update
This commit is contained in:
MuslemRahimi
parent
f3b842e033
commit
644c2217e8
@ -53,6 +53,18 @@ def get_tickers_from_directory(directory: str):
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print(f"An error occurred: {e}")
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return []
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def get_contracts_from_directory(symbol):
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directory = f"json/all-options-contracts/{symbol}/"
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try:
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# Ensure the directory exists
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if not os.path.exists(directory):
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raise FileNotFoundError(f"The directory '{directory}' does not exist.")
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# Get all tickers from filenames
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return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
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except:
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return []
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directory_path = "json/hottest-contracts/companies"
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total_symbols = get_tickers_from_directory(directory_path)
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@ -88,67 +100,155 @@ def safe_round(value, decimals=2):
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return value
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def prepare_data(data, symbol):
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def prepare_data(contract_list, symbol):
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res_list = []
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for item in data:
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for item in contract_list:
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new_item = {}
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try:
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if float(item['volume']) > 0:
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# Parse option_symbol
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date_expiration, option_type, strike_price = parse_option_symbol(item['option_symbol'])
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if date_expiration >= today:
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# Round numerical and numerical-string values
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new_item = {
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key: safe_round(value) if isinstance(value, (int, float, str)) else value
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for key, value in item.items()
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}
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with open(f"json/all-options-contracts/{symbol}/{item['contract_id']}.json","r") as file:
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data = orjson.loads(file.read())
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# Add parsed fields
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new_item['date_expiration'] = date_expiration
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new_item['option_type'] = option_type
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new_item['strike_price'] = strike_price
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latest_entry = data['history'][-1]
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previous_open_interest = data['history'][-2]['open_interest']
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open_interest = latest_entry['open_interest']
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close = latest_entry['close']
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low = latest_entry['low']
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high = latest_entry['high']
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implied_volatility = round(latest_entry['implied_volatility'],2)
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# Calculate open_interest_change
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new_item['open_interest_change'] = safe_round(
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new_item.get('open_interest', 0) - new_item.get('prev_oi', 0)
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)
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total_premium = int(latest_entry['mark'] * latest_entry['open_interest'] * 100)
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res_list.append(new_item)
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except:
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pass
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strike_price = data['strike']
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date_expiration = data['expiration']
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option_type = data['optionType'].replace('call','C').replace('put','P')
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volume = item['peak_volume']
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new_item['date_expiration'] = date_expiration
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new_item['option_type'] = option_type
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new_item['strike_price'] = strike_price
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new_item['volume'] = volume
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new_item['open_interest'] = open_interest
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new_item['changeOI'] = open_interest -previous_open_interest
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new_item['total_premium'] = total_premium
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new_item['iv'] = implied_volatility
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new_item['last'] = close
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new_item['low'] = low
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new_item['high'] = high
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res_list.append(new_item)
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except Exception as e:
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print(e)
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print(res_list)
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'''
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if res_list:
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highest_volume = sorted(res_list, key=lambda x: x['volume'], reverse=True)[:10]
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highest_open_interest = sorted(res_list, key=lambda x: x['open_interest'], reverse=True)[:10]
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res_dict = {'volume': highest_volume, 'openInterest': highest_open_interest}
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save_json(res_dict, symbol,"json/hottest-contracts/companies")
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'''
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def get_hottest_contracts():
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counter = 0
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def get_hottest_contracts(base_dir="json/all-options-contracts"):
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"""
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Ranks option contracts by highest peak volume and highest latest open interest,
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and returns the top 10 contracts for each.
