update cron jobs
This commit is contained in:
MuslemRahimi
parent
d9364bcbc8
commit
f3b842e033
@ -29,29 +29,42 @@ def save_json(data, symbol):
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with open(f"{directory_path}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
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file.write(orjson.dumps(data))
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def safe_round(value, decimals=2):
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try:
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return round(float(value), decimals)
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except (ValueError, TypeError):
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return value
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def calculate_iv_rank_for_all(data):
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# Extract all IV values
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iv_values = [entry['iv'] for entry in data if 'iv' in entry]
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if not iv_values:
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return None # No IV data available
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# Compute highest and lowest IV
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highest_iv = max(iv_values)
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lowest_iv = min(iv_values)
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# Calculate IV Rank for each entry
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for entry in data:
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if 'iv' in entry:
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iv = entry['iv']
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if highest_iv == lowest_iv:
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entry['iv_rank'] = 100.0 # If all IVs are the same, rank is 100%
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else:
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entry['iv_rank'] = round(((iv - lowest_iv) / (highest_iv - lowest_iv)) * 100,2)
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else:
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entry['iv_rank'] = None # Handle missing IV
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return data
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def prepare_data(data, symbol):
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res_list = []
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data = [entry for entry in data if entry['call_volume'] != 0 or entry['put_volume'] != 0]
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data = sorted(data, key=lambda x: x['date'])
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for i in range(1, len(data)):
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try:
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current_open_interest = data[i]['total_open_interest']
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previous_open_interest = data[i-1]['total_open_interest']
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changes_percentage_oi = round((current_open_interest/previous_open_interest -1)*100,2)
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data[i]['changesPercentageOI'] = changes_percentage_oi
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data[i]['changeOI'] = current_open_interest-previous_open_interest
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except:
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data[i]['changesPercentageOI'] = None
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data[i]['changeOI'] = None
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data = sorted(data, key=lambda x: x['date'], reverse=True)
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if data:
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save_json(data,symbol)
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'''
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start_date_str = data[-1]['date']
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end_date_str = data[0]['date']
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@ -63,6 +76,8 @@ def prepare_data(data, symbol):
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df_change_dict = df_price.set_index('date')['changesPercentage'].to_dict()
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df_close_dict = df_price.set_index('date')['close'].to_dict()
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res_list = []
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for item in data:
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try:
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# Round numerical and numerical-string values
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@ -74,47 +89,56 @@ def prepare_data(data, symbol):
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# Add parsed fields
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new_item['volume'] = round(new_item['call_volume'] + new_item['put_volume'], 2)
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new_item['putCallRatio'] = round(new_item['put_volume']/new_item['call_volume'],2)
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new_item['avgVolumeRatio'] = round(new_item['volume'] / (round(new_item['avg_30_day_call_volume'] + new_item['avg_30_day_put_volume'], 2)), 2)
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#new_item['avgVolumeRatio'] = round(new_item['volume'] / (round(new_item['avg_30_day_call_volume'] + new_item['avg_30_day_put_volume'], 2)), 2)
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new_item['total_premium'] = round(new_item['call_premium'] + new_item['put_premium'], 2)
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new_item['net_premium'] = round(new_item['net_call_premium'] - new_item['net_put_premium'],2)
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#new_item['net_premium'] = round(new_item['net_call_premium'] - new_item['net_put_premium'],2)
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new_item['total_open_interest'] = round(new_item['call_open_interest'] + new_item['put_open_interest'], 2)
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bearish_premium = float(item['bearish_premium'])
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bullish_premium = float(item['bullish_premium'])
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neutral_premium = calculate_neutral_premium(item)
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#bearish_premium = float(item['bearish_premium'])
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#bullish_premium = float(item['bullish_premium'])
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#neutral_premium = calculate_neutral_premium(item)
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'''
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new_item['premium_ratio'] = [
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safe_round(bearish_premium),
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neutral_premium,
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safe_round(bullish_premium)
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]
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'''
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# Add changesPercentage if the date exists in df_change_dict
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if item['date'] in df_change_dict:
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new_item['changesPercentage'] = df_change_dict[item['date']]
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new_item['changesPercentage'] = float(df_change_dict[item['date']])
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else:
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new_item['changesPercentage'] = None
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if item['date'] in df_close_dict:
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new_item['price'] = df_close_dict[item['date']]
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new_item['price'] = float(df_close_dict[item['date']])
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else:
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new_item['price'] = None
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res_list.append(new_item)
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except:
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pass
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except Exception as e:
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print(e)
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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]['total_open_interest']
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previous_open_interest = res_list[i-1]['total_open_interest']
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changes_percentage_oi = round((current_open_interest/previous_open_interest -1)*100,2)
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res_list[i]['changesPercentageOI'] = changes_percentage_oi
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res_list[i]['changeOI'] = current_open_interest-previous_open_interest
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except:
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res_list[i]['changesPercentageOI'] = None
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res_list[i]['changeOI'] = None
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res_list = sorted(res_list, key=lambda x: x['date'],reverse=True)
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if res_list:
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save_json(res_list, symbol)
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'''
