Update api.py

open_interest for each strike price and each expiry date

piker/brokers/deribit/api.py

@@ -788,6 +788,7 @@ async def maybe_open_price_feed(
 async def aio_open_interest_feed_relay(
     fh: FeedHandler,
     instruments: list,
+    open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]],
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
@@ -799,12 +800,6 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
 
         '''
-        # Get timestamp and convert it to isoformat
-        date = (datetime.utcfromtimestamp(trade.timestamp)).isoformat()
-        print('Trade...')
-        print(date)
-        print(trade)
-        print('=======================')
         to_trio.send_nowait(('trade', trade))
 
 	# trade and oi are user defined functions that
@@ -818,18 +813,46 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        # Get timestamp and convert it to isoformat
+        nonlocal open_interests
-        date = (datetime.utcfromtimestamp(oi.timestamp)).isoformat()
         print('>>>> Open Interest...')
-        print(date)
         print(oi)
-        print('==========================')
+        symbol: Symbol = str_to_cb_sym(oi.symbol)
+        piker_sym: str = cb_sym_to_deribit_inst(symbol)
+        print(f'{piker_sym}')
+        (
+            base,
+            expiry_date,
+            strike_price,
+            option_type
+        ) = tuple(
+            piker_sym.split('-')
+        )
+        if not f'{expiry_date}' in open_interests:
+            open_interests[f'{expiry_date}'] = {
+                f'{strike_price}': {
+                    'C': [],
+                    'P': [],
+                }
+            }
+        if not f'{strike_price}' in open_interests[f'{expiry_date}']:
+            open_interests[f'{expiry_date}'][f'{strike_price}'] = {
+                'C': [],
+                'P': [],
+            }
+
+        open_interests[f'{expiry_date}'][f'{strike_price}'][f'{option_type}'].append(
+            {f'{oi.timestamp}': oi.open_interest}
+        )
+        print(f'open_interests:')
+        print(f'{open_interests}')
+        print(f'open_interests expiry dates: {len(open_interests)}')
         to_trio.send_nowait(('oi', oi))
 
+    channels = [TRADES, OPEN_INTEREST]
     callbacks = {TRADES: _trade, OPEN_INTEREST: _oi}
     fh.add_feed(
         DERIBIT,
-        channels=[TRADES, OPEN_INTEREST],
+        channels=channels,
         symbols=instruments,
         callbacks=callbacks
     )
@@ -851,13 +874,14 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
 ) -> to_asyncio.LinkedTaskChannel:
 
-    instruments: list[Symbol]
+    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()
 
+    open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]] = {}
     fh: FeedHandler
     first: None
     chan: to_asyncio.LinkedTaskChannel
@@ -867,7 +891,8 @@ async def open_oi_feed(
             partial(
                 aio_open_interest_feed_relay,
                 fh,
-                instruments
+                instruments,
+                open_interests,
             )
         ) as (first, chan)
     ):