bugfixing
This commit is contained in:
MuslemRahimi
parent
f937f3b3da
commit
bebb34c3e9
@ -61,14 +61,14 @@ def calculate_net_premium(ask_price, bid_price, ask_size, bid_size):
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return ask_premium - bid_premium
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intrinio.ApiClient().set_api_key(api_key)
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#intrinio.ApiClient().allow_retries(True)
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intrinio.ApiClient().allow_retries(True)
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after = datetime.today().strftime('%Y-%m-%d')
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before = '2100-12-31'
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N_year_ago = datetime.now() - timedelta(days=365)
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include_related_symbols = False
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page_size = 5000
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MAX_CONCURRENT_REQUESTS = 50 # Adjust based on API rate limits
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MAX_CONCURRENT_REQUESTS = 100 # Adjust based on API rate limits
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BATCH_SIZE = 1500
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def get_all_expirations(symbol):
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@ -103,51 +103,48 @@ async def get_options_chain(symbol, expiration, semaphore):
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print(f"Error processing contract in {expiration}: {e}")
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return contracts
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except Exception as e:
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print(f"Error fetching chain for {expiration}: {e}")
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except:
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return set()
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async def get_single_contract_eod_data(symbol, contract_id, semaphore):
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url = f"https://api-v2.intrinio.com/options/prices/{contract_id}/eod?api_key={api_key}"
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async with semaphore:
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try:
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loop = asyncio.get_event_loop()
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with ThreadPoolExecutor() as pool:
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# Fetch data using ThreadPoolExecutor
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response = await loop.run_in_executor(
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pool,
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lambda: intrinio.OptionsApi().get_options_prices_eod(identifier=contract_id)
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)
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async with aiohttp.ClientSession() as session:
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async with session.get(url) as response:
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if response.status != 200:
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print(f"Failed to fetch data for {contract_id}: {response.status}")
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return None
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response_data = await response.json()
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# Extract and process the response data
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key_data = {k: v for k, v in response._option.__dict__.items() if isinstance(v, (str, int, float, bool, list, dict, type(None)))}
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key_data = {k: v for k, v in response_data.get("option", {}).items() if isinstance(v, (str, int, float, bool, list, dict, type(None)))}
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history = []
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if response and hasattr(response, '_prices'):
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for price in response._prices:
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if "prices" in response_data:
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for price in response_data["prices"]:
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history.append({
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k: v for k, v in price.__dict__.items()
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if isinstance(v, (str, int, float, bool, list, dict, type(None)))
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k: v for k, v in price.items() if isinstance(v, (str, int, float, bool, list, dict, type(None)))
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})
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#clean the data
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# Clean the data
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history = [
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{key.lstrip('_'): value for key, value in record.items() if key not in ('_close_time','_open_ask', '_ask_low','_close_size','_exercise_style','discriminator','_open_bid','_bid_low','_bid_high','_ask_high')}
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{key.lstrip('_'): value for key, value in record.items() if key not in ('close_time', 'open_ask', 'ask_low', 'close_size', 'exercise_style', 'discriminator', 'open_bid', 'bid_low', 'bid_high', 'ask_high')}
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for record in history
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]
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#ignore small volume and oi contracts to filter trash contracts... oh hi mark
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total_volume = sum(item['volume'] or 0 for item in history)
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total_open_interest = sum(item['open_interest'] or 0 for item in history)
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# Ignore small volume and open interest contracts
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total_volume = sum(item.get('volume', 0) or 0 for item in history)
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total_open_interest = sum(item.get('open_interest', 0) or 0 for item in history)
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count = len(history)
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avg_volume = int(total_volume / count) if count > 0 else 0
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avg_open_interest = int(total_open_interest / count) if count > 0 else 0
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#filter out the trash
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if avg_volume > 10 and avg_open_interest > 10:
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res_list = []
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@ -162,36 +159,30 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
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pass
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res_list = sorted(res_list, key=lambda x: x['date'])
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for i in range(1, len(res_list)):
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try:
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current_open_interest = res_list[i]['open_interest']
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previous_open_interest = res_list[i-1]['open_interest'] or 0
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changes_percentage_oi = round((current_open_interest/previous_open_interest -1)*100,2)
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changes_percentage_oi = round((current_open_interest / previous_open_interest - 1) * 100, 2)
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res_list[i]['changeOI'] = current_open_interest - previous_open_interest
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res_list[i]['changesPercentageOI'] = changes_percentage_oi
