backend/app/cron_implied_volatility.py
2024-07-01 20:24:32 +02:00

95 lines
3.2 KiB
Python

import ujson
import asyncio
import aiohttp
import sqlite3
from datetime import datetime,timedelta
from tqdm import tqdm
import pandas as pd
import time
from dotenv import load_dotenv
import os
load_dotenv()
api_key = os.getenv('NASDAQ_API_KEY')
# Get today's date
today = datetime.today()
# Calculate the date six months ago
dates = [today - timedelta(days=i) for i in range(365)] #six months ago
date_str = ','.join(date.strftime('%Y-%m-%d') for date in dates)
async def save_json(symbol, data):
with open(f"json/implied-volatility/companies/{symbol}.json", 'w') as file:
ujson.dump(data, file)
# Function to filter the list
def filter_past_six_months(data):
filtered_data = []
for entry in data:
entry_date = datetime.strptime(entry['date'], '%Y-%m-%d')
if entry_date >= six_months_ago:
filtered_data.append(entry)
sorted_data = sorted(filtered_data, key=lambda x: datetime.strptime(x['date'], '%Y-%m-%d'))
return sorted_data
async def get_data(ticker_list):
ticker_str = ','.join(ticker_list)
async with aiohttp.ClientSession() as session:
url = url = f"https://data.nasdaq.com/api/v3/datatables/ORATS/OPT?date={date_str}&ticker={ticker_str}&api_key={api_key}"
async with session.get(url) as response:
if response.status == 200:
res = await response.json()
data = res['datatable']['data']
columns = res['datatable']['columns']
return data, columns
else:
return [], []
async def run():
con = sqlite3.connect('stocks.db')
etf_con = sqlite3.connect('etf.db')
cursor = con.cursor()
cursor.execute("PRAGMA journal_mode = wal")
cursor.execute("SELECT DISTINCT symbol FROM stocks")
stocks_symbols = [row[0] for row in cursor.fetchall()]
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()]
total_symbols = stocks_symbols+etf_symbols
chunk_size = len(total_symbols) // 70 # Divide the list into N chunks
chunks = [total_symbols[i:i + chunk_size] for i in range(0, len(total_symbols), chunk_size)]
for chunk in tqdm(chunks):
data, columns = await get_data(chunk)
transformed_data = []
for element in tqdm(data):
# Assuming the number of columns matches the length of each element in `data`
transformed_data.append({columns[i]["name"]: element[i] for i in range(len(columns))})
for symbol in chunk:
try:
filtered_data = [item for item in transformed_data if symbol == item['ticker']]
sorted_data = sorted(filtered_data, key=lambda x: datetime.strptime(x['date'], '%Y-%m-%d'))
if len(sorted_data) > 0:
await save_json(symbol, sorted_data)
except Exception as e:
print(e)
con.close()
etf_con.close()
try:
asyncio.run(run())
except Exception as e:
print(e)