from __future__ import print_function import asyncio import time import intrinio_sdk as intrinio from intrinio_sdk.rest import ApiException from datetime import datetime, timedelta import ast import orjson from tqdm import tqdm import aiohttp from concurrent.futures import ThreadPoolExecutor import sqlite3 from dotenv import load_dotenv import os load_dotenv() api_key = os.getenv('INTRINIO_API_KEY') directory_path = "json/all-options-contracts" async def save_json(data, symbol, contract_id): directory_path = f"json/all-options-contracts/{symbol}" os.makedirs(directory_path, exist_ok=True) # Ensure the directory exists with open(f"{directory_path}/{contract_id}.json", 'wb') as file: # Use binary mode for orjson file.write(orjson.dumps(data)) def safe_round(value): try: return round(float(value), 2) except (ValueError, TypeError): return value class OptionsResponse: @property def chain(self): return self._chain class ChainItem: @property def prices(self): return self._prices def calculate_net_premium(ask_price, bid_price, ask_size, bid_size): """ Calculate the net premium from the ask and bid prices and sizes. If any value is None, it will be treated as 0. """ # Replace None with 0 for any of the values ask_price = ask_price if ask_price is not None else 0 bid_price = bid_price if bid_price is not None else 0 ask_size = ask_size if ask_size is not None else 0 bid_size = bid_size if bid_size is not None else 0 # Premium for call or put options ask_premium = ask_price * ask_size * 100 # Assuming 100 shares per contract bid_premium = bid_price * bid_size * 100 # Return the net premium (difference between received and paid) return ask_premium - bid_premium intrinio.ApiClient().set_api_key(api_key) #intrinio.ApiClient().allow_retries(True) after = datetime.today().strftime('%Y-%m-%d') before = '2100-12-31' N_year_ago = datetime.now() - timedelta(days=365) include_related_symbols = False page_size = 5000 MAX_CONCURRENT_REQUESTS = 50 # Adjust based on API rate limits BATCH_SIZE = 1500 def get_all_expirations(symbol): response = intrinio.OptionsApi().get_options_expirations_eod( symbol, after=after, before=before, include_related_symbols=include_related_symbols ) data = (response.__dict__).get('_expirations') return data async def get_options_chain(symbol, expiration, semaphore): async with semaphore: try: # Run the synchronous API call in a thread pool since intrinio doesn't support async loop = asyncio.get_event_loop() with ThreadPoolExecutor() as pool: response = await loop.run_in_executor( pool, lambda: intrinio.OptionsApi().get_options_chain_eod( symbol, expiration, include_related_symbols=include_related_symbols ) ) contracts = set() for item in response.chain: try: contracts.add(item.option.code) except Exception as e: print(f"Error processing contract in {expiration}: {e}") return contracts except Exception as e: print(f"Error fetching chain for {expiration}: {e}") return set() async def get_single_contract_eod_data(symbol, contract_id, semaphore): async with semaphore: try: loop = asyncio.get_event_loop() with ThreadPoolExecutor() as pool: # Fetch data using ThreadPoolExecutor response = await loop.run_in_executor( pool, lambda: intrinio.OptionsApi().get_options_prices_eod(identifier=contract_id) ) # Extract and process the response data key_data = {k: v for k, v in response._option.__dict__.items() if isinstance(v, (str, int, float, bool, list, dict, type(None)))} history = [] if response and hasattr(response, '_prices'): for price in response._prices: history.append({ k: v for k, v in price.