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"""
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top_by_volume = [] # Will store (peak_volume, contract_info) tuples
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top_by_open_interest = [] # Will store (latest_open_interest, contract_info) tuples
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def find_peak_volume(history_data):
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"""Find the highest single-day volume from history data, handling None values"""
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peak_volume = 0
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peak_date = None
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for entry in history_data:
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volume = entry['volume']
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if volume is not None and volume > peak_volume:
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peak_volume = volume
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peak_date = entry['date']
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return peak_volume
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def find_latest_open_interest(history_data):
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"""Find the most recent non-None open interest value from history data"""
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latest_open_interest = 0
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# Sort history data by date to ensure we get the latest value
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sorted_history = sorted(history_data, key=lambda x: x['date'], reverse=True)
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# Find the first non-None open interest value
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for entry in sorted_history:
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open_interest = entry.get('open_interest')
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if open_interest is not None:
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latest_open_interest = open_interest
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break
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return latest_open_interest
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def process_symbol(symbol):
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symbol_dir = os.path.join(base_dir, symbol)
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if not os.path.exists(symbol_dir):
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return
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# Process each contract file for this symbol
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for contract_file in os.listdir(symbol_dir):
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if not contract_file.endswith('.json'):
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continue
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try:
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file_path = os.path.join(symbol_dir, contract_file)
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with open(file_path, 'rb') as f:
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data = orjson.loads(f.read())
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if 'history' not in data:
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continue
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# Find peak volume
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peak_volume = find_peak_volume(data['history'])
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# Find latest open interest
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latest_open_interest = find_latest_open_interest(data['history'])
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contract_info = {'contract_id': os.path.splitext(contract_file)[0], 'peak_volume': peak_volume}
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# Add to top by volume list if it qualifies
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top_by_volume.append((peak_volume, contract_info))
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top_by_volume.sort(key=lambda x: x[0], reverse=True) # Sort by peak volume
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# Keep only top 10 by volume
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if len(top_by_volume) > 10:
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top_by_volume.pop()
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# Add to top by latest open interest list if it qualifies
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top_by_open_interest.append((latest_open_interest, contract_info))
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top_by_open_interest.sort(key=lambda x: x[0], reverse=True) # Sort by latest open interest
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# Keep only top 10 by open interest
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if len(top_by_open_interest) > 10:
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top_by_open_interest.pop()
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except Exception as e:
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print(f"Error processing {contract_file}: {e}")
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# Process each symbol directory
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total_symbols = ['AA']
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for symbol in tqdm(total_symbols):
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try:
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url = f"https://api.unusualwhales.com/api/stock/{symbol}/option-contracts"
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response = requests.get(url, headers=headers)
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if response.status_code == 200:
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data = response.json()['data']
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prepare_data(data, symbol)
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counter +=1
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# If 50 chunks have been processed, sleep for 60 seconds
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if counter == 260:
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print("Sleeping...")
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time.sleep(60)
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counter = 0
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process_symbol(symbol)
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except Exception as e:
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print(f"Error for {symbol}:{e}")
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print(f"Error processing symbol {symbol}: {e}")
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top_by_volume_contracts = [contract_info for _, contract_info in top_by_volume]
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top_by_open_interest_contracts = [contract_info for _, contract_info in top_by_open_interest]
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if __name__ == '__main__':
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prepare_data(top_by_volume_contracts, symbol)
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# Example usage
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if __name__ == "__main__":
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get_hottest_contracts()
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@ -222,21 +222,19 @@ async def prepare_dataset(symbol):
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async def main():
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'''
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total_symbols = get_tickers_from_directory()
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if len(total_symbols) < 3000:
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total_symbols = get_total_symbols()
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print(f"Number of tickers: {len(total_symbols)}")
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total_symbols = ['AA']
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for symbol in total_symbols:
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await prepare_dataset(symbol)
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'''
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symbol = 'AA'
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contract_list = get_contracts_from_directory(symbol)
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await get_price_batch_realtime(symbol, contract_list)
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for symbol in tqdm(total_symbols):
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try:
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contract_list = get_contracts_from_directory(symbol)
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if len(contract_list) > 0:
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await get_price_batch_realtime(symbol, contract_list)
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except:
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pass
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if __name__ == "__main__":
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asyncio.run(main())
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