bugfixing
This commit is contained in:
MuslemRahimi
parent
0a5ade85b9
commit
fd9b53e27c
@ -12,43 +12,31 @@ from functools import partial
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import asyncio
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import aiohttp
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today = datetime.today().date()
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load_dotenv()
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api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
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headers = {"Accept": "application/json, text/plain", "Authorization": api_key}
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# Connect to the databases
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con = sqlite3.connect('stocks.db')
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etf_con = sqlite3.connect('etf.db')
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cursor = con.cursor()
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cursor.execute("PRAGMA journal_mode = wal")
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#cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%' AND marketCap > 1E9")
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cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'")
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stocks_symbols = [row[0] for row in cursor.fetchall()]
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etf_cursor = etf_con.cursor()
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etf_cursor.execute("PRAGMA journal_mode = wal")
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#etf_cursor.execute("SELECT DISTINCT symbol FROM etfs WHERE marketCap > 1E9")
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etf_cursor.execute("SELECT DISTINCT symbol FROM etfs")
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etf_symbols = [row[0] for row in etf_cursor.fetchall()]
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con.close()
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etf_con.close()
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def get_tickers_from_directory(directory: str):
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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 Exception as e:
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print(f"An error occurred: {e}")
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return []
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@ -56,41 +44,26 @@ def get_tickers_from_directory(directory: str):
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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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directory_path = "json/hottest-contracts/companies"
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directory_path = "json/options-historical-data/companies"
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total_symbols = get_tickers_from_directory(directory_path)
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print(total_symbols)
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if len(total_symbols) < 100:
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total_symbols = stocks_symbols+etf_symbols
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def save_json(data, symbol,directory="json/hottest-contracts/companies"):
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os.makedirs(directory, exist_ok=True) # Ensure the directory exists
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with open(f"{directory}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
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def save_json(data, symbol, directory="json/hottest-contracts/companies"):
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os.makedirs(directory, exist_ok=True)
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with open(f"{directory}/{symbol}.json", 'wb') as file:
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file.write(orjson.dumps(data))
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def parse_option_symbol(option_symbol):
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# Define regex pattern to match the symbol structure
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match = re.match(r"([A-Z]+)(\d{6})([CP])(\d+)", option_symbol)
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if not match:
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raise ValueError(f"Invalid option_symbol format: {option_symbol}")
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ticker, expiration, option_type, strike_price = match.groups()
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# Convert expiration to datetime
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date_expiration = datetime.strptime(expiration, "%y%m%d").date()
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# Convert strike price to float
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strike_price = int(strike_price) / 1000
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return date_expiration, option_type, strike_price
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def safe_round(value, decimals=2):
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@ -99,16 +72,12 @@ def safe_round(value, decimals=2):
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except (ValueError, TypeError):
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return value
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def process_contract(item, symbol):
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"""Process a single contract and return its processed data."""
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try:
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with open(f"json/all-options-contracts/{symbol}/{item['contract_id']}.json", "r") as file:
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data = orjson.loads(file.read())
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history = data['history']
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latest_entry = history[-1]
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return {
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'option_symbol': item['contract_id'],
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'date_expiration': data['expiration'],
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@ -127,122 +96,77 @@ def process_contract(item, symbol):
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return None
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def prepare_data(highest_volume_list, highest_oi_list, symbol):
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"""Prepare and save options data for highest volume and open interest contracts."""
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# Process both lists in parallel using list comprehension
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highest_volume = [
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result for item in highest_volume_list
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if (result := process_contract(item, symbol)) is not None
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]
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highest_oi = [
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result for item in highest_oi_list
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if (result := process_contract(item, symbol)) is not None
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]
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highest_volume = []
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for item in highest_volume_list:
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result = process_contract(item, symbol)
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if result is not None:
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highest_volume.append(result)
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highest_oi = []
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for item in highest_oi_list:
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result = process_contract(item, symbol)
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if result is not None:
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highest_oi.append(result)
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res_dict = {'volume': highest_volume, 'openInterest': highest_oi}
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if highest_volume and highest_oi:
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if len(highest_volume) > 0 or len(highest_oi) > 0:
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save_json(res_dict, symbol, "json/hottest-contracts/companies")
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return res_dict
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def find_peak_volume(history_data):
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peak_volume = 0
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for entry in history_data:
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volume = entry['volume']
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if volume is not None and volume > peak_volume:
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peak_volume = volume
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return peak_volume
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def find_latest_open_interest(history_data):
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sorted_history = sorted(history_data, key=lambda x: x['date'], reverse=True)
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for entry in sorted_history:
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open_interest = entry.get('open_interest')
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if open_interest is not None:
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return open_interest
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return 0
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def get_hottest_contracts(base_dir="json/all-options-contracts"):
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"""
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Ranks option contracts by highest peak volume and highest latest open interest,
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and returns the top 10 contracts for each.
