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bugfixing options data

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This commit is contained in:
MuslemRahimi 2024-09-08 17:38:46 +02:00
parent b146a93ddb
commit b4bd8a545f
1 changed files with 29 additions and 4 deletions
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33
app/cron_options_gex.py
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@ -4,6 +4,7 @@ from datetime import datetime, date, timedelta
import pandas as pd import pandas as pd
from benzinga import financial_data from benzinga import financial_data
import ujson import ujson
from collections import defaultdict
import sqlite3 import sqlite3
import os import os
from dotenv import load_dotenv from dotenv import load_dotenv
@ -222,6 +223,20 @@ def get_data(ticker):
break break
return res_list return res_list
# Define the keys to keep
keys_to_keep = {'time', 'sentiment', 'option_activity_type', 'price', 'underlying_price', 'cost_basis', 'strike_price', 'date', 'date_expiration', 'open_interest', 'put_call', 'volume'}
def filter_data(item):
# Filter the item to keep only the specified keys and format fields
filtered_item = {key: value for key, value in item.items() if key in keys_to_keep}
filtered_item['type'] = filtered_item['option_activity_type'].capitalize()
filtered_item['sentiment'] = filtered_item['sentiment'].capitalize()
filtered_item['underlying_price'] = round(float(filtered_item['underlying_price']), 2)
filtered_item['put_call'] = 'Calls' if filtered_item['put_call'] == 'CALL' else 'Puts'
return filtered_item
# Define date range # Define date range
end_date = date.today() end_date = date.today()
start_date = end_date - timedelta(180) start_date = end_date - timedelta(180)
@ -251,7 +266,7 @@ query_template = """
""" """
# Process each symbol # Process each symbol
for ticker in ['GME']: #total_symbols: for ticker in ['GME']: # total_symbols
try: try:
query = query_template.format(ticker=ticker) 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 = pd.read_sql_query(query, stock_con if ticker in stock_symbols else etf_con, params=(start_date_str, end_date_str)).round(2)
@ -260,16 +275,26 @@ for ticker in ['GME']: #total_symbols:
volatility = calculate_volatility(df_price) volatility = calculate_volatility(df_price)
ticker_data = get_data(ticker) ticker_data = get_data(ticker)
# Group ticker_data by 'date' and collect all items for each date
grouped_history = defaultdict(list)
for item in ticker_data:
filtered_item = filter_data(item)
grouped_history[filtered_item['date']].append(filtered_item)
daily_option_chain = summarize_option_chain_with_otm(ticker_data, df_price) daily_option_chain = summarize_option_chain_with_otm(ticker_data, df_price)
daily_option_chain = daily_option_chain.merge(df_price[['date', 'changesPercentage']], on='date', how='inner') daily_option_chain = daily_option_chain.merge(df_price[['date', 'changesPercentage']], on='date', how='inner')
# Add "history" column containing all filtered items with the same date
daily_option_chain['history'] = daily_option_chain['date'].apply(lambda x: grouped_history.get(x, []))
if not daily_option_chain.empty: if not daily_option_chain.empty:
save_json(ticker, daily_option_chain.to_dict('records'), 'json/options-chain/companies') save_json(ticker, daily_option_chain.to_dict('records'), 'json/options-chain/companies')
daily_gex = compute_daily_gex(ticker_data, volatility) daily_gex = compute_daily_gex(ticker_data, volatility)
daily_gex = daily_gex.merge(df_price[['date', 'close']], on='date', how='inner') daily_gex = daily_gex.merge(df_price[['date', 'close']], on='date', how='inner')
if not daily_gex.empty: if not daily_gex.empty:
save_json(ticker, daily_gex.to_dict('records'),'json/options-gex/companies') save_json(ticker, daily_gex.to_dict('records'), 'json/options-gex/companies')
except Exception as e: except Exception as e:
print(e) print(e)
@ -277,4 +302,4 @@ for ticker in ['GME']: #total_symbols:
# Close the database connection # Close the database connection
stock_con.close() stock_con.close()
etf_con.close() etf_con.close()