added first calcs for max_pain
parent
6e08c60d53
commit
5de14bc3f9
|
|
@ -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(
|
||||
{f'{oi.timestamp}': oi.open_interest}
|
||||
index_price: Decimal = data['index_price']
|
||||
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_interests expiry dates: {len(open_interests)}')
|
||||
to_trio.send_nowait(('oi', oi))
|
||||
|
||||
print(f'>>>> Open Interest...')
|
||||
print(f'max_losses: {max_losses}\n')
|
||||
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}
|
||||
|
||||
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,
|
||||
)
|
||||
|
||||
open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]] = {}
|
||||
losses_cache: dict[str, Decimal] = { # {'<strike_price>': <value>}
|
||||
'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)
|
||||
):
|
||||
|
|
|
|||
Loading…
Reference in New Issue