update option oi
This commit is contained in:
MuslemRahimi
parent
ee6a0cae86
commit
0d58a83a51
@ -1,147 +1,201 @@
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import requests
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import orjson
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import re
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from datetime import datetime
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from dotenv import load_dotenv
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import os
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import sqlite3
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from __future__ import print_function
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import asyncio
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import time
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import intrinio_sdk as intrinio
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from intrinio_sdk.rest import ApiException
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from datetime import datetime, timedelta
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import orjson
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from tqdm import tqdm
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import os
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from collections import defaultdict
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from dotenv import load_dotenv
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from concurrent.futures import ThreadPoolExecutor
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load_dotenv()
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api_key = os.getenv('INTRINIO_API_KEY')
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api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
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headers = {"Accept": "application/json, text/plain", "Authorization": api_key}
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# Configure Intrinio SDK
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intrinio.ApiClient().set_api_key(api_key)
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intrinio.ApiClient().allow_retries(True)
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# Connect to the databases
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con = sqlite3.connect('stocks.db')
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etf_con = sqlite3.connect('etf.db')
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cursor = con.cursor()
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cursor.execute("PRAGMA journal_mode = wal")
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#cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%' AND marketCap > 1E9")
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cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'")
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stocks_symbols = [row[0] for row in cursor.fetchall()]
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# Configuration
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MAX_CONCURRENT_REQUESTS = 50
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BATCH_SIZE = 1500
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include_related_symbols = False
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etf_cursor = etf_con.cursor()
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etf_cursor.execute("PRAGMA journal_mode = wal")
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#etf_cursor.execute("SELECT DISTINCT symbol FROM etfs WHERE marketCap > 1E9")
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etf_cursor.execute("SELECT DISTINCT symbol FROM etfs")
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etf_symbols = [row[0] for row in etf_cursor.fetchall()]
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def save_json(data, symbol, category="strike"):
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directory_path = f"json/oi/{category}/"
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os.makedirs(directory_path, exist_ok=True)
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with open(f"{directory_path}/{symbol}.json", 'wb') as file:
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file.write(orjson.dumps(data))
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con.close()
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etf_con.close()
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def get_tickers_from_directory(directory: str):
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def get_tickers_from_directory():
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directory = "json/options-historical-data/companies"
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try:
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# Ensure the directory exists
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if not os.path.exists(directory):
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raise FileNotFoundError(f"The directory '{directory}' does not exist.")
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# Get all tickers from filenames
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return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
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except Exception as e:
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print(f"An error occurred: {e}")
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return []
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def save_json(data, symbol, directory_path):
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os.makedirs(directory_path, exist_ok=True) # Ensure the directory exists
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with open(f"{directory_path}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
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file.write(orjson.dumps(data))
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def safe_round(value, decimals=2):
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def get_contracts_from_directory(symbol):
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directory = f"json/all-options-contracts/{symbol}/"
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try:
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return round(float(value), decimals)
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except (ValueError, TypeError):
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return value
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def prepare_data(data, symbol, directory_path, sort_by = "date"):
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data = [{k: v for k, v in item.items() if "charm" not in k and "vanna" not in k} for item in data]
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res_list = []
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for item in data:
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try:
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new_item = {
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key: safe_round(value) if isinstance(value, (int, float, str)) else value
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for key, value in item.items()
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}
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res_list.append(new_item)
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if not os.path.exists(directory):
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raise FileNotFoundError(f"The directory '{directory}' does not exist.")
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return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
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except:
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pass
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return []
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if res_list:
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res_list = sorted(res_list, key=lambda x: x[sort_by], reverse=True)
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save_json(res_list, symbol, directory_path)
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def get_strike_data():
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print("Starting to download strike data...")
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directory_path = "json/oi/strike"
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total_symbols = get_tickers_from_directory(directory_path)
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if len(total_symbols) < 100:
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total_symbols = stocks_symbols+etf_symbols
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counter = 0
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#Test mode
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#total_symbols = ['GME','SPY']
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for symbol in tqdm(total_symbols):
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async def get_single_contract_data(symbol, expiration, semaphore):
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async with semaphore:
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try:
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url = f"https://api.unusualwhales.com/api/stock/{symbol}/oi-per-strike"
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# Use ThreadPoolExecutor to run synchronous API calls
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loop = asyncio.get_event_loop()
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with ThreadPoolExecutor() as pool:
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response = await loop.run_in_executor(
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pool,
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lambda: intrinio.OptionsApi().get_options_chain_eod(symbol, expiration, include_related_symbols=include_related_symbols)
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)
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response = requests.get(url, headers=headers)
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if response.status_code == 200:
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data = response.json()['data']
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prepare_data(data, symbol, directory_path, sort_by = 'strike')
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# Process the options chain data
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contract_data = []
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for item in response.chain:
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try:
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option_price_data = item.prices
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dict_data = option_price_data.__dict__
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counter +=1
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contract_data.append({
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'strike': item.option.strike,
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'expiration': item.option.expiration,
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'type': item.option.type,
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'open_interest': dict_data.get('_open_interest', 0),
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'contract_code': item.option.code
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})
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except Exception as e:
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print(f"Error processing contract item: {e}")
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# If 50 chunks have been processed, sleep for 60 seconds
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if counter == 260:
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print("Sleeping...")
