202 lines
7.4 KiB
Python
202 lines
7.4 KiB
Python
import requests
|
|
import orjson
|
|
import re
|
|
from datetime import datetime
|
|
from dotenv import load_dotenv
|
|
import os
|
|
import sqlite3
|
|
import time
|
|
from tqdm import tqdm
|
|
|
|
load_dotenv()
|
|
|
|
api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
|
|
headers = {"Accept": "application/json, text/plain", "Authorization": api_key}
|
|
|
|
# Connect to the databases
|
|
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 WHERE symbol NOT LIKE '%.%' AND marketCap > 1E9")
|
|
cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'")
|
|
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 WHERE marketCap > 1E9")
|
|
etf_cursor.execute("SELECT DISTINCT symbol FROM etfs")
|
|
etf_symbols = [row[0] for row in etf_cursor.fetchall()]
|
|
|
|
con.close()
|
|
etf_con.close()
|
|
|
|
|
|
def get_tickers_from_directory(directory: str):
|
|
try:
|
|
# Ensure the directory exists
|
|
if not os.path.exists(directory):
|
|
raise FileNotFoundError(f"The directory '{directory}' does not exist.")
|
|
|
|
# Get all tickers from filenames
|
|
return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
|
|
|
|
except Exception as e:
|
|
print(f"An error occurred: {e}")
|
|
return []
|
|
|
|
directory_path = "json/hottest-contracts/companies"
|
|
total_symbols = get_tickers_from_directory(directory_path)
|
|
|
|
if len(total_symbols) < 100:
|
|
total_symbols = stocks_symbols+etf_symbols
|
|
|
|
def save_json(data, symbol,directory="json/hottest-contracts/companies"):
|
|
os.makedirs(directory, exist_ok=True) # Ensure the directory exists
|
|
with open(f"{directory}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
|
|
file.write(orjson.dumps(data))
|
|
|
|
|
|
def parse_option_symbol(option_symbol):
|
|
# Define regex pattern to match the symbol structure
|
|
match = re.match(r"([A-Z]+)(\d{6})([CP])(\d+)", option_symbol)
|
|
if not match:
|
|
raise ValueError(f"Invalid option_symbol format: {option_symbol}")
|
|
|
|
ticker, expiration, option_type, strike_price = match.groups()
|
|
|
|
# Convert expiration to datetime
|
|
date_expiration = datetime.strptime(expiration, "%y%m%d").date()
|
|
|
|
# Convert strike price to float
|
|
strike_price = int(strike_price) / 1000
|
|
|
|
return date_expiration, option_type, strike_price
|
|
|
|
def safe_round(value, decimals=2):
|
|
try:
|
|
return round(float(value), decimals)
|
|
except (ValueError, TypeError):
|
|
return value
|
|
|
|
|
|
def prepare_data(data, symbol):
|
|
|
|
res_list = []
|
|
for item in data:
|
|
try:
|
|
if float(item['volume']) > 0:
|
|
# Parse option_symbol
|
|
date_expiration, option_type, strike_price = parse_option_symbol(item['option_symbol'])
|
|
|
|
# Round numerical and numerical-string values
|
|
new_item = {
|
|
key: safe_round(value) if isinstance(value, (int, float, str)) else value
|
|
for key, value in item.items()
|
|
}
|
|
|
|
# Add parsed fields
|
|
new_item['date_expiration'] = date_expiration
|
|
new_item['option_type'] = option_type
|
|
new_item['strike_price'] = strike_price
|
|
|
|
# Calculate open_interest_change
|
|
new_item['open_interest_change'] = safe_round(
|
|
new_item.get('open_interest', 0) - new_item.get('prev_oi', 0)
|
|
)
|
|
|
|
res_list.append(new_item)
|
|
except:
|
|
pass
|
|
|
|
if res_list:
|
|
highest_volume = sorted(res_list, key=lambda x: x['volume'], reverse=True)[:10]
|
|
highest_open_interest = sorted(res_list, key=lambda x: x['open_interest'], reverse=True)[:10]
|
|
res_dict = {'volume': highest_volume, 'openInterest': highest_open_interest}
|
|
save_json(res_dict, symbol,"json/hottest-contracts/companies")
|
|
|
|
|
|
def get_hottest_contracts():
|
|
counter = 0
|
|
for symbol in tqdm(total_symbols):
|
|
try:
|
|
|
|
url = f"https://api.unusualwhales.com/api/stock/{symbol}/option-contracts"
|
|
|
|
response = requests.get(url, headers=headers)
|
|
if response.status_code == 200:
|
|
data = response.json()['data']
|
|
prepare_data(data, symbol)
|
|
counter +=1
|
|
# If 50 chunks have been processed, sleep for 60 seconds
|
|
if counter == 100:
|
|
print("Sleeping...")
