Max pain daemon:
- To calculate the `max_pain` first we need an expiration date, get_expiration_dates()` retrieves them and the user then enters one of the shown, then using the select expiry_date on `get_instruments()` we are good to build the `oi_by_strikes` important! - Add `update_oi_by_strikes()`. - Add `check_if_complete()`. - `get_max_pain()`: here's where all the action takes place, the `oi_by_strikes` must be complete to start the calculations, - Use `maybe_open_oi_feed` for open a oi_feed. - Add `max_pain_readme.rst`
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#!/usr/bin/env python
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from decimal import (
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Decimal,
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)
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import trio
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import tractor
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from datetime import datetime
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from pprint import pformat
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from piker.brokers.deribit.api import (
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get_client,
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maybe_open_oi_feed,
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)
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def check_if_complete(
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oi: dict[str, dict[str, Decimal | None]]
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) -> bool:
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return all(
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oi[strike]['C'] is not None
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and
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oi[strike]['P'] is not None for strike in oi
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)
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async def max_pain_daemon(
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) -> None:
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oi_by_strikes: dict[str, dict[str, Decimal | None]]
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instruments: list[Symbol] = []
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expiry_dates: list[str]
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expiry_date: str
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currency: str = 'btc'
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kind: str = 'option'
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async with get_client(
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) as client:
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expiry_dates: list[str] = await client.get_expiration_dates(
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currency=currency,
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kind=kind
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)
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print(f'Available expiration dates for {currency}-{kind}:')
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print(f'{expiry_dates}')
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expiry_date = input('Please enter a valid expiration date: ').upper()
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print('Starting little daemon...')
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oi_by_strikes: dict[str, dict[str, Decimal]]
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instruments = await client.get_instruments(
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expiry_date=expiry_date,
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)
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oi_by_strikes = client.get_strikes_dict(instruments)
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def update_oi_by_strikes(msg: tuple):
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nonlocal oi_by_strikes
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if 'oi' == msg[0]:
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strike_price = msg[1]['strike_price']
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option_type = msg[1]['option_type']
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open_interest = msg[1]['open_interest']
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oi_by_strikes.setdefault(
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strike_price, {}
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).update(
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{option_type: open_interest}
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)
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def get_max_pain(
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oi_by_strikes: dict[str, dict[str, Decimal]]
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) -> dict[str, str | Decimal]:
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'''
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This method requires only the strike_prices and oi for call
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and puts, the closes list are the same as the strike_prices
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the idea is to sum all the calls and puts cash for each strike
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and the ITM strikes from that strike, the lowest value is what we
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are looking for the intrinsic value.
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'''
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nonlocal timestamp
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# We meed to find the lowest value, so we start at
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# infinity to ensure that, and the max_pain must be
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# an amount greater than zero.
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total_intrinsic_value: Decimal = Decimal('Infinity')
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max_pain: Decimal = Decimal(0)
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call_cash: Decimal = Decimal(0)
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put_cash: Decimal = Decimal(0)
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intrinsic_values: dict[str, dict[str, Decimal]] = {}
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closes: list = sorted(Decimal(close) for close in oi_by_strikes)
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for strike, oi in oi_by_strikes.items():
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s = Decimal(strike)
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call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
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put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
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intrinsic_values[strike] = {
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'C': call_cash,
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'P': put_cash,
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'total': call_cash + put_cash,
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}
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if intrinsic_values[strike]['total'] < total_intrinsic_value:
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total_intrinsic_value = intrinsic_values[strike]['total']
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max_pain = s
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return {
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'timestamp': timestamp,
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'expiry_date': expiry_date,
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'total_intrinsic_value': total_intrinsic_value,
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'max_pain': max_pain,
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}
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async with maybe_open_oi_feed(
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instruments,
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) as oi_feed:
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async for msg in oi_feed:
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update_oi_by_strikes(msg)
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if check_if_complete(oi_by_strikes):
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if 'oi' == msg[0]:
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timestamp = msg[1]['timestamp']
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max_pain = get_max_pain(oi_by_strikes)
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print('-----------------------------------------------')
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print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}')
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print(f'expiry_date: {max_pain['expiry_date']}')
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print(f'max_pain: {max_pain['max_pain']}')
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print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
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print('-----------------------------------------------')
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async def main():
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async with tractor.open_nursery() as n:
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p: tractor.Portal = await n.start_actor(
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'max_pain_daemon',
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enable_modules=[__name__],
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infect_asyncio=True,
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)
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await p.run(max_pain_daemon)
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if __name__ == '__main__':
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trio.run(main)
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@ -0,0 +1,19 @@
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## Max Pain Calculation for Deribit Options
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This feature, which calculates the max pain point for options traded on the Deribit exchange using cryptofeed library.
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- Functions in the api module for fetching options data from Deribit. [commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
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- Compute the max pain point based on open interest data using deribit's api. [commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
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### How to test it?
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**Before start:** in order to get this working with `uv`, you **must** use my `tractor` [fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons) and this branch: `aio_abandons`, the reason is that I cherry-pick the `uv_migration` that guille made, for some reason that a didn't dive into, in my system y need tractor using `uv` too. quite hacky I guess.
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1. `uv lock`
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2. `uv run --no-dev python examples/max_pain.py`
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3. A message should be display, enter one of the expiration date available.
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4. The script should be up and running.
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Loading…
Reference in New Issue