added first calcs for max_pain

piker/brokers/deribit/api.py

@@ -793,6 +793,9 @@ async def aio_open_interest_feed_relay(
     fh: FeedHandler,
     instruments: list,
     open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]],
+    losses_cache: dict[str, Decimal],
+    max_losses: Decimal,
+    max_pain: Decimal,
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
@@ -817,12 +820,13 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
+        nonlocal losses_cache
+        nonlocal max_losses
+        nonlocal max_pain
         nonlocal open_interests
-        print('>>>> Open Interest...')
-        print(oi)
         symbol: Symbol = str_to_cb_sym(oi.symbol)
         piker_sym: str = cb_sym_to_deribit_inst(symbol)
-        print(f'{piker_sym}')
+        data: dict = oi.raw['params']['data']
         (
             base,
             expiry_date,
@@ -836,24 +840,65 @@ async def aio_open_interest_feed_relay(
                 f'{strike_price}': {
                     'C': [],
                     'P': [],
+                    'strike_losses': Decimal(0),
                 }
             }
         if not f'{strike_price}' in open_interests[f'{expiry_date}']:
             open_interests[f'{expiry_date}'][f'{strike_price}'] = {
                 'C': [],
                 'P': [],
+                'strike_losses': Decimal(0),
             }
 
-        open_interests[f'{expiry_date}'][f'{strike_price}'][f'{option_type}'].append(
+        index_price: Decimal = data['index_price']
-            {f'{oi.timestamp}': oi.open_interest}
+        price_delta: Decimal = abs(index_price - Decimal(strike_price))
+        open_interest: Decimal = oi.open_interest
+
+        losses: Decimal = price_delta * open_interest
+
+        if not f'{strike_price}' in losses_cache:
+            losses_cache[f'{strike_price}'] = {
+                'C': Decimal(0),
+                'P': Decimal(0),
+            }
+
+        losses_cache[f'{strike_price}'][f'{option_type}'] = losses
+
+        strike_losses: Decimal = (
+            losses_cache[f'{strike_price}']['C']
+            +
+            losses_cache[f'{strike_price}']['P']
         )
-        print(f'open_interests:')
+
-        print(f'{open_interests}')
+        print(f'>>>> Open Interest...')
-        print(f'open_interests expiry dates: {len(open_interests)}')
+        print(f'max_losses: {max_losses}\n')
-        to_trio.send_nowait(('oi', oi))
+        print(f'max_pain: {max_pain}')
+        print('-----------------------------------------------')
+        open_interests[f'{expiry_date}'][f'{strike_price}'][f'{option_type}'] = {
+            'date': oi.timestamp,
+            'open_interest': open_interest, 
+            'index_price': index_price, 
+            'strike_price': strike_price,
+            'price_delta': price_delta,
+            'losses': losses, # this updates the global value call_losses and put_losses
+        }
+        # calculate with latest values stored in call_losses and put_losses global cache.
+        open_interests[f'{expiry_date}'][f'{strike_price}']['strike_losses'] = strike_losses
+
+        for strike in open_interests[f'{expiry_date}']:
+            if open_interests[f'{expiry_date}'][strike]['strike_losses'] > max_losses:
+                max_losses = open_interests[f'{expiry_date}'][strike]['strike_losses']
+                max_pain = strike
+                print('-----------------------------------------------')
+                print(f'strike_price: {strike_price}')
+                print(f'strike_losses: {open_interests[f'{expiry_date}'][strike]['strike_losses']}')
+                print(f'{pformat(open_interests[f'{expiry_date}'][strike])}')
+                print('-----------------------------------------------')
+
 
     channels = [TRADES, OPEN_INTEREST]
-    callbacks = {TRADES: _trade, OPEN_INTEREST: _oi}
+    callbacks={TRADES: _trade, OPEN_INTEREST: _oi}
+
     fh.add_feed(
         DERIBIT,
         channels=channels,
@@ -878,16 +923,22 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
 ) -> to_asyncio.LinkedTaskChannel:
 
+    expiry_date: str = '6DEC24'  # '6DEC24' '26SEP25' '27JUN25' '13DEC24'
     instruments: list[Symbol] = []
     async with get_client(
     ) as client:
         # to get all currencies available in deribit
         # currencies = await client.get_currencies()
         instruments = await client.get_instruments(
-            expiry_date='6DEC24'
+            expiry_date=expiry_date,
         )
-
+    losses_cache: dict[str, Decimal] = { # {'<strike_price>': <value>}
-    open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]] = {}
+        'C': Decimal(0),
+        'P': Decimal(0),
+    }
+    max_losses: Decimal = Decimal(0)
+    max_pain: Decimal = Decimal(0)
+    open_interests: dict[str, dict[str, dict[str, list[dict]]]] = {}
     fh: FeedHandler
     first: None
     chan: to_asyncio.LinkedTaskChannel
@@ -899,6 +950,9 @@ async def open_oi_feed(
                 fh,
                 instruments,
                 open_interests,
+                losses_cache,
+                max_losses,
+                max_pain,
             )
         ) as (first, chan)
     ):