backup my code for later
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MuslemRahimi
parent
5a2ac87c4e
commit
c2e78604e9
@ -94,56 +94,89 @@ def get_contracts_from_directory(directory: str):
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def get_contracts_from_directory(directory):
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"""Retrieve a list of contract files from a directory."""
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return [f.split('.')[0] for f in os.listdir(directory) if f.endswith('.json')]
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def aggregate_data_by_date():
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total_symbols = ['AA']
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data_by_date = defaultdict(lambda: {"volume": 0, "open_interest": 0})
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contracts_processed = 0
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data_by_date = defaultdict(lambda: {
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"date": "", # Add date field to the dictionary
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"call_volume": 0,
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"put_volume": 0,
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"call_open_interest": 0,
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"put_open_interest": 0,
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"call_premium": 0,
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"put_premium": 0,
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})
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for symbol in tqdm(total_symbols, desc="Processing symbols"):
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for symbol in tqdm(total_symbols):
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try:
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contract_list = get_contracts_from_directory(f"json/all-options-contracts/{symbol}")
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contract_dir = f"json/all-options-contracts/{symbol}"
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if not os.path.exists(contract_dir):
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print(f"Directory does not exist: {contract_dir}")
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continue
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contract_list = get_contracts_from_directory(contract_dir)
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for item in tqdm(contract_list, desc=f"Processing {symbol} contracts", leave=False):
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try:
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with open(f"json/all-options-contracts/{symbol}/{item}.json", "r") as file:
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file_path = os.path.join(contract_dir, f"{item}.json")
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with open(file_path, "r") as file:
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data = orjson.loads(file.read())
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# Process historical data
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for entry in data.get('history', []):
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date = entry.get('date')
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volume = entry.get('volume')
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open_interest = entry.get('open_interest')
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if date:
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# Aggregate volume
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option_type = data.get('optionType', None)
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if option_type not in ['call', 'put']:
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continue
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for entry in data.get('history', []):
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date = entry.get('date')
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volume = entry.get('volume',0)
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open_interest = entry.get('open_interest',0)
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total_premium = entry.get('total_premium',0)
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print(total_premium)
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if volume is None:
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volume = 0
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if open_interest is None:
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open_interest = 0
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if total_premium is None:
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total_premium = 0
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if date:
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data_by_date[date]["date"] = date # Store the date in the dictionary
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if option_type == 'call':
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if volume is not None:
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data_by_date[date]["volume"] += int(volume)
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# Aggregate open interest
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data_by_date[date]["call_volume"] += int(volume)
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if open_interest is not None:
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data_by_date[date]["open_interest"] += int(open_interest)
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contracts_processed += 1
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data_by_date[date]["call_open_interest"] += int(open_interest)
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if total_premium is not None:
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data_by_date[date]["call_premium"] += int(total_premium)
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elif option_type == 'put':
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if volume is not None:
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data_by_date[date]["put_volume"] += int(volume)
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if open_interest is not None:
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data_by_date[date]["put_open_interest"] += int(open_interest)
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if total_premium is not None:
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data_by_date[date]["put_premium"] += int(total_premium)
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except Exception as e:
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print(f"Error processing contract {item} for {symbol}: {e}")
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continue
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except Exception as e:
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print(f"Error processing symbol {symbol}: {e}")
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continue
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# Convert to list of dictionaries and sort by date
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result = list(data_by_date.values())
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result.sort(key=lambda x: x['date'])
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# Sort results by date
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sorted_results = {date: metrics for date, metrics in sorted(data_by_date.items())}
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return sorted_results, contracts_processed
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return result
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if __name__ == '__main__':
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# Run the aggregation
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results, total_processed = aggregate_data_by_date()
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print("\nData by date:")
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for date, metrics in results.items():
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print(f"{date}: Volume = {metrics['volume']:,}, Open Interest = {metrics['open_interest']:,}")
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print(f"\nTotal contracts processed: {total_processed}")
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results = aggregate_data_by_date()
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print(results[-1])
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@ -7,11 +7,11 @@ from datetime import datetime, timedelta
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import ast
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import orjson
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from tqdm import tqdm
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from dotenv import load_dotenv
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import os
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import aiohttp
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from concurrent.futures import ThreadPoolExecutor
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import sqlite3
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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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@ -48,8 +48,8 @@ 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 = 20 # Adjust based on API rate limits
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BATCH_SIZE = 2000
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MAX_CONCURRENT_REQUESTS = 50 # 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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response = intrinio.OptionsApi().get_options_expirations_eod(
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@ -149,8 +149,17 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
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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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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]['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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data = {'expiration': key_data['_expiration'], 'strike': key_data['_strike'], 'optionType': key_data['_type'], 'history': history}
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data = {'expiration': key_data['_expiration'], 'strike': key_data['_strike'], 'optionType': key_data['_type'], 'history': res_list}
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await save_json(data, symbol, contract_id)
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except Exception as e:
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15
app/daily_options_volume.csv
Normal file
15
app/daily_options_volume.csv
Normal file
@ -0,0 +1,15 @@
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Expiration Date,Total Call Volume,Total Put Volume,Total Volume
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2025-01-24,2273.0,1846.0,4119.0
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2025-01-31,460.0,830.0,1290.0
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2025-02-07,117.0,193.0,310.0
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2025-02-14,191.0,76.0,267.0
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2025-02-21,637.0,340.0,977.0
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2025-02-28,73.0,61.0,134.0
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2025-03-21,516.0,189.0,705.0
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2025-04-17,4838.0,185.0,5023.0
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2025-06-20,535.0,1996.0,2531.0
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2025-07-18,86.0,191.0,277.0
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2025-09-19,478.0,388.0,866.0
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2026-01-16,1458.0,2072.0,3530.0
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2026-12-18,26.0,221.0,247.0
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2027-01-15,71.0,439.0,510.0
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23
app/test.py
23
app/test.py
@ -0,0 +1,23 @@
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from __future__ import print_function
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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 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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identifier = 'AA250321C00045000'
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next_page = ''
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response = intrinio.OptionsApi().get_options_prices_eod(identifier, next_page=next_page, )
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print(response)
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