add market makers endpoint & cron job

app/cron_market_maker.py

@@ -0,0 +1,129 @@
+import ujson
+import asyncio
+import aiohttp
+import sqlite3
+from tqdm import tqdm
+from datetime import datetime,timedelta
+import os
+from dotenv import load_dotenv
+from concurrent.futures import ThreadPoolExecutor
+from finra_api_queries import finra_api_queries
+
+# Load environment variables
+load_dotenv()
+api_key = os.getenv('FINRA_API_KEY')
+api_secret = os.getenv('FINRA_API_SECRET')
+api_token = finra_api_queries.retrieve_api_token(finra_api_key_input=api_key, finra_api_secret_input=api_secret)
+
+start_date = datetime.today() - timedelta(365)
+end_date = datetime.today() 
+start_date = start_date.strftime("%Y-%m-%d")
+end_date = end_date.strftime("%Y-%m-%d")
+
+dataset_name = "weekly_summary"
+filtered_columns_input = ['issueSymbolIdentifier', 'marketParticipantName', 'totalWeeklyTradeCount', 'totalWeeklyShareQuantity', 'totalNotionalSum', 'initialPublishedDate']
+date_filter_inputs = [{'startDate': start_date, 'endDate': end_date, 'fieldName': 'initialPublishedDate'}]
+
+
+def preserve_title_case(input_string):
+    # Convert the input string to title case
+    exceptions = ['LLC', 'LP', 'HRT', 'XTX', 'UBS']
+    title_case_string = input_string.title()
+
+    # Split the title case string into words
+    words = title_case_string.split()
+
+    # Check each word against the exceptions list and replace if necessary
+    for i, word in enumerate(words):
+        if word.upper() in exceptions:
+            words[i] = word.upper()
+
+    # Join the words back into a single string
+    result_string = ' '.join(words)
+    
+    return result_string.replace('And', '&')
+
+
+async def get_data(ticker):
+    try:
+        filters_input = {'issueSymbolIdentifier': [ticker]}
+
+        df = finra_api_queries.retrieve_dataset(
+            dataset_name,
+            api_token,
+            filtered_columns=filtered_columns_input,
+            filters = filters_input,
+            date_filter=date_filter_inputs)
+
+        df = df.rename(columns={"initialPublishedDate": "date","marketParticipantName": "name", "issueSymbolIdentifier": "symbol"})
+        df_copy = df.copy()
+        #Create new dataset for top 10 market makers with the highest activity
+        top_market_makers_df = df_copy.drop(['symbol','date'], axis=1)
+        top_market_makers_df = top_market_makers_df.groupby(['name']).mean().reset_index()
+        top_market_makers_df = top_market_makers_df.rename(columns={"totalWeeklyTradeCount": "avgWeeklyTradeCount","totalWeeklyShareQuantity": "avgWeeklyShareQuantity", "totalNotionalSum": "avgNotionalSum"})
+
+        top_market_makers_list = top_market_makers_df.to_dict('records')
+        top_market_makers_list = sorted(top_market_makers_list, key=lambda x: x['avgNotionalSum'], reverse=True)[0:10]
+        for item in top_market_makers_list:
+            item['name'] = preserve_title_case(item['name'])
+
+        #Create new dataset for historical movements
+
+        history_df = df_copy.drop(['symbol','name'], axis=1)
+        history_df = history_df.groupby(['date']).sum().reset_index()
+        history_data = history_df.to_dict('records')
+
+        return {'topMarketMakers': top_market_makers_list, 'history': history_data}
+
+    except Exception as e:
+        print(f"Error fetching data for {ticker}: {e}")
+        return {}
+
+async def save_json(symbol, data):
+    # Use async file writing to avoid blocking the event loop
+    loop = asyncio.get_event_loop()
+    path = f"json/market-maker/companies/{symbol}.json"
+    os.makedirs(os.path.dirname(path), exist_ok=True)
+    await loop.run_in_executor(None, ujson.dump, data, open(path, 'w'))
+
+async def process_ticker(ticker):
+    data = await get_data(ticker)
+    if len(data) > 0:
+        await save_json(ticker, data)
+
+async def run():
+    con = sqlite3.connect('stocks.db')
+    etf_con = sqlite3.connect('etf.db')
+
+    cursor = con.cursor()
+    cursor.execute("PRAGMA journal_mode = wal")
+    cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE marketCap >= 1E9 AND symbol NOT LIKE '%.%'")
+    stocks_symbols = [row[0] for row in cursor.fetchall()]
+
+    etf_cursor = etf_con.cursor()
+    etf_cursor.execute("PRAGMA journal_mode = wal")
+    etf_cursor.execute("SELECT DISTINCT symbol FROM etfs")
+    etf_symbols = [row[0] for row in etf_cursor.fetchall()]
+
+    con.close()
+    etf_con.close()
+
+    total_symbols = stocks_symbols #+ etf_symbols
+
+    async with aiohttp.ClientSession() as session:
+        tasks = []
+        for ticker in total_symbols:
+            tasks.append(process_ticker(ticker))
+        
+        # Run tasks concurrently in batches to avoid too many open connections
+        batch_size = 10  # Adjust based on your system's capacity
+        for i in tqdm(range(0, len(tasks), batch_size)):
+            batch = tasks[i:i + batch_size]
+            await asyncio.gather(*batch)
+
+
+if __name__ == "__main__":
+    try:
+        asyncio.run(run())
+    except Exception as e:
+        print(f"An error occurred: {e}")

app/main.py

@@ -2874,3 +2874,20 @@ async def get_dark_pool(data:TickerData):
     redis_client.set(cache_key, ujson.dumps(res))
     redis_client.expire(cache_key, 3600*3600)  # Set cache expiration time to 1 day
     return res
+
+@app.post("/market-maker")
+async def get_market_maker(data:TickerData):
+    ticker = data.ticker.upper()
+    cache_key = f"market-maker-{ticker}"
+    cached_result = redis_client.get(cache_key)
+    if cached_result:
+        return ujson.loads(cached_result)
+    try:
+        with open(f"json/market-maker/companies/{ticker}.json", 'r') as file:
+            res = ujson.load(file)
+    except:
+        res = {}
+
+    redis_client.set(cache_key, ujson.dumps(res))
+    redis_client.expire(cache_key, 3600*3600)  # Set cache expiration time to 1 day
+    return res

app/primary_cron_job.py

@@ -309,6 +309,17 @@ def run_dark_pool():
         ]
         subprocess.run(command)
 
+def run_market_maker():
+    week = datetime.today().weekday()
+    if week <= 5:
+        subprocess.run(["python3", "cron_market_maker.py"])
+        command = [
+            "sudo", "rsync", "-avz", "-e", "ssh",
+            "/root/backend/app/json/market-maker",
+            f"root@{useast_ip_address}:/root/backend/app/json"
+        ]
+        subprocess.run(command)
+
 # Create functions to run each schedule in a separate thread
 def run_threaded(job_func):
     job_thread = threading.Thread(target=job_func)
@@ -339,6 +350,9 @@ schedule.every().day.at("14:00").do(run_threaded, run_cron_var).tag('var_job')
 
 
 schedule.every().day.at("15:45").do(run_threaded, run_restart_cache)
+
+schedule.every().saturday.at("01:00").do(run_threaded, run_market_maker).tag('markt_maker_job')
+
 schedule.every(1).minutes.do(run_threaded, run_cron_portfolio).tag('portfolio_job')
 schedule.every(5).minutes.do(run_threaded, run_cron_market_movers).tag('market_movers_job')