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except:
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res_list[i]['changeOI'] = None
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res_list[i]['changesPercentageOI'] = None
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for i in range(1,len(res_list)):
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for i in range(1, len(res_list)):
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try:
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volume = res_list[i]['volume']
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avg_fill = res_list[i]['mark']
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res_list[i]['gex'] = res_list[i]['gamma'] * res_list[i]['open_interest'] * 100
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res_list[i]['dex'] = res_list[i]['delta'] * res_list[i]['open_interest'] * 100
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res_list[i]['total_premium'] = int(avg_fill*volume*100)
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# Calculate the net premiums for call and put options
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#res_list[i]['net_premium'] = calculate_net_premium(res_list[i]['close_ask'], res_list[i]['close_bid'], res_list[i]['close_ask_size'], res_list[i]['close_bid_size'])
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res_list[i]['total_premium'] = int(avg_fill * volume * 100)
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except:
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res_list[i]['total_premium'] = 0
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#res_list[i]['net_premium'] = 0
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data = {'expiration': key_data.get('expiration'), 'strike': key_data.get('strike'), 'optionType': key_data.get('type'), 'history': res_list}
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data = {'expiration': key_data['_expiration'], 'strike': key_data['_strike'], 'optionType': key_data['_type'], 'history': res_list}
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if data:
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await save_json(data, symbol, contract_id)
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@ -242,19 +233,16 @@ async def process_contracts(symbol, contract_list):
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with tqdm(total=total_contracts, desc="Processing contracts") as pbar:
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for batch_num in range(total_batches):
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start_idx = batch_num * BATCH_SIZE
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batch = contract_list[start_idx:start_idx + BATCH_SIZE]
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# Process the batch concurrently
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batch_results = await process_batch(symbol, batch, semaphore, pbar)
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results.extend(batch_results)
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'''
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# Sleep between batches if not the last batch
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if batch_num < total_batches - 1:
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print(f"Sleeping for 60 seconds before next batch...")
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await asyncio.sleep(60)
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'''
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try:
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start_idx = batch_num * BATCH_SIZE
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batch = contract_list[start_idx:start_idx + BATCH_SIZE]
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# Process the batch concurrently
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batch_results = await process_batch(symbol, batch, semaphore, pbar)
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results.extend(batch_results)
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except:
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pass
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return results
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@ -343,18 +331,9 @@ async def main():
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total_symbols = get_tickers_from_directory(directory_path)
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if len(total_symbols) < 2000:
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total_symbols = get_total_symbols()
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for symbol in tqdm(total_symbols):
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await process_symbol(symbol)
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# Split the symbols into chunks of 2
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for i in tqdm(range(0, len(total_symbols), 2)):
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symbols_chunk = total_symbols[i:i+2]
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# Run the symbols in the chunk concurrently
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await asyncio.gather(*[process_symbol(symbol) for symbol in symbols_chunk])
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# Example usage
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if __name__ == "__main__":
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asyncio.run(main())
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if __name__ == "__main__":
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asyncio.run(main())
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@ -79,6 +79,7 @@ def run_options_stats():
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hour = now.hour
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if week <= 4 and 9 <= hour <= 16:
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run_command(["python3", "cron_options_stats.py"])
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run_command(["python3", "cron_unusual_activity.py"])
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def run_dark_pool_level():
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now = datetime.now(ny_tz)
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@ -101,8 +102,8 @@ def run_options_jobs():
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run_command(["python3", "cron_options_single_contract.py"])
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run_command(["python3", "cron_options_historical_volume.py"])
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run_command(["python3", "cron_options_hottest_contracts.py"])
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run_command(["python3", "cron_options_oi.py"])
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run_command(["python3", "cron_implied_volatility.py"])
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run_command(["python3", "cron_options_oi.py"])
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'''
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run_command(["python3", "cron_options_gex_dex.py"])
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'''
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@ -421,7 +422,7 @@ schedule.every(1).hours.do(run_threaded, run_company_news).tag('company_news_job
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schedule.every(3).hours.do(run_threaded, run_press_releases).tag('press_release_job')
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schedule.every(20).minutes.do(run_threaded, run_options_stats).tag('options_stats_job')
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schedule.every(30).minutes.do(run_threaded, run_options_stats).tag('options_stats_job')
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schedule.every(5).minutes.do(run_threaded, run_market_flow).tag('market_flow_job')
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schedule.every(5).minutes.do(run_threaded, run_list).tag('stock_list_job')
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