add options chain

app/cron_options_gex.py

@@ -13,8 +13,8 @@ load_dotenv()
 api_key = os.getenv('BENZINGA_API_KEY')
 fin = financial_data.Benzinga(api_key)
 
-def save_json(symbol, data):
+def save_json(symbol, data, file_path):
-    with open(f'json/options-gex/companies/{symbol}.json', 'w') as file:
+    with open(f'{file_path}/{symbol}.json', 'w') as file:
         ujson.dump(data, file)
 
 def calculate_volatility(prices_df):
@@ -83,6 +83,82 @@ def compute_daily_gex(option_data_list, volatility):
     daily_gex['date'] = daily_gex['date'].astype(str)
     return daily_gex
 
+def summarize_option_chain(option_data_list):
+    summary_data = []
+
+    for option_data in option_data_list:
+        try:
+            date = datetime.strptime(option_data['date'], "%Y-%m-%d").date()
+            open_interest = int(option_data.get('open_interest', 0))
+            volume = int(option_data.get('volume', 0))
+            price = float(option_data.get('price', 0))
+            strike_price = float(option_data.get('strike_price', 0))
+            put_call = option_data.get('put_call', 'CALL')
+            sentiment = option_data.get('sentiment', 'NEUTRAL')
+
+            # Safely convert premium to float, default to 0 if missing or invalid
+            try:
+                premium = float(option_data.get('cost_basis', 0))
+            except (TypeError, ValueError):
+                premium = 0
+
+            # Calculate Bull/Bear/Neutral premiums based on sentiment
+            if sentiment == 'BULLISH':
+                bull_premium = premium
+                bear_premium = 0
+                neutral_premium = 0
+            elif sentiment == 'BEARISH':
+                bull_premium = 0
+                bear_premium = premium
+                neutral_premium = 0
+            else:
+                bull_premium = 0
+                bear_premium = 0
+                neutral_premium = premium
+
+            summary_data.append({
+                'date': date,
+                'open_interest': open_interest,
+                'c_vol': volume if put_call == 'CALL' else 0,
+                'p_vol': volume if put_call == 'PUT' else 0,
+                'bull_premium': bull_premium,
+                'bear_premium': bear_premium,
+                'neutral_premium': neutral_premium
+            })
+        except:
+            pass
+
+    # Summarize by date
+    df_summary = pd.DataFrame(summary_data)
+    daily_summary = df_summary.groupby('date').agg(
+        total_oi=('open_interest', 'sum'),
+        total_bull_prem=('bull_premium', 'sum'),
+        total_bear_prem=('bear_premium', 'sum'),
+        total_neutral_prem=('neutral_premium', 'sum'),
+        c_vol=('c_vol', 'sum'),
+        p_vol=('p_vol', 'sum')
+    ).reset_index()
+
+    # Calculate Bull/Bear ratio
+    
+    try:
+        daily_summary['bear_ratio'] = round(daily_summary['total_bear_prem'] / (daily_summary['total_bull_prem']+daily_summary['total_bear_prem']+daily_summary['total_neutral_prem']) * 100, 2)
+        daily_summary['bull_ratio'] = round(daily_summary['total_bull_prem'] / (daily_summary['total_bull_prem']+daily_summary['total_bear_prem']+daily_summary['total_neutral_prem']) * 100, 2)
+        daily_summary['neutral_ratio'] = round(daily_summary['total_neutral_prem'] / (daily_summary['total_bull_prem']+daily_summary['total_bear_prem']+daily_summary['total_neutral_prem']) * 100, 2)
+    except:
+        daily_summary['bear_ratio'] = None
+        daily_summary['bull_ratio'] = None
+        daily_summary['neutral_ratio'] = None
+    
+
+    daily_summary['total_volume'] = round(daily_summary['c_vol'] + daily_summary['p_vol'],2)
+    daily_summary['total_neutral_prem'] = round(daily_summary['total_neutral_prem'],2)
+    daily_summary['date'] = daily_summary['date'].astype(str)
+    daily_summary = daily_summary.sort_values(by='date', ascending=False)
+    # Return the summarized dataframe
+    return daily_summary
+
+
 def get_data(ticker):
     res_list = []
     page = 0
@@ -121,7 +197,7 @@ etf_symbols = [row[0] for row in etf_cursor.fetchall()]
 total_symbols = stock_symbols + etf_symbols
 
 query_template = """
-    SELECT date, close
+    SELECT date, close,change_percent
     FROM "{ticker}"
     WHERE date BETWEEN ? AND ?
 """
@@ -131,13 +207,20 @@ for ticker in total_symbols:
     try:
         query = query_template.format(ticker=ticker)
         df_price = pd.read_sql_query(query, stock_con if ticker in stock_symbols else etf_con, params=(start_date_str, end_date_str)).round(2)
+        df_price = df_price.rename(columns={"change_percent": "changesPercentage"})
+
         volatility = calculate_volatility(df_price)
 
         ticker_data = get_data(ticker)
+        daily_option_chain = summarize_option_chain(ticker_data)
+        daily_option_chain = daily_option_chain.merge(df_price[['date', 'changesPercentage']], on='date', how='inner')
+        if not daily_option_chain.empty:
+            save_json(ticker, daily_option_chain.to_dict('records'), 'json/options-chain/companies')
+        
         daily_gex = compute_daily_gex(ticker_data, volatility)
-        daily_gex = daily_gex.merge(df_price, on='date', how='inner')
+        daily_gex = daily_gex.merge(df_price[['date', 'close']], on='date', how='inner')
         if not daily_gex.empty:
-            save_json(ticker, daily_gex.to_dict('records'))
+            save_json(ticker, daily_gex.to_dict('records'),'json/options-gex/companies')
 
     except Exception as e:
         print(e)

app/main.py

@@ -2563,6 +2563,35 @@ async def get_options_flow_ticker(data:TickerData, api_key: str = Security(get_a
         headers={"Content-Encoding": "gzip"}
     )
 
+@app.post("/options-chain-ticker")
+async def get_options_chain(data:TickerData, api_key: str = Security(get_api_key)):
+    ticker = data.ticker.upper()
+    cache_key = f"options-chain-{ticker}"
+
+    cached_result = redis_client.get(cache_key)
+    if cached_result:
+        return StreamingResponse(
+        io.BytesIO(cached_result),
+        media_type="application/json",
+        headers={"Content-Encoding": "gzip"})
+    try:
+        with open(f"json/options-chain/companies/{ticker}.json", 'rb') as file:
+            res_list = orjson.loads(file.read())
+    except:
+        res_list = []
+
+    data = orjson.dumps(res_list)
+    compressed_data = gzip.compress(data)
+    redis_client.set(cache_key, compressed_data)
+    redis_client.expire(cache_key, 3600*3600)  # Set cache expiration time to 5 min
+
+    return StreamingResponse(
+        io.BytesIO(compressed_data),
+        media_type="application/json",
+        headers={"Content-Encoding": "gzip"}
+    )
+
+
 '''
 @app.post("/options-flow-feed")
 async def get_options_flow_feed(data: LastOptionId, api_key: str = Security(get_api_key)):

app/primary_cron_job.py

@@ -464,6 +464,13 @@ def run_options_gex():
     ]
     run_command(command)
 
+    command = [
+        "sudo", "rsync", "-avz", "-e", "ssh",
+        "/root/backend/app/json/options-chain",
+        f"root@{useast_ip_address}:/root/backend/app/json"
+    ]
+    run_command(command)
+
 def run_government_contract():
     run_command(["python3", "cron_government_contract.py"])
     command = [