__dict__.items() if isinstance(v, (str, int, float, bool, list, dict, type(None))) }) #clean the data history = [ {key.lstrip('_'): value for key, value in record.items() if key not in ('_close_time','_open_ask', '_ask_low','_close_size','_exercise_style','discriminator','_open_bid','_bid_low','_bid_high','_ask_high')} for record in history ] #ignore small volume and oi contracts to filter trash contracts... oh hi mark total_volume = sum(item['volume'] or 0 for item in history) total_open_interest = sum(item['open_interest'] or 0 for item in history) count = len(history) avg_volume = int(total_volume / count) if count > 0 else 0 avg_open_interest = int(total_open_interest / count) if count > 0 else 0 if avg_volume > 10 and avg_open_interest > 10: res_list = [] for item in history: try: new_item = { key: safe_round(value) for key, value in item.items() } res_list.append(new_item) except: pass res_list = sorted(res_list, key=lambda x: x['date']) for i in range(1, len(res_list)): try: current_open_interest = res_list[i]['open_interest'] previous_open_interest = res_list[i-1]['open_interest'] or 0 changes_percentage_oi = round((current_open_interest/previous_open_interest -1)*100,2) res_list[i]['changeOI'] = current_open_interest - previous_open_interest res_list[i]['changesPercentageOI'] = changes_percentage_oi except: res_list[i]['changeOI'] = None res_list[i]['changesPercentageOI'] = None for i in range(1,len(res_list)): try: volume = res_list[i]['volume'] avg_fill = res_list[i]['mark'] res_list[i]['gex'] = res_list[i]['gamma'] * res_list[i]['open_interest'] * 100 res_list[i]['dex'] = res_list[i]['delta'] * res_list[i]['open_interest'] * 100 res_list[i]['total_premium'] = int(avg_fill*volume*100) # Calculate the net premiums for call and put options #res_list[i]['net_premium'] = calculate_net_premium(res_list[i]['close_ask'], res_list[i]['close_bid'], res_list[i]['close_ask_size'], res_list[i]['close_bid_size']) except: res_list[i]['total_premium'] = 0 #res_list[i]['net_premium'] = 0 data = {'expiration': key_data['_expiration'], 'strike': key_data['_strike'], 'optionType': key_data['_type'], 'history': res_list} await save_json(data, symbol, contract_id) except Exception as e: print(f"Error fetching data for {contract_id}: {e}") return None async def get_data(symbol, expiration_list): # Use a semaphore to limit concurrent requests 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) return contract_list async def process_batch(symbol, batch, semaphore, pbar): tasks = [get_single_contract_eod_data(symbol, contract, semaphore) for contract in batch] results = [] for task in asyncio.as_completed(tasks): result = await task if result: results.append(result) pbar.update(1) return results async def process_contracts(symbol, contract_list): results = [] semaphore = asyncio.Semaphore(MAX_CONCURRENT_REQUESTS) # Calculate total batches for better progress tracking total_contracts = len(contract_list) total_batches = (total_contracts + BATCH_SIZE - 1) // BATCH_SIZE with tqdm(total=total_contracts, desc="Processing contracts") as pbar: for batch_num in range(total_batches): start_idx = batch_num * BATCH_SIZE batch = contract_list[start_idx:start_idx + BATCH_SIZE] print(f"\nProcessing batch {batch_num + 1}/{total_batches} ({len(batch)} contracts)") batch_start_time = time.time() # Process the batch concurrently batch_results = await process_batch(symbol, batch, semaphore, pbar) results.extend(batch_results) batch_time = time.time() - batch_start_time print(f"Batch completed in {batch_time:.2f} seconds") # Sleep between batches if not the last batch if batch_num < total_batches - 1: print(f"Sleeping for 60 seconds before next batch...") await asyncio.sleep(60) return results def get_total_symbols(): with sqlite3.connect('stocks.db') as con: cursor = con.cursor() cursor.execute("PRAGMA journal_mode = wal") cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'") stocks_symbols = [row[0] for row in cursor.fetchall()] with sqlite3.connect('etf.db') as etf_con: 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()] return stocks_symbols + etf_symbols async def main(): total_symbols = ['AA'] #get_total_symbols() for symbol in tqdm(total_symbols): try: print(f"==========Start Process for {symbol}==========") expiration_list = get_all_expirations(symbol) print(f"Found {len(expiration_list)} expiration dates") contract_list = await get_data(symbol,expiration_list) print(f"Unique contracts: {len(contract_list)}") results = await process_contracts(symbol, contract_list) except: pass if __name__ == "__main__": asyncio.run(main())