126 lines
5.0 KiB
Python
126 lines
5.0 KiB
Python
import requests
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import orjson
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import re
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from datetime import datetime
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from dotenv import load_dotenv
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import os
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import time
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import asyncio
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import aiohttp
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from tqdm import tqdm
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today = datetime.today()
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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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keys_to_remove = {'high_price', 'low_price', 'iv_low', 'iv_high', 'last_tape_time'}
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def save_json(data, filename, directory):
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os.makedirs(directory, exist_ok=True)
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filepath = os.path.join(directory, f"{filename}.json")
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with open(filepath, 'wb') as file:
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file.write(orjson.dumps(data))
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def get_tickers_from_directory(directory: str):
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try:
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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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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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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 get_single_contract_historical_data(contract_id):
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keys_to_remove = {'high_price', 'low_price', 'iv_low', 'iv_high', 'last_tape_time'}
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url = f"https://api.unusualwhales.com/api/option-contract/{contract_id}/historic"
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response = requests.get(url, headers=headers)
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data = response.json()['chains']
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data = sorted(data, key=lambda x: datetime.strptime(x.get('date', ''), '%Y-%m-%d'))
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res_list = []
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for i, item in enumerate(data):
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new_item = {
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key: safe_round(value) if isinstance(value, (int, float, str)) else value
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for key, value in item.items()
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}
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# Compute open interest change and percent if not the first item
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if i > 0:
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previous_open_interest = safe_round(data[i-1].get('open_interest', 0))
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open_interest = safe_round(item.get('open_interest', 0))
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if previous_open_interest > 0:
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new_item['open_interest_change'] = safe_round(open_interest - previous_open_interest)
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new_item['open_interest_change_percent'] = safe_round((open_interest / previous_open_interest - 1) * 100)
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else:
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new_item['open_interest_change'] = 0
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new_item['open_interest_change_percent'] = 0
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res_list.append(new_item)
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if res_list:
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res_list = [{key: value for key, value in item.items() if key not in keys_to_remove} for item in res_list]
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res_list = sorted(res_list, key=lambda x: datetime.strptime(x.get('date', ''), '%Y-%m-%d'), reverse=True)
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save_json(res_list, contract_id,"json/hottest-contracts/contracts")
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if __name__ == '__main__':
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directory_path = "json/hottest-contracts/companies"
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total_symbols = get_tickers_from_directory(directory_path)
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contract_id_set = set() # Use a set to ensure uniqueness
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for symbol in total_symbols:
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try:
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with open(f"json/hottest-contracts/companies/{symbol}.json", "r") as file:
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data = orjson.loads(file.read())
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volume_list = data.get('volume',[])
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open_interest_list = data.get('openInterest',[])
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if len(volume_list) > 0:
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for item in volume_list:
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try:
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date_expiration = item.get('date_expiration',None)
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if date_expiration != None and datetime.strptime(date_expiration, "%Y-%m-%d") >=today:
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contract_id_set.add(item['option_symbol']) # Add to the set
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except Exception as e:
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print(e)
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if len(open_interest_list) > 0:
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for item in open_interest_list:
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try:
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date_expiration = item.get('date_expiration',None)
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if date_expiration != None and datetime.strptime(date_expiration, "%Y-%m-%d") >=today:
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contract_id_set.add(item['option_symbol']) # Add to the set
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except:
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pass
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except KeyboardInterrupt:
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print("\nProcess interrupted by user.")
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except:
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pass # Handle missing files gracefully
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# Convert the set to a list if needed
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contract_id_list = list(contract_id_set)
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print("Number of contract chains:", len(contract_id_list))
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counter = 0
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for item in tqdm(contract_id_list):
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try:
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get_single_contract_historical_data(item)
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except:
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pass
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# If 50 chunks have been processed, sleep for 60 seconds
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counter +=1
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if counter == 260:
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print("Sleeping...")
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time.sleep(60)
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counter = 0 |