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update cron job

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This commit is contained in:
MuslemRahimi 2024-07-03 20:51:21 +02:00
parent da209c8d92
commit d024f3b0d5
1 changed files with 23 additions and 21 deletions
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18
app/cron_options_net_flow.py
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@ -24,14 +24,13 @@ def calculate_moving_average(data, window_size):
moving_avg = (cumsum[window_size - 1:] - np.concatenate(([0], cumsum[:-window_size]))) / window_size moving_avg = (cumsum[window_size - 1:] - np.concatenate(([0], cumsum[:-window_size]))) / window_size
return moving_avg.tolist() return moving_avg.tolist()
def calculate_net_flow(data, window_size=100): def calculate_net_flow(data, window_size=20):
date_data = defaultdict(lambda: {'price': [], 'netCall': 0, 'netPut': 0}) date_data = defaultdict(lambda: {'price': [], 'netCall': 0, 'netPut': 0})
for item in data: for item in data:
date = item['date'] date = item['date']
try:
premium = float(item['cost_basis']) premium = float(item['cost_basis'])
#volume = int(item['volume'])
date_data[date]['price'].append(float(item['underlying_price'])) date_data[date]['price'].append(float(item['underlying_price']))
#date_data[date]['volume'] += volume #date_data[date]['volume'] += volume
@ -45,6 +44,9 @@ def calculate_net_flow(data, window_size=100):
date_data[date]['netPut'] -= premium date_data[date]['netPut'] -= premium
elif item['execution_estimate'] == 'AT_BID': elif item['execution_estimate'] == 'AT_BID':
date_data[date]['netPut'] += premium date_data[date]['netPut'] += premium
except:
pass
#volume = int(item['volume'])
# Calculate average underlying price and format the results # Calculate average underlying price and format the results
result = [] result = []
@ -91,7 +93,7 @@ def calculate_net_flow(data, window_size=100):
def get_data(symbol): def get_data(symbol):
try: try:
end_date = date.today() end_date = date.today()
start_date = end_date - timedelta(300) start_date = end_date - timedelta(200)
end_date_str = end_date.strftime('%Y-%m-%d') end_date_str = end_date.strftime('%Y-%m-%d')
start_date_str = start_date.strftime('%Y-%m-%d') start_date_str = start_date.strftime('%Y-%m-%d')
@ -105,13 +107,13 @@ def get_data(symbol):
except: except:
break break
res_filtered = [{key: value for key, value in item.items() if key in ['ticker','date','execution_estimate', 'underlying_price', 'put_call', 'cost_basis', 'volume']} for item in res_list] res_filtered = [{key: value for key, value in item.items() if key in ['ticker','date','execution_estimate', 'underlying_price', 'put_call', 'cost_basis']} for item in res_list]
#Save raw data for each ticker for options page stack bar chart #Save raw data for each ticker for options page stack bar chart
ticker_filtered_data = [entry for entry in res_filtered if entry['ticker'] == symbol] ticker_filtered_data = [entry for entry in res_filtered if entry['ticker'] == symbol]
if len(ticker_filtered_data) > 100: if len(ticker_filtered_data) > 100:
net_flow_data = calculate_net_flow(ticker_filtered_data, window_size=100) net_flow_data = calculate_net_flow(ticker_filtered_data)
if len(net_flow_data) > 0: if len(net_flow_data) > 0:
save_json(symbol, net_flow_data) save_json(symbol, net_flow_data)
@ -124,7 +126,7 @@ def get_data(symbol):
try: try:
stock_con = sqlite3.connect('stocks.db') stock_con = sqlite3.connect('stocks.db')
stock_cursor = stock_con.cursor() stock_cursor = stock_con.cursor()
stock_cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE marketCap > 500E6 AND symbol NOT LIKE '%.%'") stock_cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'")
stock_symbols = [row[0] for row in stock_cursor.fetchall()] stock_symbols = [row[0] for row in stock_cursor.fetchall()]
etf_con = sqlite3.connect('etf.db') etf_con = sqlite3.connect('etf.db')
@ -135,7 +137,7 @@ try:
stock_con.close() stock_con.close()
etf_con.close() etf_con.close()
total_symbols = stock_symbols #+ etf_symbols total_symbols = stock_symbols + etf_symbols
for symbol in tqdm(total_symbols): for symbol in tqdm(total_symbols):
get_data(symbol) get_data(symbol)