Warrants and Callable Bull/Bear Certificates

Warrant Filter

QuoteClient.get_warrant_filter(self, symbol, page=None, page_size=None, sort_field_name=None, sort_dir=None, filter_params=None)

Description

Get warrant and callable bull/bear certificate quote list data, supports sorting and filtering warrants by different fields.

Parameters

Parameter	Type	Required	Description
symbol	str	Yes	Underlying stock symbol
page	int	No	Page number, starting from 0, default is 0
page_size	int	No	Items per page, default 50
sort_field_name	str	No	Sort field, default expireDate (refer to WarrantItem fields)
sort_dir	tigeropen.common.consts.SortDirection	No	Sort direction, enum ASC/DESC, default ASC
filter_params	tigeropen.quote.request.model.WarrantFilterParams	No	Filter parameters

The filter_params fields are as follows:

Parameter	Type	Required	Description
issuer_name	str	No	Issuer (refer to FilterBounds issuerName field), default all
expire_ym	str	No	Expiry date, format yyyy-MM
state	int	No	Status: 0=All, 1=Normal, 2=Terminated, 3=Pending listing (default: 0)
warrant_type	`set[int]`	No	Type WarrantType: 1=Call, 2=Put, 3=Bull, 4=Bear, 0=All (default: all)
in_out_price	`set[int]`	No	1=In-the-money (including at-the-money), -1=Out-of-the-money
lot_size	`set[int]`	No	Lot size
entitlement_ratio	`set[float]`	No	Entitlement ratio
strike	`tuple[float, float]`	No	Strike price range
effective_leverage	`tuple[float, float]`	No	Effective leverage range
leverage_ratio	`tuple[float, float]`	No	Leverage ratio range
call_price	`tuple[float, float]`	No	Call price range
volume	`tuple[int, int]`	No	Volume range
premium	`tuple[float, float]`	No	Premium range
outstanding_ratio	`tuple[float, float]`	No	Outstanding ratio range
implied_volatility	`tuple[float, float]`	No	Implied volatility range

Single-value fields can be set using set_xxx() methods, set-type fields can be added using add_xxx() methods, and tuple-type fields can be set using set_xxx_range() methods. See example below.

Returns

tigeropen.quote.domain.filter.WarrantFilterItem

Structure:

class WarrantFilterItem:
    def __init__(self, items=None, page=None, total_page=None, total_count=None, bounds=None):
        self.items = items
        self.page = page
        self.total_page = total_page
        self.total_count = total_count
        self.bounds = bounds

Name	Type	Description
page	int	Page number
totalPage	int	Total pages
totalCount	int	Total count
bounds	tigeropen.quote.domain.filter.WarrantFilterBounds	Available filter conditions
items	pandas.DataFrame	Data fields described below

WarrantFilterBounds object structure:

Name	Type	Description
issuer_name	`list[str]`	Issuer names
expire_date	`list[str]`	Expiry dates
lot_size	`list[int]`	Lot sizes
entitlement_ratio	`list<double>`	Entitlement ratios
leverage_ratio	`dict`	Leverage ratio range
strike	`dict`	Strike price range
premium	`dict`	Premium range
outstanding_ratio	`dict`	Outstanding ratio range
implied_volatility	`dict`	Implied volatility range
effective_leverage	`dict`	Effective leverage range
call_price	`dict`	Call price range

items DataFrame field descriptions:

Name	Type	Description
symbol	str	Underlying stock symbol
name	str	Underlying name
type	warrant_type	Type: 1=Call, 2=Put, 3=Bull, 4=Bear
sec_type	str	Security type: warrant=war, callable=iopt
market	str	Market: hk
entitlement_ratio	float	Entitlement ratio
entitlement_price	float	Entitlement price
premium	float	Premium
breakeven_point	float	Breakeven point at expiry
call_price	float	Call price (callable bull/bear certificates only)
before_call_level	float	Distance to call price (percentage, e.g. 0.196875 means 19.6875%)
expire_date	str	Expiry date
last_trading_date	str	Last trading date
state	warrant_state	Status: 1=Normal, 2=Terminated, 3=Pending listing
change_rate	float	Change rate
change	float	Change amount
latest_price	float	Latest price
volume	long	Volume
outstanding_ratio	float	Outstanding ratio
lot_size	int	Lot size
strike	float	Strike price
in_out_price	float	In-the-money (greater than 0) / Out-of-the-money (less than 0)
delta	float	Delta
leverage_ratio	float	Leverage ratio
effective_leverage	float	Effective leverage
implied_volatility	float	Implied volatility

