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add past earnings volatility

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This commit is contained in:
MuslemRahimi 2024-12-20 20:26:15 +01:00
parent 488db802dc
commit 19a17ae343
2 changed files with 130 additions and 31 deletions
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98
app/cron_earnings.py
View File

@ -1,8 +1,10 @@
import aiohttp
import aiofiles
import ujson
import orjson
import sqlite3
import asyncio
import pandas as pd
import os
from dotenv import load_dotenv
from datetime import datetime, timedelta
@ -16,8 +18,15 @@ api_key = os.getenv('BENZINGA_API_KEY')
ny_tz = pytz.timezone('America/New_York')
today = datetime.now(ny_tz).replace(hour=0, minute=0, second=0, microsecond=0)
min_date = ny_tz.localize(datetime.strptime("2015-01-01", "%Y-%m-%d"))
N_days_ago = today - timedelta(days=10)
query_template = """
SELECT date, open, high, low, close
FROM "{ticker}"
WHERE date >= ?
"""
def check_existing_file(ticker, folder_name):
file_path = f"json/earnings/{folder_name}/{ticker}.json"
@ -49,11 +58,87 @@ async def save_json(data, symbol, dir_path):
async with aiofiles.open(file_path, 'w') as file:
await file.write(ujson.dumps(data))
async def get_data(session, ticker):
async def get_past_data(data, ticker, con):
# Filter data based on date constraints
filtered_data = []
for item in data:
try:
item_date = ny_tz.localize(datetime.strptime(item["date"], "%Y-%m-%d"))
if min_date <= item_date <= today:
filtered_data.append(
{
'revenue': float(item['revenue']),
'revenueEst': float(item['revenue_est']),
'revenueSurprisePercent': round(float(item['revenue_surprise_percent'])*100, 2),
'eps': round(float(item['eps']), 2),
'epsEst': round(float(item['eps_est']), 2),
'epsSurprisePercent': round(float(item['eps_surprise_percent'])*100, 2),
'year': item['period_year'],
'quarter': item['period'],
'date': item['date']
}
)
except:
pass
# Sort the filtered data by date
if len(filtered_data) > 0:
filtered_data.sort(key=lambda x: x['date'], reverse=True)
try:
# Load the price history data
with open(f"json/historical-price/max/{ticker}.json") as file:
price_history = orjson.loads(file.read())
# Convert price_history dates to datetime objects for easy comparison
price_history_dict = {
datetime.strptime(item['time'], "%Y-%m-%d"): item for item in price_history
}
# Calculate volatility for each earnings release
for entry in filtered_data:
earnings_date = datetime.strptime(entry['date'], "%Y-%m-%d")
volatility_prices = []
# Collect prices from (X-2) to (X+1)
for i in range(-2, 2):
current_date = earnings_date + timedelta(days=i)
if current_date in price_history_dict:
volatility_prices.append(price_history_dict[current_date])
# Calculate volatility if we have at least one price entry
if volatility_prices:
high_prices = [day['high'] for day in volatility_prices]
low_prices = [day['low'] for day in volatility_prices]
close_prices = [day['close'] for day in volatility_prices]
max_high = max(high_prices)
min_low = min(low_prices)
avg_close = sum(close_prices) / len(close_prices)
# Volatility percentage calculation
volatility = round(((max_high - min_low) / avg_close) * 100, 2)
else:
volatility = None # No data available for volatility calculation
# Add the volatility to the entry
entry['volatility'] = volatility
# Save the updated filtered_data
await save_json(filtered_data, ticker, 'json/earnings/past')
except:
pass
async def get_data(session, ticker, con):
querystring = {"token": api_key, "parameters[tickers]": ticker}
try:
async with session.get(url, params=querystring, headers=headers) as response:
data = ujson.loads(await response.text())['earnings']
await get_past_data(data, ticker, con)
# Filter for future earnings
future_dates = [item for item in data if ny_tz.localize(datetime.strptime(item["date"], "%Y-%m-%d")) >= today]
if future_dates:
@ -113,9 +198,9 @@ async def get_data(session, ticker):
print(e)
#pass
async def run(stock_symbols):
async def run(stock_symbols, con):
async with aiohttp.ClientSession() as session:
tasks = [get_data(session, symbol) for symbol in stock_symbols]
tasks = [get_data(session, symbol, con) for symbol in stock_symbols]
for f in tqdm(asyncio.as_completed(tasks), total=len(stock_symbols)):
await f
@ -126,8 +211,11 @@ try:
cursor.execute("PRAGMA journal_mode = wal")
cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%' AND symbol NOT LIKE '%-%'")
stock_symbols = [row[0] for row in cursor.fetchall()]
con.close()
asyncio.run(run(stock_symbols))
#stock_symbols = ['TSLA']
asyncio.run(run(stock_symbols, con))
except Exception as e:
print(e)
finally:
con.close()

