{
"cells": [
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Part 0: Import 套件"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#下載資料套件\n",
"import urllib3\n",
"from bs4 import BeautifulSoup\n",
"\n",
"#資料處理套件\n",
"import pandas as pd\n",
"from datetime import datetime, date\n",
"\n",
"#畫圖套件\n",
"import matplotlib.pyplot as plt\n",
"%matplotlib inline\n",
"\n",
"from plotly.subplots import make_subplots\n",
"import plotly.graph_objects as go"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Part 1: 下載期交所 臺指選擇權 每日交易行情"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### 股海小英雄youtube影片：[【Python 爬蟲】台指選擇權Put/Call比免費下載 (上)｜股市多空頭趨勢預測](https://youtu.be/RqodmAWC8EE)\n",
"### 資料來源：[期交所 臺指選擇權 每日交易行情](https://www.taifex.com.tw/cht/3/dlOptDailyMarketView)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"**注意:查詢區間不可超過30日**"
]
},
{
"cell_type": "markdown",
"metadata": {
"tags": []
},
"source": [
"用urllib3下載選擇權每日交易行情資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"http = urllib3.PoolManager()\n",
"url = \"https://www.taifex.com.tw/cht/3/dlOptDataDown\"\n",
"res = http.request(\n",
" 'POST',\n",
" url,\n",
" fields={\n",
" 'down_type': 1,\n",
" 'commodity_id': 'TXO',\n",
" 'queryStartDate': '2021/08/04',\n",
" 'queryEndDate': '2021/08/11'\n",
" }\n",
" )\n",
"\n",
"html_doc = res.data\n",
"html_doc"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"用BeautifulSoup解析資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"soup = BeautifulSoup(html_doc, 'html.parser')\n",
"soup"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"把資料依行數切割"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"soup_str = str(soup)\n",
"lines = soup_str.split('\\r\\n')\n",
"\n",
"for i in range(5):\n",
" print(lines[i])\n",
" print()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"把下載的選擇權每日交易行情資料存入dataframe內"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# 新增空的dataframe,定義欄位名稱\n",
"df = pd.DataFrame(columns = lines[0].split(','))\n",
"\n",
"# 把選擇權資料一行一行寫入dataframe內\n",
"for i in range(1, len(lines) - 1):\n",
" list_ = lines[i].split(',')[:-1]\n",
" df_length = len(df)\n",
" df.loc[df_length] = list_\n",
"\n",
"#顯示dataframe前20行的資料 \n",
"df.head(20)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Part 2: 將下載的臺指選擇權 每日交易行情 另存成csv檔"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.to_csv('options.csv')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"# Part 3: 畫出臺指選擇權每日交易行情"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### 資料轉型：把日期從字串(string)換成時間(datetime)/浮點數(float)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# 資料轉型\n",
"for col in [0, 3, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15]:\n",
" for row in range(df.shape[0]):\n",
" # 把\"日期\"從字串(string)換成時間(datetime)\n",
" if col == 0:\n",
" day = df.iloc[row,0].split('/')\n",
" df.iloc[row, 0] = datetime(int(day[0]), int(day[1]), int(day[2])) \n",
" # 把字串(string)換成浮點數(float): \"履約價\", \"開盤價\", \"最高價\", \"最低價\", \"收盤價\", \"成交量\", \"結算價\", \"未沖銷契約數\", \"最後最佳買價\", \"最後最佳賣價\", \"歷史最高價\", \"歷史最低價\" \n",
" elif col != 0 and df.iloc[row, col] != '-':\n",
" df.iloc[row, col] = float(df.iloc[row,col])"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### 資料篩選：取出臺指選擇權202108W2的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.head(20)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.describe()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df['到期月份(週別)'].unique()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"選到期月份(週別)是'202108W2'的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.loc[df['到期月份(週別)'] == '202108W2']"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"選到期月份(週別)是'202108W2'&買權的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.loc[(df['到期月份(週別)'] == '202108W2') & (df['買賣權'] == '買權')]"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"選到期月份(週別)是'202108W2'&買權&履約價17800的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.loc[(df['到期月份(週別)'] == '202108W2') & (df['買賣權'] == '買權') & (df['履約價'] == 