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def get_contracts_from_directory(directory: str):
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@ -137,9 +161,10 @@ def get_contracts_from_directory(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(total_symbols):
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data_by_date = defaultdict(lambda: {
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"date": "", # Add date field to the dictionary
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"date": "",
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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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@ -148,6 +173,8 @@ def aggregate_data_by_date(total_symbols):
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"call_net_premium": 0,
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"put_premium": 0,
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"put_net_premium": 0,
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"iv": 0, # Sum of implied volatilities
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"iv_count": 0, # Count of entries for IV
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})
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for symbol in tqdm(total_symbols):
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@ -164,49 +191,37 @@ def aggregate_data_by_date(total_symbols):
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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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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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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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volume = entry.get('volume', 0) or 0
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open_interest = entry.get('open_interest', 0) or 0
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total_premium = entry.get('total_premium', 0) or 0
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implied_volatility = entry.get('implied_volatility', 0) or 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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daily_data = data_by_date[date]
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daily_data["date"] = date
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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]["call_volume"] += int(volume)
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if open_interest is not None:
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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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daily_data["call_volume"] += int(volume)
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daily_data["call_open_interest"] += int(open_interest)
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daily_data["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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daily_data["put_volume"] += int(volume)
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daily_data["put_open_interest"] += int(open_interest)
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daily_data["put_premium"] += int(total_premium)
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daily_data["iv"] += round(implied_volatility, 2)
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daily_data["iv_count"] += 1
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try:
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data_by_date[date]["putCallRatio"] = round(data_by_date[date]["put_volume"]/data_by_date[date]["call_volume"],2)
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except:
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data_by_date[date]["putCallRatio"] = None
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data_by_date[date]["volume"] = data_by_date[date]["call_volume"] + data_by_date[date]["put_volume"]
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data_by_date[date]["total_open_interest"] = data_by_date[date]["call_open_interest"] + data_by_date[date]["put_open_interest"]
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daily_data["putCallRatio"] = round(daily_data["put_volume"] / daily_data["call_volume"], 2)
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except ZeroDivisionError:
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daily_data["putCallRatio"] = None
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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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@ -217,12 +232,19 @@ def aggregate_data_by_date(total_symbols):
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# Convert to list of dictionaries and sort by date
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data = list(data_by_date.values())
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for daily_data in data:
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# Compute the average IV if there are valid entries
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if daily_data["iv_count"] > 0:
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daily_data["iv"] = round(daily_data["iv"] / daily_data["iv_count"], 2)
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else:
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daily_data["iv"] = None # Or set it to 0 if you prefer
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data = sorted(data, key=lambda x: x['date'], reverse=True)
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data = calculate_iv_rank_for_all(data)
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data = prepare_data(data, symbol)
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if __name__ == '__main__':
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# Connect to the databases
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con = sqlite3.connect('stocks.db')
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@ -241,6 +263,7 @@ if __name__ == '__main__':
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total_symbols = stocks_symbols + etf_symbols
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total_symbols = ['AA']
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data = aggregate_data_by_date(total_symbols)
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@ -122,6 +122,9 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
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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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history = []
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if response and hasattr(response, '_prices'):
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for price in response._prices:
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history.append({
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@ -182,6 +185,7 @@ async def get_single_contract_eod_data(symbol, contract_id, semaphore):
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res_list[i]['net_premium'] = 0
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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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@ -1,13 +1,42 @@
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import aiohttp
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from __future__ import print_function
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import asyncio
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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 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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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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import sqlite3
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load_dotenv()
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api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
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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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source = ''
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show_stats = ''
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stock_price_source = ''
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model = ''
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show_extended_price = ''
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after = datetime.today().strftime('%Y-%m-%d')
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before = '2100-12-31'
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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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BATCH_SIZE = 1500
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# Database connection and symbol retrieval
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def get_total_symbols():
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@ -40,6 +69,18 @@ def get_tickers_from_directory():
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print(f"An error occurred: {e}")
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return []
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def get_contracts_from_directory(symbol):
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directory = f"json/all-options-contracts/{symbol}/"
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try:
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# Ensure the directory exists
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if not os.path.exists(directory):
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raise FileNotFoundError(f"The directory '{directory}' does not exist.")
