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bugfixing

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This commit is contained in:
MuslemRahimi 2025-01-24 12:52:35 +01:00
parent 8c3256fd18
commit b89a46a98e
1 changed files with 61 additions and 36 deletions
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97
app/cron_options_stats.py
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@ -133,42 +133,41 @@ async def get_options_chain(symbol, expiration, semaphore):
return set()
async def get_price_batch_realtime(symbol,contract_list):
async def get_price_batch_realtime(symbol, contract_list):
body = {
"contracts": contract_list
}
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)
data = response.__dict__
data = data['_contracts']
res_dict = {'total_premium': 0, 'call_premium': 0, 'put_premium': 0,
'volume': 0, 'call_volume': 0, 'put_volume': 0, 'gex': 0, 'dex': 0,
'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0,}
time = None
iv_list = []
res_dict = {
'total_premium': 0, 'call_premium': 0, 'put_premium': 0,
'volume': 0, 'call_volume': 0, 'put_volume': 0,
'gex': 0, 'dex': 0,
'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0,
'iv_list': [],
'time': None
}
for item in data:
try:
price_data = (item.__dict__)['_price'].__dict__
stats_data = (item.__dict__)['_stats'].__dict__
option_data = (item.__dict__)['_option'].__dict__
option_type = ((item.__dict__)['_option'].__dict__)['_type']
volume = int(price_data['_volume']) if price_data['_volume'] != None else 0
total_open_interest = int(price_data['_open_interest']) if price_data['_open_interest'] != None else 0
last_price = price_data['_last'] if price_data['_last'] != None else 0
premium = int(volume * last_price * 100)
implied_volatility = stats_data['_implied_volatility']
gamma = stats_data['_gamma'] if stats_data['_gamma'] != None else 0
delta = stats_data['_delta'] if stats_data['_delta'] != None else 0
res_dict['gex'] += gamma * total_open_interest * 100
res_dict['dex'] += delta * total_open_interest * 100
res_dict['total_premium'] += premium
res_dict['volume'] += volume
res_dict['total_open_interest'] += total_open_interest
@ -182,26 +181,13 @@ async def get_price_batch_realtime(symbol,contract_list):
res_dict['put_volume'] += volume
res_dict['put_open_interest'] += total_open_interest
iv_list.append(implied_volatility)
time = price_data['_ask_timestamp'].strftime("%Y-%m-%d")
res_dict['iv_list'].append(implied_volatility)
res_dict['time'] = price_data['_ask_timestamp'].strftime("%Y-%m-%d")
except:
pass
res_dict['iv'] = round((sum(iv_list) / len(iv_list)*100),2) if iv_list else 0
res_dict['putCallRatio'] = round(res_dict['put_volume'] / res_dict['call_volume'],2) if res_dict['call_volume'] > 0 else 0
with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file:
past_data = orjson.loads(file.read())
index = next((i for i, item in enumerate(past_data) if item['date'] == time), 0)
previous_open_interest = past_data[index]['total_open_interest']
return res_dict
res_dict['changesPercentageOI'] = round((res_dict['total_open_interest']/previous_open_interest-1)*100,2)
res_dict['changeOI'] = res_dict['total_open_interest'] - previous_open_interest
if res_dict:
save_json(res_dict, symbol)
async def prepare_dataset(symbol):
expiration_list = get_all_expirations(symbol)
@ -221,7 +207,6 @@ async def prepare_dataset(symbol):
async def main():
total_symbols = get_tickers_from_directory()
if len(total_symbols) < 3000:
total_symbols = get_total_symbols()
@ -231,12 +216,52 @@ async def main():
try:
contract_list = get_contracts_from_directory(symbol)
if len(contract_list) > 0:
if len(contract_list) > 250:
contract_list = contract_list[:250]
#to-do: intrinio allows only 250 contracts per batch. Need to consider all batches.
await get_price_batch_realtime(symbol, contract_list)
except:
pass
# Initialize aggregated results dictionary
aggregated_results = {
'total_premium': 0, 'call_premium': 0, 'put_premium': 0,
'volume': 0, 'call_volume': 0, 'put_volume': 0,
'gex': 0, 'dex': 0,
'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0,
'iv_list': [],
'time': None
}
# Process batches of 250 contracts
for i in range(0, len(contract_list), 250):
batch = contract_list[i:i+250]
batch_results = await get_price_batch_realtime(symbol, batch)
# Aggregate results
for key in ['total_premium', 'call_premium', 'put_premium',
'volume', 'call_volume', 'put_volume',
'gex', 'dex',
'total_open_interest', 'call_open_interest', 'put_open_interest']:
aggregated_results[key] += batch_results[key]
aggregated_results['iv_list'].extend(batch_results['iv_list'])
aggregated_results['time'] = batch_results['time']
# Calculate final metrics
aggregated_results['iv'] = round((sum(aggregated_results['iv_list']) / len(aggregated_results['iv_list'])*100), 2) if aggregated_results['iv_list'] else 0
aggregated_results['putCallRatio'] = round(aggregated_results['put_volume'] / aggregated_results['call_volume'], 2) if aggregated_results['call_volume'] > 0 else 0
# Load previous data and calculate changes
with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file:
past_data = orjson.loads(file.read())
index = next((i for i, item in enumerate(past_data) if item['date'] == aggregated_results['time']), 0)
previous_open_interest = past_data[index]['total_open_interest']
aggregated_results['changesPercentageOI'] = round((aggregated_results['total_open_interest']/previous_open_interest-1)*100, 2)
aggregated_results['changeOI'] = aggregated_results['total_open_interest'] - previous_open_interest
# Remove the temporary iv_list before saving
del aggregated_results['iv_list']
# Save aggregated results
save_json(aggregated_results, symbol)
except Exception as e:
print(f"Error processing {symbol}: {e}")
if __name__ == "__main__":
asyncio.run(main())