140 lines
5.2 KiB
Python
140 lines
5.2 KiB
Python
from __future__ import print_function
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import asyncio
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import time
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from datetime import datetime, timedelta
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import orjson
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from tqdm import tqdm
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import sqlite3
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from dotenv import load_dotenv
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import os
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import re
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from statistics import mean
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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 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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async def main():
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with open(f"json/options-flow/feed/data.json", "r") as file:
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data = orjson.loads(file.read())
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total_symbols = get_total_symbols()
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for symbol in tqdm(total_symbols):
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try:
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call_premium = 0
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put_premium = 0
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call_open_interest = 0
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put_open_interest = 0
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call_volume = 0
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put_volume = 0
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bearish_premium = 0
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bullish_premium = 0
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neutral_premium = 0
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net_call_premium = 0
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net_put_premium = 0
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net_premium = 0
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for item in data:
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if item['ticker'] == symbol:
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if item['put_call'] == 'Calls':
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call_premium += item['cost_basis']
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call_open_interest += int(item['open_interest'])
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call_volume += int(item['volume'])
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elif item['put_call'] == 'Puts':
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put_premium += item['cost_basis']
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put_open_interest += int(item['open_interest'])
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put_volume += int(item['volume'])
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if item['sentiment'] == 'Bullish':
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bullish_premium +=item['cost_basis']
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if item['put_call'] == 'Calls':
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net_call_premium +=item['cost_basis']
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elif item['put_call'] == 'Puts':
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net_put_premium +=item['cost_basis']
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if item['sentiment'] == 'Bearish':
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bearish_premium +=item['cost_basis']
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if item['put_call'] == 'Calls':
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net_call_premium -=item['cost_basis']
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elif item['put_call'] == 'Puts':
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net_put_premium -=item['cost_basis']
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if item['sentiment'] == 'Neutral':
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neutral_premium +=item['cost_basis']
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with open(f"json/options-historical-data/companies/{symbol}.json", "r") as file:
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past_data = orjson.loads(file.read())[0]
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#previous_open_interest = past_data['total_open_interest']
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iv_rank = past_data['iv_rank']
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iv = past_data['iv']
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total_open_interest = call_open_interest+put_open_interest
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#changesPercentageOI = round((total_open_interest/previous_open_interest-1)*100, 2) if previous_open_interest > 0 else 0
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#changeOI = total_open_interest - previous_open_interest
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put_call_ratio = round(put_volume/call_volume,2) if call_volume > 0 else 0
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net_premium = net_call_premium + net_put_premium
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premium_ratio = [
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safe_round(bearish_premium),
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safe_round(neutral_premium),
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safe_round(bullish_premium)
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]
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aggregate = {
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"call_premium": round(call_premium,0),
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"call_open_interest": round(call_open_interest,0),
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"call_volume": round(call_volume,0),
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"put_premium": round(put_premium,0),
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"put_open_interest": round(put_open_interest,0),
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"put_volume": round(put_volume,0),
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"putCallRatio": round(put_volume/call_volume,0),
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"total_open_interest": round(total_open_interest,0),
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"iv": round(iv,2),
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"iv_rank": round(iv_rank,2),
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"putCallRatio": put_call_ratio,
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"premium_ratio": premium_ratio,
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"net_call_premium": round(net_call_premium),
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"net_put_premium": round(net_put_premium),
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"net_premium": round(net_premium),
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}
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if aggregate:
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save_json(aggregate, symbol)
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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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