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# Get all tickers from filenames
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return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
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except:
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return []
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def save_json(data, symbol):
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directory = "json/options-stats/companies"
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os.makedirs(directory, exist_ok=True)
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@ -54,86 +95,147 @@ def safe_round(value):
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return value
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def calculate_neutral_premium(data_item):
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call_premium = float(data_item['call_premium'])
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put_premium = float(data_item['put_premium'])
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bearish_premium = float(data_item['bearish_premium'])
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bullish_premium = float(data_item['bullish_premium'])
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def get_all_expirations(symbol):
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response = intrinio.OptionsApi().get_options_expirations_eod(
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symbol,
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after=after,
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before=before,
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include_related_symbols=include_related_symbols
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)
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data = (response.__dict__).get('_expirations')
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return data
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total_premiums = bearish_premium + bullish_premium
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observed_premiums = call_premium + put_premium
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neutral_premium = observed_premiums - total_premiums
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return safe_round(neutral_premium)
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def prepare_data(data):
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for item in data:
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async def get_options_chain(symbol, expiration, semaphore):
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async with semaphore:
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try:
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symbol = item['ticker']
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bearish_premium = float(item['bearish_premium'])
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bullish_premium = float(item['bullish_premium'])
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neutral_premium = calculate_neutral_premium(item)
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# Run the synchronous API call in a thread pool since intrinio doesn't support async
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loop = asyncio.get_event_loop()
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with ThreadPoolExecutor() as pool:
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response = await loop.run_in_executor(
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pool,
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lambda: intrinio.OptionsApi().get_options_chain_eod(
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symbol,
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expiration,
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include_related_symbols=include_related_symbols
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)
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)
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contracts = set()
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for item in response.chain:
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try:
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contracts.add(item.option.code)
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except Exception as e:
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print(f"Error processing contract in {expiration}: {e}")
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return contracts
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new_item = {
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key: safe_round(value)
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for key, value in item.items()
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if key != 'in_out_flow'
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except Exception as e:
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print(f"Error fetching chain for {expiration}: {e}")
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return set()
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async def get_price_batch_realtime(symbol,contract_list):
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body = {
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"contracts": contract_list
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}
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new_item['premium_ratio'] = [
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safe_round(bearish_premium),
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neutral_premium,
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safe_round(bullish_premium)
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]
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new_item['open_interest_change'] = (
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new_item['total_open_interest'] -
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(new_item.get('prev_call_oi', 0) + new_item.get('prev_put_oi', 0))
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if 'total_open_interest' in new_item else None
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)
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if new_item:
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save_json(new_item, symbol)
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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)
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data = response.__dict__
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data = data['_contracts']
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res_dict = {'total_premium': 0, 'call_premium': 0, 'put_premium': 0,
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'volume': 0, 'call_volume': 0, 'put_volume': 0, 'gex': 0, 'dex': 0,
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'total_open_interest': 0, 'call_open_interest': 0, 'put_open_interest': 0,}
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time = None
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iv_list = []
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for item in data:
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try:
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price_data = (item.__dict__)['_price'].__dict__
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stats_data = (item.__dict__)['_stats'].__dict__
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option_data = (item.__dict__)['_option'].__dict__
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option_type = ((item.__dict__)['_option'].__dict__)['_type']
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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
|
||||
|
||||
if option_type == 'call':
|
||||
res_dict['call_premium'] += premium
|
||||
res_dict['call_volume'] += volume
|
||||
res_dict['call_open_interest'] += total_open_interest
|
||||
else:
|
||||
res_dict['put_premium'] += premium
|
||||
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")
|
||||
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
|
||||
|
||||
async def fetch_data(session, chunk):
|
||||
chunk_str = ",".join(chunk)
|
||||
url = "https://api.unusualwhales.com/api/screener/stocks"
|
||||
params = {"ticker": chunk_str}
|
||||
headers = {
|
||||
"Accept": "application/json, text/plain",
|
||||
"Authorization": api_key
|
||||
}
|
||||
with open("json/options-historical-data/companies/AA.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']
|
||||
|
||||
try:
|
||||
async with session.get(url, headers=headers, params=params) as response:
|
||||
json_data = await response.json()
|
||||
data = json_data.get('data', [])
|
||||
prepare_data(data)
|
||||
print(f"Processed chunk with {len(data)} results.")
