update cron job
This commit is contained in:
MuslemRahimi
parent
cba3cec00b
commit
271f150ac3
@ -1,5 +1,6 @@
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from __future__ import print_function
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import asyncio
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import aiohttp
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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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@ -104,50 +105,29 @@ def safe_round(value):
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return value
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def get_all_expirations(symbol):
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response = intrinio.OptionsApi().get_options_expirations_eod(
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symbol,
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after=after,
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before=before,
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include_related_symbols=include_related_symbols
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)
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data = (response.__dict__).get('_expirations')
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return data
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async def get_options_chain(symbol, expiration, semaphore):
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async with semaphore:
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try:
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# Run the synchronous API call in a thread pool since intrinio doesn't support async
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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(
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symbol,
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expiration,
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include_related_symbols=include_related_symbols
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)
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)
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contracts = set()
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for item in response.chain:
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try:
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contracts.add(item.option.code)
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except Exception as e:
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print(f"Error processing contract in {expiration}: {e}")
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return contracts
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except:
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return set()
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async def get_price_batch_realtime(symbol, contract_list):
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body = {
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"contracts": contract_list
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# API Configuration
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api_url = "https://api-v2.intrinio.com/options/prices/realtime/batch"
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headers = {
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"Authorization": f"Bearer {api_key}" # Replace with your actual API key
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}
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response = intrinio.OptionsApi().get_options_prices_batch_realtime(body, source=source, show_stats=show_stats, stock_price_source=stock_price_source, model=model, show_extended_price=show_extended_price)
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data = response.__dict__
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data = data['_contracts']
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params = {
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"source": source,
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"show_stats": show_stats,
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"stock_price_source": stock_price_source,
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"model": model,
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"show_extended_price": show_extended_price
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}
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body = {
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"contracts": contract_list
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}
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# Make API request
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async with aiohttp.ClientSession() as session:
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async with session.post(api_url, headers=headers, params=params, json=body) as response:
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response_data = await response.json()
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contracts_data = response_data.get('contracts', [])
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res_dict = {
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'total_premium': 0, 'call_premium': 0, 'put_premium': 0,
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@ -158,61 +138,56 @@ async def get_price_batch_realtime(symbol, contract_list):
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'time': None
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}
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for item in data:
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for item in contracts_data:
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try:
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price_data = (item.__dict__)['_price'].__dict__
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stats_data = (item.__dict__)['_stats'].__dict__
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option_type = ((item.__dict__)['_option'].__dict__)['_type']
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price_data = item.get('price', {})
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stats_data = item.get('stats', {})
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option_data = item.get('option', {})
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volume = int(price_data['_volume']) if price_data['_volume'] != None else 0
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total_open_interest = int(price_data['_open_interest']) if price_data['_open_interest'] != None else 0
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last_price = price_data['_last'] if price_data['_last'] != None else 0
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option_type = option_data.get('type', '').lower()
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volume = int(price_data.get('volume', 0)) if price_data.get('volume') is not None else 0
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open_interest = int(price_data.get('open_interest', 0)) if price_data.get('open_interest') is not None else 0
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last_price = price_data.get('last', 0) or 0
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premium = int(volume * last_price * 100)
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implied_volatility = stats_data['_implied_volatility']
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gamma = stats_data['_gamma'] if stats_data['_gamma'] != None else 0
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delta = stats_data['_delta'] if stats_data['_delta'] != None else 0
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res_dict['gex'] += gamma * total_open_interest * 100
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res_dict['dex'] += delta * total_open_interest * 100
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implied_volatility = stats_data.get('implied_volatility')
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gamma = stats_data.get('gamma', 0) or 0
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delta = stats_data.get('delta', 0) or 0
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# Update metrics
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res_dict['gex'] += gamma * open_interest * 100
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res_dict['dex'] += delta * open_interest * 100
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res_dict['total_premium'] += premium
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res_dict['volume'] += volume
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res_dict['total_open_interest'] += total_open_interest
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res_dict['total_open_interest'] += open_interest
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if option_type == 'call':
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res_dict['call_premium'] += premium
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res_dict['call_volume'] += volume
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res_dict['call_open_interest'] += total_open_interest
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res_dict['call_open_interest'] += open_interest
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else:
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res_dict['put_premium'] += premium
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res_dict['put_volume'] += volume
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res_dict['put_open_interest'] += total_open_interest
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res_dict['put_open_interest'] += open_interest
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res_dict['iv_list'].append(implied_volatility)
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res_dict['time'] = price_data['_ask_timestamp'].strftime("%Y-%m-%d")
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except:
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pass
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if implied_volatility is not None:
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res_dict['iv_list'].append(implied_volatility)
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# Handle timestamp
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if 'ask_timestamp' in price_data and price_data['ask_timestamp']:
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timestamp_str = price_data['ask_timestamp']
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try:
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dt = datetime.datetime.fromisoformat(timestamp_str.replace('Z', '+00:00'))
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res_dict['time'] = dt.strftime("%Y-%m-%d")
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except:
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res_dict['time'] = timestamp_str[:10] # Fallback to string slicing
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except Exception as e:
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print(f"Error processing contract: {e}")
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continue
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return res_dict
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async def prepare_dataset(symbol):
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expiration_list = get_all_expirations(symbol)
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semaphore = asyncio.Semaphore(MAX_CONCURRENT_REQUESTS)
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# Create tasks for all expirations
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tasks = [get_options_chain(symbol, expiration, semaphore) for expiration in expiration_list]
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# Show progress bar for completed tasks
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contract_sets = set()
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for task in tqdm(asyncio.as_completed(tasks), total=len(tasks), desc="Processing expirations"):
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contracts = await task
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contract_sets.update(contracts)
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# Convert final set to list
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contract_list = list(contract_sets)
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async def main():
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total_symbols = get_tickers_from_directory()
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if len(total_symbols) < 3000:
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