113 lines
3.5 KiB
Python
113 lines
3.5 KiB
Python
import requests
|
|
import orjson
|
|
import re
|
|
from datetime import datetime
|
|
from dotenv import load_dotenv
|
|
import os
|
|
import sqlite3
|
|
import time
|
|
from tqdm import tqdm
|
|
|
|
load_dotenv()
|
|
|
|
api_key = os.getenv('UNUSUAL_WHALES_API_KEY')
|
|
querystring = {"timeframe":"5Y"}
|
|
headers = {"Accept": "application/json, text/plain", "Authorization": api_key}
|
|
|
|
# Connect to the databases
|
|
con = sqlite3.connect('stocks.db')
|
|
etf_con = sqlite3.connect('etf.db')
|
|
cursor = con.cursor()
|
|
cursor.execute("PRAGMA journal_mode = wal")
|
|
#cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%' AND marketCap > 1E9")
|
|
cursor.execute("SELECT DISTINCT symbol FROM stocks WHERE symbol NOT LIKE '%.%'")
|
|
stocks_symbols = [row[0] for row in cursor.fetchall()]
|
|
|
|
etf_cursor = etf_con.cursor()
|
|
etf_cursor.execute("PRAGMA journal_mode = wal")
|
|
#etf_cursor.execute("SELECT DISTINCT symbol FROM etfs WHERE marketCap > 1E9")
|
|
etf_cursor.execute("SELECT DISTINCT symbol FROM etfs")
|
|
etf_symbols = [row[0] for row in etf_cursor.fetchall()]
|
|
|
|
con.close()
|
|
etf_con.close()
|
|
|
|
|
|
def get_tickers_from_directory(directory: str):
|
|
try:
|
|
# Ensure the directory exists
|
|
if not os.path.exists(directory):
|
|
raise FileNotFoundError(f"The directory '{directory}' does not exist.")
|
|
|
|
# Get all tickers from filenames
|
|
return [file.replace(".json", "") for file in os.listdir(directory) if file.endswith(".json")]
|
|
|
|
except Exception as e:
|
|
print(f"An error occurred: {e}")
|
|
return []
|
|
|
|
|
|
def save_json(data, symbol, directory_path):
|
|
os.makedirs(directory_path, exist_ok=True) # Ensure the directory exists
|
|
with open(f"{directory_path}/{symbol}.json", 'wb') as file: # Use binary mode for orjson
|
|
file.write(orjson.dumps(data))
|
|
|
|
|
|
def safe_round(value, decimals=2):
|
|
try:
|
|
return round(float(value), decimals)
|
|
except (ValueError, TypeError):
|
|
return value
|
|
|
|
|
|
def prepare_data(data, symbol, directory_path, sort_by = "date"):
|
|
res_list = []
|
|
for item in data:
|
|
try:
|
|
new_item = {
|
|
key: safe_round(value) if isinstance(value, (int, float, str)) else value
|
|
for key, value in item.items()
|
|
}
|
|
|
|
res_list.append(new_item)
|
|
except:
|
|
pass
|
|
|
|
if res_list:
|
|
res_list = sorted(res_list, key=lambda x: x[sort_by], reverse=True)
|
|
save_json(res_list, symbol, directory_path)
|
|
|
|
|
|
def get_iv_data():
|
|
print("Starting to download iv data...")
|
|
directory_path = "json/implied-volatility"
|
|
total_symbols = get_tickers_from_directory(directory_path)
|
|
if len(total_symbols) < 100:
|
|
total_symbols = stocks_symbols+etf_symbols
|
|
|
|
counter = 0
|
|
|
|
for symbol in tqdm(total_symbols):
|
|
try:
|
|
url = f"https://api.unusualwhales.com/api/stock/{symbol}/volatility/realized"
|
|
|
|
response = requests.get(url, headers=headers, params=querystring)
|
|
if response.status_code == 200:
|
|
data = response.json()['data']
|
|
prepare_data(data, symbol, directory_path)
|
|
|
|
counter +=1
|
|
|
|
# If 50 chunks have been processed, sleep for 60 seconds
|
|
if counter == 260:
|
|
print("Sleeping...")
|
|
time.sleep(60)
|
|
counter = 0
|
|
|
|
except Exception as e:
|
|
print(f"Error for {symbol}:{e}")
|
|
|
|
|
|
if __name__ == '__main__':
|
|
get_iv_data()
|