|
||||
except Exception as e:
|
||||
print(f"Exception fetching chunk {chunk_str}: {e}")
|
||||
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)
|
||||
|
||||
semaphore = asyncio.Semaphore(MAX_CONCURRENT_REQUESTS)
|
||||
|
||||
# Create tasks for all expirations
|
||||
tasks = [get_options_chain(symbol, expiration, semaphore) for expiration in expiration_list]
|
||||
# Show progress bar for completed tasks
|
||||
contract_sets = set()
|
||||
for task in tqdm(asyncio.as_completed(tasks), total=len(tasks), desc="Processing expirations"):
|
||||
contracts = await task
|
||||
contract_sets.update(contracts)
|
||||
|
||||
# Convert final set to list
|
||||
contract_list = list(contract_sets)
|
||||
|
||||
|
||||
async def main():
|
||||
'''
|
||||
total_symbols = get_tickers_from_directory()
|
||||
if len(total_symbols) < 3000:
|
||||
total_symbols = get_total_symbols()
|
||||
print(f"Number of tickers: {len(total_symbols)}")
|
||||
chunk_size = 50
|
||||
chunks = [total_symbols[i:i + chunk_size] for i in range(0, len(total_symbols), chunk_size)]
|
||||
|
||||
async with aiohttp.ClientSession() as session:
|
||||
for i in range(0, len(chunks), 100): # Process 100 chunks at a time
|
||||
try:
|
||||
tasks = [fetch_data(session, chunk) for chunk in chunks[i:i + 100]]
|
||||
await asyncio.gather(*tasks)
|
||||
print("Processed 100 chunks. Sleeping for 60 seconds...")
|
||||
await asyncio.sleep(60) # Avoid API rate limits
|
||||
except:
|
||||
pass
|
||||
total_symbols = ['AA']
|
||||
for symbol in total_symbols:
|
||||
await prepare_dataset(symbol)
|
||||
'''
|
||||
symbol = 'AA'
|
||||
contract_list = get_contracts_from_directory(symbol)
|
||||
|
||||
await get_price_batch_realtime(symbol, contract_list)
|
||||
|
||||
|
||||
if __name__ == "__main__":
|
||||
|
||||
22
app/test.py
22
app/test.py
@ -16,15 +16,17 @@ intrinio.ApiClient().allow_retries(True)
|
||||
|
||||
|
||||
|
||||
#identifier = 'AA250321C00045000'
|
||||
source = 'delayed'
|
||||
start_date = ''
|
||||
start_time = ''
|
||||
end_date = ''
|
||||
end_time = ''
|
||||
timezone = 'UTC'
|
||||
page_size = 100
|
||||
min_size = 100
|
||||
security = 'AAPL'
|
||||
next_page = ''
|
||||
|
||||
symbol = 'MSFT'
|
||||
strike = 95
|
||||
source = ''
|
||||
stock_price_source = ''
|
||||
model = ''
|
||||
show_extended_price = ''
|
||||
include_related_symbols = False
|
||||
|
||||
response = intrinio.OptionsApi().get_option_strikes_realtime(symbol, strike, source=source, stock_price_source=stock_price_source, model=model, show_extended_price=show_extended_price, include_related_symbols=include_related_symbols)
|
||||
response = intrinio.OptionsApi().get_option_trades(source=source, start_date=start_date, start_time=start_time, end_date=end_date, end_time=end_time, timezone=timezone, page_size=page_size, min_size=min_size, security=security, next_page=next_page)
|
||||
print(response)
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user