From 93f83a218bb140e51bb8f914732cdd90466cbb9c Mon Sep 17 00:00:00 2001 From: MuslemRahimi Date: Sun, 26 Jan 2025 12:05:39 +0100 Subject: [PATCH] bugfixing unusual activity --- app/cron_unusual_activity.py | 2 +- app/test.py | 152 +++++++++++++++++++++++++++++++---- 2 files changed, 136 insertions(+), 18 deletions(-) diff --git a/app/cron_unusual_activity.py b/app/cron_unusual_activity.py index f12f4bf..224f544 100644 --- a/app/cron_unusual_activity.py +++ b/app/cron_unusual_activity.py @@ -100,7 +100,7 @@ async def get_data(symbol): trade_data = {key.lstrip('_'): value for key, value in trade_data.items()} option_symbol = trade_data['contract'].replace("___","").replace("__","").replace("_","") date_expiration, option_type, strike_price = parse_option_symbol(option_symbol) - if trade_data['underlying_price_at_execution'] > 0 and date_expiration >= datetime.today().date(): + if trade_data['underlying_price_at_execution'] > 0: #and date_expiration >= datetime.today().date(): res_list.append({'date': trade_data['timestamp'].strftime("%Y-%m-%d"), 'askprice': trade_data['ask_at_execution'], diff --git a/app/test.py b/app/test.py index f0f3c71..b1e7cc6 100644 --- a/app/test.py +++ b/app/test.py @@ -1,32 +1,150 @@ from __future__ import print_function +import asyncio 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 +import re + from dotenv import load_dotenv import os load_dotenv() + api_key = os.getenv('INTRINIO_API_KEY') - - intrinio.ApiClient().set_api_key(api_key) -intrinio.ApiClient().allow_retries(True) +# intrinio.ApiClient().allow_retries(True) +today = datetime.today() +start_date = (today - timedelta(150)).strftime("%Y-%m-%d") +end_date = (today + timedelta(30)).strftime("%Y-%m-%d") - - -source = 'delayed' -start_date = '' -start_time = '' -end_date = '' -end_time = '' -timezone = 'UTC' -page_size = 100 -min_size = 100 -security = 'AAPL' next_page = '' +page_size = 1000 +activity_type = '' +sentiment = '' +minimum_total_value = 0 +maximum_total_value = 2E10 -response = intrinio.OptionsApi().get_option_trades(source=source, start_date=start_date, start_time=start_time, end_date=end_date, end_time=end_time, timezone=timezone, page_size=page_size, min_size=min_size, security=security, next_page=next_page) -print(response) - \ No newline at end of file +# Database connection and symbol retrieval +def get_total_symbols(): + with sqlite3.connect('stocks.db') as con: + cursor = con.cursor() + cursor.execute("PRAGMA journal_mode = wal") + cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'") + stocks_symbols = [row[0] for row in cursor.fetchall()] + + with sqlite3.connect('etf.db') as etf_con: + etf_cursor = etf_con.cursor() + etf_cursor.execute("PRAGMA journal_mode = wal") + etf_cursor.execute("SELECT DISTINCT symbol FROM etfs") + etf_symbols = [row[0] for row in etf_cursor.fetchall()] + + return stocks_symbols + etf_symbols + + +def get_tickers_from_directory(): + directory = "json/options-historical-data/companies" + try: + # Ensure the directory exists + if not os.path.exists(directory): + raise FileNotFoundError(f"The directory '{directory}' does not exist.") + + # Get all tickers from filenames + return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")] + + except Exception as e: + print(f"An error occurred: {e}") + return [] + + +async def save_json(data, symbol): + directory = "json/unusual-activity" + os.makedirs(directory, exist_ok=True) + with open(f"{directory}/{symbol}.json", 'wb') as file: + file.write(orjson.dumps(data)) + + +def parse_option_symbol(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() + + # Convert strike price to float + strike_price = int(strike_price) / 1000 + + return date_expiration, option_type, strike_price + + +async def get_data(symbol): + response = intrinio.OptionsApi().get_unusual_activity_intraday( + symbol, + next_page=next_page, + page_size=page_size, + activity_type=activity_type, + sentiment=sentiment, + start_date=start_date, + end_date=end_date, + minimum_total_value=minimum_total_value, + maximum_total_value=maximum_total_value + ) + data = (response.__dict__['_trades']) + res_list = [] + if len(data) > 0: + for item in data: + try: + trade_data = item.__dict__ + trade_data = {key.lstrip('_'): value for key, value in trade_data.items()} + option_symbol = trade_data['contract'].replace("___", "").replace("__", "").replace("_", "") + date_expiration, option_type, strike_price = parse_option_symbol(option_symbol) + + res_list.append({ + 'date': trade_data['timestamp'].strftime("%Y-%m-%d"), + 'askprice': trade_data['ask_at_execution'], + 'bidPrice': trade_data['bid_at_execution'], + 'premium': trade_data['total_value'], + 'sentiment': trade_data['sentiment'].capitalize(), + 'avgPrice': trade_data['average_price'], + 'price': trade_data['underlying_price_at_execution'], + 'unusualType': trade_data['type'].capitalize(), + 'size': trade_data['total_size'], + 'optionSymbol': option_symbol, + 'strike': strike_price, + 'expiry': date_expiration.strftime("%Y-%m-%d"), + 'optionType': option_type.replace("P", "Put").replace("C", "Call") + }) + except Exception as e: + print(e) + + res_list = sorted(res_list, key=lambda x: x['date'], reverse=True) + res_list = [item for item in res_list if item['date'] == '2025-01-24'] + print(len(res_list)) + + +async def main(): + total_symbols = get_tickers_from_directory() + if len(total_symbols) < 3000: + total_symbols = get_total_symbols() + + for symbol in tqdm(['XLU']): + try: + data = await get_data(symbol) + except Exception as e: + print(f"Error processing {symbol}: {e}") + + +if __name__ == "__main__": + asyncio.run(main())