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add net premiums

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This commit is contained in:
MuslemRahimi 2025-01-22 00:07:02 +01:00
parent c2e78604e9
commit 171708b994
1 changed files with 25 additions and 2 deletions
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27
app/cron_options_single_contract.py
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@ -40,6 +40,25 @@ class ChainItem:
def prices(self):
return self._prices
def calculate_net_premium(ask_price, bid_price, ask_size, bid_size):
"""
Calculate the net premium from the ask and bid prices and sizes.
If any value is None, it will be treated as 0.
"""
# Replace None with 0 for any of the values
ask_price = ask_price if ask_price is not None else 0
bid_price = bid_price if bid_price is not None else 0
ask_size = ask_size if ask_size is not None else 0
bid_size = bid_size if bid_size is not None else 0
# Premium for call or put options
ask_premium = ask_price * ask_size * 100 # Assuming 100 shares per contract
bid_premium = bid_price * bid_size * 100
# Return the net premium (difference between received and paid)
return ask_premium - bid_premium
intrinio.ApiClient().set_api_key(api_key)
#intrinio.ApiClient().allow_retries(True)
@ -113,7 +132,7 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
#clean the data
history = [
{key.lstrip('_'): value for key, value in record.items() if key not in ('_close_time','_open_ask', '_ask_low','_close_bid_size','_close_ask_size','_close_ask','_close_bid','_close_size','_exercise_style','discriminator','_open_bid','_bid_low','_bid_high','_ask_high')}
{key.lstrip('_'): value for key, value in record.items() if key not in ('_close_time','_open_ask', '_ask_low','_close_size','_exercise_style','discriminator','_open_bid','_bid_low','_bid_high','_ask_high')}
for record in history
]
@ -155,10 +174,14 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
volume = res_list[i]['volume']
avg_fill = res_list[i]['mark']
res_list[i]['total_premium'] = int(avg_fill*volume*100)
# Calculate the net premiums for call and put options
res_list[i]['net_premium'] = calculate_net_premium(res_list[i]['close_ask'], res_list[i]['close_bid'], res_list[i]['close_ask_size'], res_list[i]['close_bid_size'])
except:
res_list[i]['total_premium'] = 0
res_list[i]['net_premium'] = 0
data = {'expiration': key_data['_expiration'], 'strike': key_data['_strike'], 'optionType': key_data['_type'], 'history': res_list}
await save_json(data, symbol, contract_id)