151 lines
5.1 KiB
Python
151 lines
5.1 KiB
Python
from __future__ import print_function
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import asyncio
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import time
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import intrinio_sdk as intrinio
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from intrinio_sdk.rest import ApiException
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from datetime import datetime, timedelta
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import ast
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import orjson
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from tqdm import tqdm
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import aiohttp
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from concurrent.futures import ThreadPoolExecutor
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import sqlite3
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import re
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from dotenv import load_dotenv
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import os
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load_dotenv()
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api_key = os.getenv('INTRINIO_API_KEY')
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intrinio.ApiClient().set_api_key(api_key)
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# intrinio.ApiClient().allow_retries(True)
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today = datetime.today()
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start_date = (today - timedelta(150)).strftime("%Y-%m-%d")
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end_date = (today + timedelta(30)).strftime("%Y-%m-%d")
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next_page = ''
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page_size = 1000
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activity_type = ''
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sentiment = ''
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minimum_total_value = 0
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maximum_total_value = 2E10
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# Database connection and symbol retrieval
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def get_total_symbols():
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with sqlite3.connect('stocks.db') as con:
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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 '%.%'")
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stocks_symbols = [row[0] for row in cursor.fetchall()]
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with sqlite3.connect('etf.db') as etf_con:
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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")
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etf_symbols = [row[0] for row in etf_cursor.fetchall()]
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return stocks_symbols + etf_symbols
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def get_tickers_from_directory():
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directory = "json/options-historical-data/companies"
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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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async def save_json(data, symbol):
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directory = "json/unusual-activity"
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os.makedirs(directory, exist_ok=True)
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with open(f"{directory}/{symbol}.json", 'wb') as file:
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file.write(orjson.dumps(data))
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def parse_option_symbol(option_symbol):
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# Define regex pattern to match the symbol structure
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match = re.match(r"([A-Z]+)(\d{6})([CP])(\d+)", option_symbol)
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if not match:
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raise ValueError(f"Invalid option_symbol format: {option_symbol}")
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ticker, expiration, option_type, strike_price = match.groups()
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# Convert expiration to datetime
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date_expiration = datetime.strptime(expiration, "%y%m%d").date()
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# Convert strike price to float
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strike_price = int(strike_price) / 1000
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return date_expiration, option_type, strike_price
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async def get_data(symbol):
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response = intrinio.OptionsApi().get_unusual_activity_intraday(
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symbol,
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next_page=next_page,
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page_size=page_size,
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activity_type=activity_type,
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sentiment=sentiment,
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start_date=start_date,
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end_date=end_date,
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minimum_total_value=minimum_total_value,
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maximum_total_value=maximum_total_value
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)
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data = (response.__dict__['_trades'])
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res_list = []
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if len(data) > 0:
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for item in data:
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try:
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trade_data = item.__dict__
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trade_data = {key.lstrip('_'): value for key, value in trade_data.items()}
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option_symbol = trade_data['contract'].replace("___", "").replace("__", "").replace("_", "")
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date_expiration, option_type, strike_price = parse_option_symbol(option_symbol)
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res_list.append({
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'date': trade_data['timestamp'].strftime("%Y-%m-%d"),
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'askprice': trade_data['ask_at_execution'],
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'bidPrice': trade_data['bid_at_execution'],
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'premium': trade_data['total_value'],
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'sentiment': trade_data['sentiment'].capitalize(),
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'avgPrice': trade_data['average_price'],
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'price': trade_data['underlying_price_at_execution'],
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'unusualType': trade_data['type'].capitalize(),
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'size': trade_data['total_size'],
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'optionSymbol': option_symbol,
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'strike': strike_price,
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'expiry': date_expiration.strftime("%Y-%m-%d"),
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'optionType': option_type.replace("P", "Put").replace("C", "Call")
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})
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except Exception as e:
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print(e)
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res_list = sorted(res_list, key=lambda x: x['date'], reverse=True)
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res_list = [item for item in res_list if item['date'] == '2025-01-24']
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print(len(res_list))
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async def main():
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total_symbols = get_tickers_from_directory()
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if len(total_symbols) < 3000:
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total_symbols = get_total_symbols()
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for symbol in tqdm(['XLU']):
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try:
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data = await get_data(symbol)
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except Exception as e:
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print(f"Error processing {symbol}: {e}")
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if __name__ == "__main__":
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asyncio.run(main())
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