109 lines
3.7 KiB
Python
109 lines
3.7 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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from concurrent.futures import ThreadPoolExecutor
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from functools import partial
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import asyncio
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import aiohttp
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today = datetime.today().date()
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load_dotenv()
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directory_path = "json/options-contract-lookup/companies"
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def get_contracts_from_directory(symbol):
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directory = f"json/all-options-contracts/{symbol}/"
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try:
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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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return []
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def save_json(data, symbol):
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os.makedirs(directory_path, exist_ok=True)
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with open(f"{directory_path}/{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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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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date_expiration = datetime.strptime(expiration, "%y%m%d").date()
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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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if __name__ == "__main__":
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# Connect to databases and fetch symbols
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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")
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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")
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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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index_symbols = ['^SPX','^VIX']
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total_symbols = stocks_symbols + etf_symbols + index_symbols
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# For testing
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#total_symbols = ['NVDA']
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for symbol in tqdm(total_symbols):
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res = {"Call": {}, "Put": {}}
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options_contracts = get_contracts_from_directory(symbol)
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if options_contracts:
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for option_symbol in options_contracts:
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try:
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date_expiration, option_type, strike_price = parse_option_symbol(option_symbol)
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except ValueError as e:
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print(e)
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continue # Skip symbols with incorrect format
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# Only include options whose expiration date is today or in the future
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if date_expiration >= today:
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date_str = date_expiration.strftime("%Y-%m-%d")
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if option_type == "C":
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if date_str not in res["Call"]:
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res["Call"][date_str] = []
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res["Call"][date_str].append(strike_price)
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elif option_type == "P":
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if date_str not in res["Put"]:
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res["Put"][date_str] = []
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res["Put"][date_str].append(strike_price)
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else:
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print(f"Unknown option type {option_type} for {option_symbol}")
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# Sort the strike prices for each expiration date
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for option_type in res:
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for date_str in res[option_type]:
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res[option_type][date_str].sort()
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# Sort the dictionary by expiration date
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res["Call"] = dict(sorted(res["Call"].items()))
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res["Put"] = dict(sorted(res["Put"].items()))
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if res:
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save_json(res, symbol)
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