diff --git a/app/cron_options_stats.py b/app/cron_options_stats.py index 4878fcd..9431d39 100644 --- a/app/cron_options_stats.py +++ b/app/cron_options_stats.py @@ -1,57 +1,15 @@ from __future__ import print_function import asyncio -import aiohttp import time -import intrinio_sdk as intrinio -from intrinio_sdk.rest import ApiException from datetime import datetime, timedelta -import ast import orjson from tqdm import tqdm -import aiohttp -from concurrent.futures import ThreadPoolExecutor import sqlite3 from dotenv import load_dotenv import os import re +from statistics import mean -load_dotenv() - -api_key = os.getenv('INTRINIO_API_KEY') - -intrinio.ApiClient().set_api_key(api_key) -#intrinio.ApiClient().allow_retries(True) - -current_date = datetime.now().date() - -source = '' -show_stats = '' -stock_price_source = '' -model = '' -show_extended_price = '' - - -after = datetime.today().strftime('%Y-%m-%d') -before = '2100-12-31' -include_related_symbols = False -page_size = 5000 -MAX_CONCURRENT_REQUESTS = 50 # Adjust based on API rate limits -BATCH_SIZE = 1500 - - - -def get_expiration_date(option_symbol): - # Define regex pattern to match the symbol structure - match = re.match(r"([A-Z]+)(\d{6})([CP])(\d+)", option_symbol) - if not match: - raise ValueError(f"Invalid option_symbol format: {option_symbol}") - - ticker, expiration, option_type, strike_price = match.groups() - - # Convert expiration to datetime - date_expiration = datetime.strptime(expiration, "%y%m%d").date() - return date_expiration - # Database connection and symbol retrieval def get_total_symbols(): @@ -84,13 +42,6 @@ def get_tickers_from_directory(): print(f"An error occurred: {e}") return [] -def get_contracts_from_directory(symbol): - directory = f"json/all-options-contracts/{symbol}/" - try: - return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")] - except: - return [] - def save_json(data, symbol): directory = "json/options-stats/companies" os.makedirs(directory, exist_ok=True) @@ -105,147 +56,28 @@ def safe_round(value): return value -async def get_price_batch_realtime(symbol, contract_list): - # API Configuration - api_url = "https://api-v2.intrinio.com/options/prices/realtime/batch" - headers = { - "Authorization": f"Bearer {api_key}" # Replace with your actual API key - } - params = { - "source": source, - "show_stats": show_stats, - "stock_price_source": stock_price_source, - "model": model, - "show_extended_price": show_extended_price - } - body = { - "contracts": contract_list - } - - # Make API request - async with aiohttp.ClientSession() as session: - async with session.post(api_url, headers=headers, params=params, json=body) as response: - response_data = await response.json() - - contracts_data = response_data.get('contracts', []) - - res_dict = { - 'total_premium': 0, 'call_premium': 0, 'put_premium': 0, - 'volume': 0, 'call_volume': 0, 'put_volume': 0, - 'gex': 0, - 'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0, - 'iv_list': [], - 'time': None - } - - for item in contracts_data: - try: - price_data = item.get('price', {}) - stats_data = item.get('stats', {}) - option_data = item.get('option', {}) - - option_type = option_data.get('type', '').lower() - volume = int(price_data.get('volume', 0)) if price_data.get('volume') is not None else 0 - open_interest = int(price_data.get('open_interest', 0)) if price_data.get('open_interest') is not None else 0 - last_price = price_data.get('last', 0) or 0 - premium = int(volume * last_price * 100) - - implied_volatility = stats_data.get('implied_volatility') - gamma = stats_data.get('gamma', 0) or 0 - delta = stats_data.get('delta', 0) or 0 - - # Update metrics - res_dict['gex'] += gamma * open_interest * 100 - res_dict['total_premium'] += premium - res_dict['volume'] += volume - res_dict['total_open_interest'] += open_interest - - if option_type == 'call': - res_dict['call_premium'] += premium - res_dict['call_volume'] += volume - res_dict['call_open_interest'] += open_interest - else: - res_dict['put_premium'] += premium - res_dict['put_volume'] += volume - res_dict['put_open_interest'] += open_interest - - if implied_volatility is not None: - res_dict['iv_list'].append(implied_volatility) - - # Handle timestamp - if 'ask_timestamp' in price_data and price_data['ask_timestamp']: - timestamp_str = price_data['ask_timestamp'] - try: - dt = datetime.datetime.fromisoformat(timestamp_str.replace('Z', '+00:00')) - res_dict['time'] = dt.strftime("%Y-%m-%d") - except: - res_dict['time'] = timestamp_str[:10] # Fallback