update unusual activity
This commit is contained in:
MuslemRahimi
parent
e0d87557a9
commit
abb3951e0d
@ -1,8 +1,5 @@
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from __future__ import print_function
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import asyncio
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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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from datetime import datetime, timedelta
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import ast
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import orjson
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@ -11,27 +8,8 @@ import aiohttp
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from concurrent.futures import ThreadPoolExecutor
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import sqlite3
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import re
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from dotenv import load_dotenv
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import os
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load_dotenv()
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api_key = os.getenv('INTRINIO_API_KEY')
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intrinio.ApiClient().set_api_key(api_key)
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#intrinio.ApiClient().allow_retries(True)
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today = datetime.today()
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start_date = (today - timedelta(150)).strftime("%Y-%m-%d")
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end_date = (today + timedelta(30)).strftime("%Y-%m-%d")
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next_page = ''
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page_size = 1000
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activity_type = ''
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sentiment = ''
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minimum_total_value = 1E6
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maximum_total_value = 2E10
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# Database connection and symbol retrieval
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@ -51,21 +29,6 @@ def get_total_symbols():
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return stocks_symbols + etf_symbols
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def get_tickers_from_directory():
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directory = "json/options-historical-data/companies"
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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 Exception as e:
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print(f"An error occurred: {e}")
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return []
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async def save_json(data, symbol):
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directory = "json/unusual-activity"
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os.makedirs(directory, exist_ok=True)
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@ -73,68 +36,80 @@ async def save_json(data, symbol):
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file.write(orjson.dumps(data))
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def parse_option_symbol(option_symbol):
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# Define regex pattern to match the symbol structure
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match = re.match(r"([A-Z]+)(\d{6})([CP])(\d+)", option_symbol)
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if not match:
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raise ValueError(f"Invalid option_symbol format: {option_symbol}")
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ticker, expiration, option_type, strike_price = match.groups()
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# Convert expiration to datetime
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date_expiration = datetime.strptime(expiration, "%y%m%d").date()
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# Convert strike price to float
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strike_price = int(strike_price) / 1000
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async def get_dataset():
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today = datetime.today()
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start_date = today - timedelta(days=365)
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date_list = [(start_date + timedelta(days=i)).strftime("%Y-%m-%d") for i in range(365)]
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return date_expiration, option_type, strike_price
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unique_data = {}
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for date in tqdm(date_list):
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try:
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with open(f"json/options-historical-data/flow-data/{date}.json", "r") as file:
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data = orjson.loads(file.read())
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data = [item for item in data if item['cost_basis'] >=1E6]
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for item in data:
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if "id" in item:
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unique_data[item["id"]] = item # Store unique items based on "id"
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except:
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pass
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try:
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with open(f"json/options-flow/feed/data.json", "r") as file:
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data = orjson.loads(file.read())
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data = [item for item in data if item['cost_basis'] >=1E6]
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for item in data:
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if "id" in item:
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unique_data[item["id"]] = item
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except:
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pass
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all_data = list(unique_data.values()) # Convert back to a list
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return all_data
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async def get_data(symbol, data):
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async def get_data(symbol):
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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)
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data = (response.__dict__['_trades'])
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res_list = []
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if len(data) > 0:
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for item in data:
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try:
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trade_data = item.__dict__
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trade_data = {key.lstrip('_'): value for key, value in trade_data.items()}
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option_symbol = trade_data['contract'].replace("___","").replace("__","").replace("_","")
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date_expiration, option_type, strike_price = parse_option_symbol(option_symbol)
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if trade_data['underlying_price_at_execution'] > 0: #and date_expiration >= datetime.today().date():
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res_list.append({'date': trade_data['timestamp'].strftime("%Y-%m-%d"),
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'askprice': trade_data['ask_at_execution'],
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'bidPrice': trade_data['bid_at_execution'],
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'premium': trade_data['total_value'],
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'sentiment': trade_data['sentiment'].capitalize(),
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'avgPrice': trade_data['average_price'],
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'price': trade_data['underlying_price_at_execution'],
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'unusualType': trade_data['type'].capitalize(),
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'size': trade_data['total_size'],
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'optionSymbol': option_symbol,
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'strike': strike_price,
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'expiry': date_expiration.strftime("%Y-%m-%d"),
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'optionType': option_type.replace("P","Put").replace("C","Call")
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if item['ticker'] == symbol:
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res_list.append({
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'date': item['date'],
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'premium': item['cost_basis'],
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'sentiment': item['sentiment'],
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'executionEst': item['execution_estimate'],
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'price': item['underlying_price'],
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'unusualType': item['option_activity_type'],
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'size': item['size'],
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'oi': item['open_interest'],
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'optionSymbol': item['option_symbol'],
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'strike': item['strike_price'],
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'expiry': item['date_expiration'],
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'optionType': item['put_call'],
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})
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except:
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pass
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except Exception as e:
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print(e)
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res_list = sorted(res_list, key=lambda x: x['date'], reverse=True)
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if res_list:
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await save_json(res_list, symbol)
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res_list = sorted(res_list, key=lambda x: x['date'], reverse=True)
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if res_list:
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await save_json(res_list, symbol)
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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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total_symbols = get_total_symbols()
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print(f"Number of tickers: {len(total_symbols)}")
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total_symbols = get_total_symbols()
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data = await get_dataset()
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for symbol in tqdm(total_symbols):
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try:
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data = await get_data(symbol)
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await get_data(symbol, data)
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except Exception as e:
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print(f"Error processing {symbol}: {e}")
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if __name__ == "__main__":
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asyncio.run(main())
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