Example

from tigeropen.quote.quote_client import QuoteClient
from tigeropen.quote.request.model import WarrantFilterParams

from tigeropen.tiger_open_config import TigerOpenClientConfig
client_config = TigerOpenClientConfig(props_path='/path/to/your/properties/file/')
quote_client = QuoteClient(client_config)

filter_params = WarrantFilterParams()
filter_params.set_issuer_name('Morgan Stanley')
filter_params.set_expire_ym('2024-06')
# 0 All, 1 Normal, 2 Terminate Trades, 3 Waiting to be listed
filter_params.set_state(1)
filter_params.add_lot_size(1000)
filter_params.add_lot_size(5000)
# -1:out the money, 1: in the money
filter_params.add_in_out_price(1)
filter_params.add_in_out_price(-1)
# 1:Call, 2: Put, 3: Bull,4: Bear, 0: All
filter_params.add_warrant_type(2)
filter_params.add_warrant_type(4)
filter_params.set_premium_range(0, 1)
filter_params.set_strike_range(100, 500)
filter_params.set_implied_volatility_range(1, 100)
result = quote_client.get_warrant_filter('00700', page_size=10,
                                         sort_field_name='implied_volatility',
                                         sort_dir=SortDirection.DESC,
                                         filter_params=filter_params)
print(result)

Return Example

WarrantFilterItem({
'items':   
    symbol        name type sec_type market  entitlement_ratio  entitlement_price   premium  breakeven_point expire_date last_trading_date   state  change_rate  change  latest_price  volume  amount  outstanding_ratio  lot_size   strike  in_out_price     delta  leverage_ratio  effective_leverage  implied_volatility
    0  27062  Tencent Morgan Stanley Put 30A.P  Put      WAR     HK             47.483           1.377007  0.605231       148.669993  2023-10-20        2023-10-16  Normal     0.035714   0.001         0.029       0     0.0              0.002      5000  150.047       1.50988 -0.030389      273.491711           -8.311172              69.847, 
'page': 0, 'total_page': 1, 'total_count': 1, 
'bounds': FilterBounds({
    'issuer_name': ['Bank of East Asia', 'BNP Paribas', 'Societe Generale', 'Goldman Sachs', 'Guotai Junan', 'Haitong', 'Citigroup', 'HSBC', 'Macquarie', 'Morgan Stanley', 'J.P.Morgan', 'Commerzbank', 'Credit Suisse', 'UBS', 'DBS', 'Bank of China'], 
    'expire_date': ['2026-01', '2025-12', '2025-09', '2025-08', '2024-12', '2024-07', '2024-06', '2024-04', '2024-03', '2024-02', '2024-01', '2023-12', '2023-11', '2023-10', '2023-09', '2023-08', '2023-07', '2023-06', '2023-05', '2023-04'], 
    'lot_size': [1000, 5000, 10000, 50000], 
    'entitlement_ratio': [1.053, 47.483, 50.0, 92.166, 94.967, 100.0, 460.829, 474.834, 485.437, 500.0], 
    'leverage_ratio': {'min': 1.391437, 'max': 3056.79342}, 
    'strike': {'min': 111.301, 'max': 717.11}, 
    'premium': {'min': -0.314923, 'max': 0.908085}, 
    'outstanding_ratio': {'min': 0.0, 'max': 1.0}, 
    'implied_volatility': {'min': 0.0, 'max': 131.085}, 
    'effective_leverage': {'min': -46.321801, 'max': 20.189945}, 
    'call_price': {'min': 113.96, 'max': 520.0}})}

Get Warrant Quotes

QuoteClient.get_warrant_briefs(symbols)