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minor refactor 

cleaning the code
max_pain_deribit
Nelson Torres 2024-12-08 13:38:23 -03:00
parent 1ac643018a
commit 3526d5d564
1 changed files with 12 additions and 16 deletions
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24
max_pain.py
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@ -57,17 +57,15 @@ async def max_pain_daemon(
# an amount greater than zero. # an amount greater than zero.
total_intrinsic_value: Decimal = Decimal('Infinity') total_intrinsic_value: Decimal = Decimal('Infinity')
max_pain: Decimal = Decimal(0) max_pain: Decimal = Decimal(0)
intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list[str] = sorted(oi_by_strikes.keys())
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
call_cash: Decimal = Decimal(0) call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0) put_cash: Decimal = Decimal(0)
for close in closes: intrinsic_values: dict[str, dict[str, Decimal]] = {}
c: Decimal = Decimal(f'{close}') closes: list = sorted(Decimal(close) for close in oi_by_strikes)
call_cash += max(0, (s - c) * oi_by_strikes[f'{close}']['C'])
put_cash += max(0, (c - s) * oi_by_strikes[f'{close}']['P']) for strike, oi in oi_by_strikes.items():
s = Decimal(strike)
call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
intrinsic_values[strike] = { intrinsic_values[strike] = {
'C': call_cash, 'C': call_cash,
@ -75,10 +73,9 @@ async def max_pain_daemon(
'total': call_cash + put_cash, 'total': call_cash + put_cash,
} }
for strike in intrinsic_values: if intrinsic_values[strike]['total'] < total_intrinsic_value:
if intrinsic_values[f'{strike}']['total'] < total_intrinsic_value: total_intrinsic_value = intrinsic_values[strike]['total']
total_intrinsic_value = intrinsic_values[f'{strike}']['total'] max_pain = s
max_pain = strike\
return { return {
'timestamp': timestamp, 'timestamp': timestamp,
@ -87,7 +84,6 @@ async def max_pain_daemon(
'max_pain': max_pain, 'max_pain': max_pain,
} }
async with get_client( async with get_client(
) as client: ) as client:
instruments = await client.get_instruments( instruments = await client.get_instruments(