141 lines
4.6 KiB
Python
141 lines
4.6 KiB
Python
import aiohttp
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import asyncio
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import orjson
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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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load_dotenv()
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api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
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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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def save_json(data, symbol):
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directory = "json/options-stats/companies"
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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 safe_round(value):
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try:
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return round(float(value), 2)
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except (ValueError, TypeError):
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return value
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def calculate_neutral_premium(data_item):
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call_premium = float(data_item['call_premium'])
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put_premium = float(data_item['put_premium'])
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bearish_premium = float(data_item['bearish_premium'])
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bullish_premium = float(data_item['bullish_premium'])
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total_premiums = bearish_premium + bullish_premium
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observed_premiums = call_premium + put_premium
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neutral_premium = observed_premiums - total_premiums
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return safe_round(neutral_premium)
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def prepare_data(data):
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for item in data:
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try:
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symbol = item['ticker']
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bearish_premium = float(item['bearish_premium'])
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bullish_premium = float(item['bullish_premium'])
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neutral_premium = calculate_neutral_premium(item)
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new_item = {
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key: safe_round(value)
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for key, value in item.items()
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if key != 'in_out_flow'
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}
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new_item['premium_ratio'] = [
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safe_round(bearish_premium),
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neutral_premium,
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safe_round(bullish_premium)
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]
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new_item['open_interest_change'] = (
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new_item['total_open_interest'] -
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(new_item.get('prev_call_oi', 0) + new_item.get('prev_put_oi', 0))
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if 'total_open_interest' in new_item else None
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)
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if new_item:
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save_json(new_item, symbol)
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except:
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pass
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async def fetch_data(session, chunk):
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chunk_str = ",".join(chunk)
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url = "https://api.unusualwhales.com/api/screener/stocks"
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params = {"ticker": chunk_str}
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headers = {
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"Accept": "application/json, text/plain",
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"Authorization": api_key
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}
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try:
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async with session.get(url, headers=headers, params=params) as response:
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json_data = await response.json()
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data = json_data.get('data', [])
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prepare_data(data)
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print(f"Processed chunk with {len(data)} results.")
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except Exception as e:
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print(f"Exception fetching chunk {chunk_str}: {e}")
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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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print(f"Number of tickers: {len(total_symbols)}")
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chunk_size = 50
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chunks = [total_symbols[i:i + chunk_size] for i in range(0, len(total_symbols), chunk_size)]
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async with aiohttp.ClientSession() as session:
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for i in range(0, len(chunks), 100): # Process 100 chunks at a time
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try:
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tasks = [fetch_data(session, chunk) for chunk in chunks[i:i + 100]]
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await asyncio.gather(*tasks)
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print("Processed 100 chunks. Sleeping for 60 seconds...")
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await asyncio.sleep(60) # Avoid API rate limits
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except:
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pass
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if __name__ == "__main__":
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asyncio.run(main())
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