to string slicing - except Exception as e: - print(f"Error processing contract: {e}") - continue - - return res_dict - - async def main(): - total_symbols = get_tickers_from_directory() - if len(total_symbols) < 3000: - total_symbols = get_total_symbols() - print(f"Number of tickers: {len(total_symbols)}") - + total_symbols = get_total_symbols() + for symbol in tqdm(total_symbols): try: - contract_list = get_contracts_from_directory(symbol) - if len(contract_list) > 0: - # Initialize aggregated results dictionary - aggregated_results = { - 'total_premium': 0, 'call_premium': 0, 'put_premium': 0, - 'volume': 0, 'call_volume': 0, 'put_volume': 0, - 'gex': 0, - 'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0, - 'iv_list': [], - 'time': None - } + # Load previous data and calculate changes + with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file: + data = orjson.loads(file.read()) - # Process batches of 250 contracts - for i in range(0, len(contract_list), 250): - batch = contract_list[i:i+250] - batch_results = await get_price_batch_realtime(symbol, batch) - - # Aggregate results - for key in ['total_premium', 'call_premium', 'put_premium', - 'volume', 'call_volume', 'put_volume', - 'gex', - 'total_open_interest', 'call_open_interest', 'put_open_interest']: - aggregated_results[key] += batch_results[key] - - aggregated_results['iv_list'].extend(batch_results['iv_list']) - aggregated_results['time'] = batch_results['time'] + # Keys to compute the average for + keys_to_average = [key for key in data[0] if key != "date"] - # Calculate final metrics - aggregated_results['iv'] = round((sum(aggregated_results['iv_list']) / len(aggregated_results['iv_list'])*100), 2) if aggregated_results['iv_list'] else 0 - aggregated_results['putCallRatio'] = round(aggregated_results['put_volume'] / aggregated_results['call_volume'], 2) if aggregated_results['call_volume'] > 0 else 0 + # Compute averages and round to 2 decimal places + averages = { + key: round(mean(d[key] for d in data if d.get(key) is not None), 2) + for key in keys_to_average + } - # Load previous data and calculate changes - with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file: - past_data = orjson.loads(file.read()) - index = next((i for i, item in enumerate(past_data) if item['date'] == aggregated_results['time']), 0) - previous_open_interest = past_data[index]['total_open_interest'] - iv_rank = past_data[index]['iv_rank'] + save_json(averages, symbol) - aggregated_results['changesPercentageOI'] = round((aggregated_results['total_open_interest']/previous_open_interest-1)*100, 2) - aggregated_results['changeOI'] = aggregated_results['total_open_interest'] - previous_open_interest - #we don't aggregate this result - aggregated_results['ivRank'] = iv_rank - - # Remove the temporary iv_list before saving - del aggregated_results['iv_list'] - - # Save aggregated results - save_json(aggregated_results, symbol) - - except Exception as e: - print(f"Error processing {symbol}: {e}") + except: + pass if __name__ == "__main__": asyncio.run(main()) diff --git a/app/primary_cron_job.py b/app/primary_cron_job.py index bbb1746..4460432 100755 --- a/app/primary_cron_job.py +++ b/app/primary_cron_job.py @@ -73,12 +73,11 @@ def run_market_flow(): if week <= 4 and 8 <= hour < 20: run_command(["python3", "cron_market_flow.py"]) -def run_options_stats(): +def run_unusual_activity(): now = datetime.now(ny_tz) week = now.weekday() hour = now.hour if week <= 4 and 9 <= hour <= 16: - run_command(["python3", "cron_options_stats.py"]) run_command(["python3", "cron_unusual_activity.py"]) def run_dark_pool_level(): @@ -103,6 +102,7 @@ def run_options_jobs(): run_command(["python3", "cron_options_historical_volume.py"]) run_command(["python3", "cron_options_hottest_contracts.py"]) run_command(["python3", "cron_implied_volatility.py"]) + run_command(["python3", "cron_options_stats.py"]) run_command(["python3", "cron_options_oi.py"]) ''' run_command(["python3", "cron_options_gex_dex.py"]) @@ -422,7 +422,7 @@ schedule.every(3).hours.do(run_threaded, run_press_releases).tag('press_release_ schedule.every(5).minutes.do(run_threaded, run_push_notifications).tag('push_notifications_job') -schedule.every(30).minutes.do(run_threaded, run_options_stats).tag('options_stats_job') +schedule.every(10).minutes.do(run_threaded, run_unusual_activity).tag('unusual_activity_job') schedule.every(5).minutes.do(run_threaded, run_market_flow).tag('market_flow_job') schedule.every(5).minutes.do(run_threaded, run_list).tag('stock_list_job')