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Ajay
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Published
Derivatives Pricing
By
Ajay
Edited
Dec 21, 2019
Importers
1 star
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//xAxis is time
//yaxis is strikes
//colored by series
//stroked by option-type
//scaled by $value of trade
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mutable
selection
=
OptionTrades
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OptionTrades
=
transactions
.
filter
(
x
=>
x
.
qty
>
minQuantity
)
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xScale
(
new
Date
(
'2019-10-25T09:35'
)
)
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OptionTrades
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yScale
=
d3
.
scaleLinear
(
d3
.
extent
(
OptionTrades
,
d
=>
+
d
.
strike
)
,
[
height
-
margin
.
bottom
,
margin
.
top
]
)
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md
`<div style="min-width:100%;text-align:center;font-size:2rem;color:purple; background:thistle;">SIZE</div>`
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selection
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radiusScale
=
d3
.
scaleSqrt
(
)
.
range
(
[
1
,
20
]
)
.
domain
(
d3
.
extent
(
OptionTrades
,
d
=>
d
.
qty
*
d
.
price
)
)
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radiusScale
(
100
)
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html
`<div style="display:flex;">${
seriesColorScale
.
range
(
)
.
map
(
x
=>
`<div style="background:${
x
};">${
x
}</div>`
)
}</div>`
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seriesColorScale
=
d3
.
scaleOrdinal
(
expirations
,
d3
.
quantize
(
d3
.
interpolateViridis
,
expirations
.
length
-
1
)
)
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expirationColor
=
d3
.
scaleTime
(
)
.
interpolate
(
(
)
=>
d3
.
interpolateCool
)
.
domain
(
d3
.
extent
(
expirations
)
)
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deltaScale
=
d3
.
scaleDiverging
(
)
.
domain
(
[
-
1
,
0
,
1
]
)
.
interpolator
(
d3
.
interpolatePuOr
)
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d3
.
scaleDiverging
(
)
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d3
.
timeParse
(
'%Y-%m-%d'
+
' %H:%M:%S'
)
(
DT
+
" 15:59:58"
)
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d3
.
timeParse
(
'%Y-%m-%d %H:%M'
)
(
'2019-10-25 09:30'
)
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d3
.
timeParse
(
'%H:%M:%S'
)
(
"15:59:58"
)
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html
`<style>
hr{
border-top: 3px double salmon;
}
</style>`
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mostActiveOptions
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topVolumeOptions
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expirations
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height
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margin
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pad
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yyyyMMdd
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