From b89a46a98ea48c9aabced176d0b245dfbffed77b Mon Sep 17 00:00:00 2001 From: MuslemRahimi Date: Fri, 24 Jan 2025 12:52:35 +0100 Subject: [PATCH] bugfixing --- app/cron_options_stats.py | 97 ++++++++++++++++++++++++--------------- 1 file changed, 61 insertions(+), 36 deletions(-) diff --git a/app/cron_options_stats.py b/app/cron_options_stats.py index 544c273..2fe6a9a 100644 --- a/app/cron_options_stats.py +++ b/app/cron_options_stats.py @@ -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())