TqSdk Option Symbols, Exchange Spreads, and Option Analytics
Summary
This reference explains how TqSdk represents option contracts and exchange-defined combinations across several Chinese futures and securities venues. It gives examples of contract-code formats for calls and puts, ETF and index options, and calendar spread combinations. It also states a platform limitation: exchange-defined combinations are supported for live trading but not for simulated trading.
The document lists built-in calculations for option Greeks, implied volatility, Black–Scholes theoretical value, intrinsic and time value, historical volatility, and time to expiration expressed on an annualized basis. It also describes query functions for finding options by underlying, call or put class, expiry status, strike, and exercise year or month, including a query for at-the-money and out-of-the-money contracts. These are API capabilities rather than a trading strategy or performance study; users still need to validate contract identifiers, model assumptions, and platform behavior for their specific instruments.
Key ideas
- TqSdk uses venue-specific formats to identify options and exchange-defined spread combinations.
- The documented exchange combinations are available for live trading but not for simulation.
- The toolkit includes calculations for Greeks, implied volatility, theoretical value, and historical volatility.
- Option searches can filter by underlying, option class, strike, expiry status, and exercise date.
- The reference describes software functions and does not provide evidence of a profitable strategy.
Tags
Full text
# option trade
.. _option_trade:
期权交易 & 交易所官方组合
====================================================
TqSdk 中期权和交易所官方组合的合约代码格式参考如下::
DCE.m2609-C-2700 - 大商所豆粕期权
CZCE.CF609C13400 - 郑商所棉花期权
SHFE.au2608C944 - 上期所黄金期权
CFFEX.IO2606-C-4650 - 中金所沪深300股指期权
SSE.10010303 - 上交所上证50etf期权
SSE.10010936 - 上交所沪深300etf期权
SZSE.90007432 - 深交所沪深300etf期权
CZCE.SPD SR609&SR701 - 郑商所 SR609&SR701 跨期合约
DCE.SP a2609&a2705 - 大商所 a2609&a2705 跨期合约
对于交易所官方组合，目前 TqSdk 中只支持交易所官方组合进行实盘交易，不支持在模拟中进行交易所官方组合交易
期权指标计算&序列计算函数
----------------------------------------------------
TqSdk 内提供了丰富的期权指标计算&序列计算函数，参考如下：
* :py:meth:`~tqsdk.ta.OPTION_GREEKS` - 计算期权希腊指标
* :py:meth:`~tqsdk.ta.OPTION_IMPV` - 计算期权隐含波动率
* :py:meth:`~tqsdk.ta.BS_VALUE` - 计算期权 BS 模型理论价格
* :py:meth:`~tqsdk.ta.OPTION_VALUE` - 计算期权内在价值，期权时间价值
* :py:meth:`~tqsdk.tafunc.get_bs_price` - 计算期权 BS 模型理论价格
* :py:meth:`~tqsdk.tafunc.get_delta` - 计算期权希腊指标 delta 值
* :py:meth:`~tqsdk.tafunc.get_gamma` - 计算期权希腊指标 gamma 值
* :py:meth:`~tqsdk.tafunc.get_rho` - 计算期权希腊指标 rho 值
* :py:meth:`~tqsdk.tafunc.get_theta` - 计算期权希腊指标 theta 值
* :py:meth:`~tqsdk.tafunc.get_vega` - 计算期权希腊指标 vega 值
* :py:meth:`~tqsdk.tafunc.get_his_volatility` - 计算某个合约的历史波动率
* :py:meth:`~tqsdk.tafunc.get_t` - 计算 K 线序列对应的年化到期时间，主要用于计算期权相关希腊指标时，需要得到计算出序列对应的年化到期时间
期权查询函数
----------------------------------------------------
TqSdk 内提供了完善的期权查询函数 :py:meth:`~tqsdk.TqApi.query_options` 和对应平值虚值期权查询函数 :py:meth:`~tqsdk.TqApi.query_atm_options` ，供用户搜索符合自己需求的期权::
from tqsdk import TqApi, TqAuth
api = TqApi(auth=TqAuth("快期账户", "账户密码"))
ls = api.query_options("SHFE.au2608")
print(ls) # 标的为 "SHFE.au2608" 的所有期权
ls = api.query_options("SHFE.au2608", option_class="PUT")
print(ls) # 标的为 "SHFE.au2608" 的看跌期权
ls = api.query_options("SHFE.au2608", option_class="PUT", expired=False)
print(ls) # 标的为 "SHFE.au2608" 的看跌期权, 未下市的
ls = api.query_options("SHFE.au2608", strike_price=944)
print(ls) # 标的为 "SHFE.au2608" 、行权价为 944 的期权
ls = api.query_options("SSE.510300")
print(ls) # 中金所沪深300股指期权
ls = api.query_options("SSE.510300")
print(ls) # 上交所沪深300etf期权
ls = api.query_options("SSE.510300", exercise_year=2020, exercise_month=12)
print(ls) # 上交所沪深300etf期权, 限制条件 2020 年 12 月份行权Shown in full with attribution under the source's licence. Licence: Apache-2.0
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.