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"""
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top_by_volume = [] # Will store (peak_volume, contract_info) tuples
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top_by_open_interest = [] # Will store (latest_open_interest, contract_info) tuples
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def find_peak_volume(history_data):
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"""Find the highest single-day volume from history data, handling None values"""
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peak_volume = 0
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peak_date = None
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for entry in history_data:
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volume = entry['volume']
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if volume is not None and volume > peak_volume:
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peak_volume = volume
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peak_date = entry['date']
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return peak_volume
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def find_latest_open_interest(history_data):
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"""Find the most recent non-None open interest value from history data"""
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latest_open_interest = 0
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# Sort history data by date to ensure we get the latest value
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sorted_history = sorted(history_data, key=lambda x: x['date'], reverse=True)
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# Find the first non-None open interest value
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for entry in sorted_history:
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open_interest = entry.get('open_interest')
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if open_interest is not None:
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latest_open_interest = open_interest
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break
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return latest_open_interest
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def process_symbol(symbol):
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for symbol in tqdm(total_symbols):
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symbol_dir = os.path.join(base_dir, symbol)
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if not os.path.exists(symbol_dir):
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return
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# Process each contract file for this symbol
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continue
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top_by_volume = []
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top_by_open_interest = []
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for contract_file in os.listdir(symbol_dir):
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if not contract_file.endswith('.json'):
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continue
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try:
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file_path = os.path.join(symbol_dir, contract_file)
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with open(file_path, 'rb') as f:
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data = orjson.loads(f.read())
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if 'history' not in data:
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continue
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# Find peak volume
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peak_volume = find_peak_volume(data['history'])
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# Find latest open interest
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latest_open_interest = find_latest_open_interest(data['history'])
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contract_info = {'contract_id': os.path.splitext(contract_file)[0], 'peak_volume': peak_volume}
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# Add to top by volume list if it qualifies
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contract_info = {
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'contract_id': os.path.splitext(contract_file)[0],
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'peak_volume': peak_volume
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}
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top_by_volume.append((peak_volume, contract_info))
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top_by_volume.sort(key=lambda x: x[0], reverse=True) # Sort by peak volume
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# Keep only top 10 by volume
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if len(top_by_volume) > 10:
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top_by_volume.pop()
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# Add to top by latest open interest list if it qualifies
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top_by_open_interest.append((latest_open_interest, contract_info))
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top_by_open_interest.sort(key=lambda x: x[0], reverse=True) # Sort by latest open interest
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# Keep only top 10 by open interest
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if len(top_by_open_interest) > 10:
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top_by_open_interest.pop()
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except:
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pass
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for symbol in tqdm(total_symbols):
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try:
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process_symbol(symbol)
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top_by_volume_contracts = [contract_info for _, contract_info in top_by_volume]
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top_by_open_interest_contracts = [contract_info for _, contract_info in top_by_open_interest]
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# Sort and select top 10 for volume
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top_by_volume.sort(key=lambda x: x[0], reverse=True)
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top_volume_contracts = [contract_info for (pv, contract_info) in top_by_volume[:10]]
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prepare_data(top_by_volume_contracts, top_by_open_interest_contracts, symbol)
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# Sort and select top 10 for open interest
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top_by_open_interest.sort(key=lambda x: x[0], reverse=True)
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top_oi_contracts = [contract_info for (loi, contract_info) in top_by_open_interest[:10]]
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prepare_data(top_volume_contracts, top_oi_contracts, symbol)
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except:
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pass
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# Example usage
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if __name__ == "__main__":
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get_hottest_contracts()
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