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time.sleep(60)
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counter = 0
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return {
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'expiration': expiration,
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'contracts': contract_data
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}
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except Exception as e:
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print(f"Error processing expiration {expiration}: {e}")
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return None
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async def process_batch(symbol, batch, semaphore, pbar):
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tasks = [get_single_contract_data(symbol, contract, semaphore) for contract in batch]
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results = []
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for task in asyncio.as_completed(tasks):
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result = await task
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if result:
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results.append(result)
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pbar.update(1)
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return results
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async def process_contracts(symbol, contract_list):
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results = []
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semaphore = asyncio.Semaphore(MAX_CONCURRENT_REQUESTS)
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total_contracts = len(contract_list)
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total_batches = (total_contracts + BATCH_SIZE - 1) // BATCH_SIZE
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with tqdm(total=total_contracts, desc=f"Processing {symbol} contracts") as pbar:
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for batch_num in range(total_batches):
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start_idx = batch_num * BATCH_SIZE
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batch = contract_list[start_idx:start_idx + BATCH_SIZE]
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print(f"\nProcessing batch {batch_num + 1}/{total_batches} ({len(batch)} contracts)")
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batch_start_time = time.time()
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batch_results = await process_batch(symbol, batch, semaphore, pbar)
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results.extend(batch_results)
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batch_time = time.time() - batch_start_time
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if batch_num < total_batches - 1:
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print(f"Sleeping for 30 seconds before next batch...")
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await asyncio.sleep(30)
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return results
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def aggregate_open_interest(symbol, results):
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strike_data = defaultdict(lambda: {'call_open_interest': 0, 'put_open_interest': 0})
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expiration_data = defaultdict(lambda: {'call_open_interest': 0, 'put_open_interest': 0})
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for result in results:
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if not result or 'contracts' not in result:
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continue
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for contract in result['contracts']:
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try:
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strike = contract['strike']
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option_type = contract['type']
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open_interest = contract['open_interest']
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expiration = contract['expiration']
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if option_type == 'call':
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strike_data[strike]['call_open_interest'] += open_interest
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expiration_data[expiration]['call_open_interest'] += open_interest
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elif option_type == 'put':
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strike_data[strike]['put_open_interest'] += open_interest
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expiration_data[expiration]['put_open_interest'] += open_interest
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except Exception as e:
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print(f"Error processing contract: {e}")
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# Convert to sortable list format
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strike_data = sorted(strike_data.items(), key=lambda x: x[0], reverse=True)
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strike_data = [
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{
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"call_oi": data[1]['call_open_interest'],
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"put_oi": data[1]['put_open_interest'],
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"strike": data[0],
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}
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for data in strike_data
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]
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expiration_data = sorted(expiration_data.items(), key=lambda x: x[0])
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expiration_data = [
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{
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"call_oi": data[1]['call_open_interest'],
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"put_oi": data[1]['put_open_interest'],
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"expiry": data[0],
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}
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for data in expiration_data
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]
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# Save aggregated data
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if strike_data:
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save_json(strike_data, symbol, 'strike')
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if expiration_data:
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save_json(expiration_data, symbol, 'expiry')
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async def main():
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# Get list of symbols
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total_symbols = get_tickers_from_directory()
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print(f"Number of tickers: {len(total_symbols)}")
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total_symbols = ['AA']
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for symbol in total_symbols:
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try:
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# Get list of contracts for the symbol
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contract_list = get_contracts_from_directory(symbol)
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if not contract_list:
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print(f"No contracts found for {symbol}")
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continue
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# Process contracts
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results = await process_contracts(symbol, contract_list)
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# Aggregate and save open interest data
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aggregate_open_interest(symbol, results)
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except Exception as e:
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print(f"Error for {symbol}:{e}")
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def get_expiry_data():
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print("Starting to download expiry data...")
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directory_path = "json/oi/expiry"
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total_symbols = get_tickers_from_directory(directory_path)
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if len(total_symbols) < 100:
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total_symbols = stocks_symbols+etf_symbols
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counter = 0
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for symbol in tqdm(total_symbols):
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try:
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url = f"https://api.unusualwhales.com/api/stock/{symbol}/oi-per-expiry"
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response = requests.get(url, headers=headers)
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if response.status_code == 200:
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data = response.json()['data']
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prepare_data(data, symbol, directory_path)
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counter +=1
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# If 50 chunks have been processed, sleep for 60 seconds
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if counter == 260:
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print("Sleeping...")
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time.sleep(60)
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counter = 0
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except Exception as e:
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print(f"Error for {symbol}:{e}")
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if __name__ == '__main__':
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get_strike_data()
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#time.sleep(60)
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get_expiry_data()
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print(f"Error processing {symbol}: {e}")
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if __name__ == "__main__":
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asyncio.run(main())
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