("ovx info download failed. ")
return False
self._day_ovx_downloaded = True
params = mk_notification_params(df, delivery_dates, rets_vix, rets_gvzm, rets_ovxm)
title, msg = mk_notification(**params)
if self._push_msg:
send_md_msg(title, msg)
logger.info('schedule task done. ')
return self.clear_and_return_true()
def clear_and_return_true(self):
"""clear the _day_index and return True"""
self._last_day = None
self._day_index = None
self._day_vix_downloaded = False
self._day_gvz_downloaded = False
self._day_ovx_downloaded = False
self._push_msg = True
self._immediately = False
return True
#----------------------------------------------------------------------
class IntradayScheduleManager(ScheduleManager):
# use interval
_last_infos = []
_counter = 0
def get_delay_time(self):
"""do it every 900 seconds"""
return 900
#----------------------------------------------------------------------
def do_timeout(self):
""""""
soup = get_content_json(VIX_FUTURES_URL)
if False == soup:
logger.info("intraday vix futures info fetch failed. ")
return False
rets = check_vix_intraday_warning(soup)
if rets != [] and not check_warning_info_same(self._last_infos, rets):
title, msg = mk_intraday_notification(rets)
send_md_msg(title, msg)
logger.info('intraday vix warning msg sended. ')
self._last_infos = rets
self._counter +=1
# 192 = 4 * 48, about 2 day
if self._counter >= 192:
logger.info('intraday monitor is still aliving... ')
self._counter = 0
return True
#----------------------------------------------------------------------
if __name__ == '__main__':
arg_parser = argparse.ArgumentParser()
arg_parser.add_argument('--imm', type = bool, dest = 'immediately', default = False,
help = 'immediately analyze when started. ')
arg_parser.add_argument('--push', type = bool, dest = 'push_msg', default = False,
help = 'push the message. ')
args = arg_parser.parse_args()
mgr = MonitorScheduleManager(args.immediately, args.push_msg)
logger.info('cboe monitor started. ')
intraday_mgr = IntradayScheduleManager(True)
logger.info('cboe intraday monitor started. ')
while True:
sleep(1)