140 lines
4.4 KiB
Python
140 lines
4.4 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 sqlite3
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import time
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from tqdm import tqdm
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load_dotenv()
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api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
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querystring = {"timeframe":"5Y"}
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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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def save_json(data, symbol, directory_path):
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os.makedirs(directory_path, exist_ok=True) # Ensure the directory exists
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with open(f"{directory_path}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
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file.write(orjson.dumps(data))
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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 add_data(data, historical_data):
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res_list = []
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for item in data:
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date = item['date']
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for item2 in historical_data:
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try:
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if date == item2['date']:
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item['changesPercentage'] = item2['changesPercentage']
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item['putCallRatio'] = item2['putCallRatio']
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item['total_open_interest'] = item2['total_open_interest']
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item['changesPercentageOI'] = item2.get('changesPercentageOI',None)
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except:
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pass
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if 'changesPercentage' in item:
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res_list.append(item)
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return res_list
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def prepare_data(data, symbol, directory_path, sort_by = "date"):
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res_list = []
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for item in data:
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try:
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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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res_list.append(new_item)
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except:
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pass
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if res_list:
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data = sorted(res_list, key=lambda x: x[sort_by], reverse=True)
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with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file:
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historical_data = orjson.loads(file.read())
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res_list = add_data(data,historical_data)
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save_json(res_list, symbol, directory_path)
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def get_iv_data():
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print("Starting to download iv data...")
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directory_path = "json/implied-volatility"
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total_symbols = get_tickers_from_directory(directory_path)
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if len(total_symbols) < 100:
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total_symbols = stocks_symbols+etf_symbols
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counter = 0
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total_symbols = ['AMZN']
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for symbol in tqdm(total_symbols):
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try:
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url = f"https://api.unusualwhales.com/api/stock/{symbol}/volatility/realized"
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response = requests.get(url, headers=headers, params=querystring)
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if response.status_code == 200:
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data = response.json()['data']
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prepare_data(data, symbol, directory_path)
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counter +=1
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# If 50 chunks have been processed, sleep for 60 seconds
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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
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except Exception as e:
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print(f"Error for {symbol}:{e}")
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if __name__ == '__main__':
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get_iv_data()
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