|
|
time.sleep(30) # Sleep for 60 seconds
|
|
counter = 0
|
|
|
|
except Exception as e:
|
|
print(f"Error for {symbol}:{e}")
|
|
|
|
|
|
def get_single_contract_historical_data(contract_id):
|
|
keys_to_remove = {'high_price', 'low_price', 'iv_low', 'iv_high', 'last_tape_time'}
|
|
|
|
url = f"https://api.unusualwhales.com/api/option-contract/{contract_id}/historic"
|
|
response = requests.get(url, headers=headers)
|
|
data = response.json()['chains']
|
|
data = sorted(data, key=lambda x: datetime.strptime(x.get('date', ''), '%Y-%m-%d'))
|
|
res_list = []
|
|
for i, item in enumerate(data):
|
|
new_item = {
|
|
key: safe_round(value) if isinstance(value, (int, float, str)) else value
|
|
for key, value in item.items()
|
|
}
|
|
|
|
# Compute open interest change and percent if not the first item
|
|
if i > 0:
|
|
previous_open_interest = safe_round(data[i-1].get('open_interest', 0))
|
|
open_interest = safe_round(item.get('open_interest', 0))
|
|
|
|
if previous_open_interest > 0:
|
|
new_item['open_interest_change'] = safe_round(open_interest - previous_open_interest)
|
|
new_item['open_interest_change_percent'] = safe_round((open_interest / previous_open_interest - 1) * 100)
|
|
else:
|
|
new_item['open_interest_change'] = 0
|
|
new_item['open_interest_change_percent'] = 0
|
|
|
|
res_list.append(new_item)
|
|
|
|
if res_list:
|
|
res_list = [{key: value for key, value in item.items() if key not in keys_to_remove} for item in res_list]
|
|
res_list = sorted(res_list, key=lambda x: datetime.strptime(x.get('date', ''), '%Y-%m-%d'), reverse=True)
|
|
|
|
save_json(res_list, contract_id,"json/hottest-contracts/contracts")
|
|
|
|
|
|
if __name__ == '__main__':
|
|
get_hottest_contracts()
|
|
|
|
'''
|
|
total_symbols = get_tickers_from_directory(directory_path)
|
|
|
|
contract_id_set = set() # Use a set to ensure uniqueness
|
|
for symbol in total_symbols:
|
|
try:
|
|
with open(f"json/hottest-contracts/companies/{symbol}.json", "r") as file:
|
|
data = orjson.loads(file.read())
|
|
for item in data:
|
|
try:
|
|
contract_id_set.add(item['option_symbol']) # Add to the set
|
|
except KeyError:
|
|
pass # Handle missing 'option_symbol' keys gracefully
|
|
except FileNotFoundError:
|
|
pass # Handle missing files gracefully
|
|
|
|
# Convert the set to a list if needed
|
|
contract_id_list = list(contract_id_set)
|
|
|
|
print(len(contract_id_list))
|
|
print(contract_id_list[0])
|
|
|
|
get_single_contract_historical_data('GME250117C00125000')
|
|
''' |