17800)]"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"選到期月份(週別)是'202108W2'&買權&履約價17800&一般交易時段的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df.loc[(df['到期月份(週別)'] == '202108W2') & (df['買賣權'] == '買權') & (df['履約價'] == 17800) & (df['交易時段'] == '一般')]"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"用get_options函式篩選資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"def get_options(option_df, contract_period, put_or_call, strike_price, trade_period):\n",
" \n",
" option_df = df.loc[(df['到期月份(週別)'] == contract_period) & \\\n",
" (df['買賣權'] == put_or_call) & \\\n",
" (df['履約價'] == strike_price) & \\\n",
" (df['交易時段'] == trade_period)]\n",
" return option_df"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"get_options(df, '202108W2', '買權', 17800, '一般')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"拿選擇權履約價17400-17700的資料"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"txo_17400_c = get_options(df, '202108W2', '買權', 17400, '一般')\n",
"txo_17500_c = get_options(df, '202108W2', '買權', 17500, '一般')\n",
"txo_17600_c = get_options(df, '202108W2', '買權', 17600, '一般')\n",
"txo_17700_c = get_options(df, '202108W2', '買權', 17700, '一般')\n",
"\n",
"\n",
"txo_17400_p = get_options(df, '202108W2', '賣權', 17400, '一般')\n",
"txo_17500_p = get_options(df, '202108W2', '賣權', 17500, '一般')\n",
"txo_17600_p = get_options(df, '202108W2', '賣權', 17600, '一般')\n",
"txo_17700_p = get_options(df, '202108W2', '賣權', 17700, '一般')"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### 用matplotlib套件：畫出選擇權202108W2走勢圖"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"fig = plt.figure(figsize = (20, 5))\n",
"plt.title('TXO Option 202108W2 Call 17400 Historical Data')\n",
"\n",
"plt.plot(txo_17400_c['交易日期'], txo_17400_c['收盤價'])\n",
"\n",
"plt.legend(['Close'])"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"### 用plotly套件：畫出選擇權202108W2各履約價走勢圖"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"# Initialize figure with subplots\n",
"fig = make_subplots(\n",
" rows=7, cols=2, subplot_titles=(\"買權\", \"賣權\")\n",
")\n",
"\n",
"# Add traces\n",
"fig.add_trace(go.Scatter(x = txo_17400_c[\"交易日期\"], y = txo_17400_c[\"收盤價\"], name = \"買權17400\"), row=1, col=1)\n",
"fig.add_trace(go.Scatter(x = txo_17500_c[\"交易日期\"], y = txo_17500_c[\"收盤價\"], name = \"買權17500\"), row=2, col=1)\n",
"fig.add_trace(go.Scatter(x = txo_17600_c[\"交易日期\"], y = txo_17600_c[\"收盤價\"], name = \"買權17600\"), row=3, col=1)\n",
"fig.add_trace(go.Scatter(x = txo_17700_c[\"交易日期\"], y = txo_17700_c[\"收盤價\"], name = \"買權17700\"), row=4, col=1)\n",
"\n",
"fig.add_trace(go.Scatter(x = txo_17400_p[\"交易日期\"], y = txo_17400_p[\"收盤價\"], name = \"賣權17400\"), row=1, col=2)\n",
"fig.add_trace(go.Scatter(x = txo_17500_p[\"交易日期\"], y = txo_17500_p[\"收盤價\"], name = \"賣權17500\"), row=2, col=2)\n",
"fig.add_trace(go.Scatter(x = txo_17600_p[\"交易日期\"], y = txo_17600_p[\"收盤價\"], name = \"賣權17600\"), row=3, col=2)\n",
"fig.add_trace(go.Scatter(x = txo_17700_p[\"交易日期\"], y = txo_17700_p[\"收盤價\"], name = \"賣權17700\"), row=4, col=2)\n",
"\n",
"# Update yaxis properties\n",
"fig.update_yaxes(title_text=\"17400\", row=1, col=2)\n",
"fig.update_yaxes(title_text=\"17500\", row=2, col=2)\n",
"fig.update_yaxes(title_text=\"17600\", row=3, col=2)\n",
"fig.update_yaxes(title_text=\"17700\", row=4, col=2)\n",
"\n",
"# Update title and height\n",
"fig.update_layout(title_text=\"台指選 每日交易行情 - 202108W2\", width = 1000, height=2000)\n",
"\n",
"fig.show()"
]
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.8.8"
}
},
"nbformat": 4,
"nbformat_minor": 4
}