61
app/main.py
View File

@ -3847,17 +3847,35 @@ async def get_next_earnings(data:TickerData, api_key: str = Security(get_api_key
cache_key = f"next-earnings-{ticker}"
cached_result = redis_client.get(cache_key)
if cached_result:
return orjson.loads(cached_result)
return StreamingResponse(
io.BytesIO(cached_result),
media_type="application/json",
headers={"Content-Encoding": "gzip"}
)
try:
with open(f"json/earnings/next/{ticker}.json", 'rb') as file:
res = orjson.loads(file.read())
except:
res = {}
redis_client.set(cache_key, orjson.dumps(res))
redis_client.expire(cache_key,5*60)
try:
with open(f"json/earnings/past/{ticker}.json", 'rb') as file:
past_earnings = orjson.loads(file.read())
except:
past_earnings = []
return res
final_res = {'next': res, 'past': past_earnings}
data = orjson.dumps(final_res)
compressed_data = gzip.compress(data)
redis_client.set(cache_key, compressed_data)
redis_client.expire(cache_key,15*60)
return StreamingResponse(
io.BytesIO(compressed_data),
media_type="application/json",
headers={"Content-Encoding": "gzip"}
)
@app.post("/earnings-surprise")
async def get_surprise_earnings(data:TickerData, api_key: str = Security(get_api_key)):
@ -3865,35 +3883,28 @@ async def get_surprise_earnings(data:TickerData, api_key: str = Security(get_api
cache_key = f"earnings-surprise-{ticker}"
cached_result = redis_client.get(cache_key)
if cached_result:
return orjson.loads(cached_result)
return StreamingResponse(
io.BytesIO(cached_result),
media_type="application/json",
headers={"Content-Encoding": "gzip"}
)
try:
with open(f"json/earnings/surprise/{ticker}.json", 'rb') as file:
res = orjson.loads(file.read())
except:
res = {}
redis_client.set(cache_key, orjson.dumps(res))
redis_client.expire(cache_key,5*60)
data = orjson.dumps(res)
compressed_data = gzip.compress(data)
return res
redis_client.set(cache_key, compressed_data)
redis_client.expire(cache_key,15*60)
@app.post("/dividend-announcement")
async def get_dividend_announcement(data:TickerData, api_key: str = Security(get_api_key)):
ticker = data.ticker.upper()
cache_key = f"dividend-announcement-{ticker}"
cached_result = redis_client.get(cache_key)
if cached_result:
return orjson.loads(cached_result)
try:
with open(f"json/dividends/announcement/{ticker}.json", 'rb') as file:
res = orjson.loads(file.read())
except:
res = {}
redis_client.set(cache_key, orjson.dumps(res))
redis_client.expire(cache_key,3600*3600)
return res
return StreamingResponse(
io.BytesIO(compressed_data),
media_type="application/json",
headers={"Content-Encoding": "gzip"}
)
@app.post("/info-text")
async def get_info_text(data:InfoText, api_key: str = Security(get_api_key)):