oi max_pain major refactor
Now the max_pain is calculated taking into account all strike prices and all close prices to find the intrinsic value as deribit.max_pain_deribit
parent
c4600a0392
commit
bf86772d4b
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@ -827,13 +827,15 @@ async def maybe_open_price_feed(
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async def aio_open_interest_feed_relay(
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fh: FeedHandler,
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instruments: list,
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open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]],
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losses_cache: dict[str, Decimal],
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max_losses: Decimal,
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max_pain: Decimal,
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intrinsic_values: dict[str, Decimal],
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oi_by_strikes: dict[str, dict[str, Decimal]],
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from_trio: asyncio.Queue,
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to_trio: trio.abc.SendChannel,
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) -> None:
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max_losses: Decimal = Decimal('Infinity')
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max_pain: Decimal = Decimal(0)
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async def _trade(
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trade: Trade, # cryptofeed, NOT ours from `.venues`!
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receipt_timestamp: int,
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@ -855,13 +857,13 @@ async def aio_open_interest_feed_relay(
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Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
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'''
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nonlocal losses_cache
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nonlocal intrinsic_values
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nonlocal oi_by_strikes
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nonlocal max_losses
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nonlocal max_pain
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nonlocal open_interests
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symbol: Symbol = str_to_cb_sym(oi.symbol)
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piker_sym: str = cb_sym_to_deribit_inst(symbol)
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data: dict = oi.raw['params']['data']
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(
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base,
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expiry_date,
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@ -870,69 +872,37 @@ async def aio_open_interest_feed_relay(
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) = tuple(
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piker_sym.split('-')
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)
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if not f'{expiry_date}' in open_interests:
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open_interests[f'{expiry_date}'] = {
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f'{strike_price}': {
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'C': [],
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'P': [],
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'strike_losses': Decimal(0),
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}
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}
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if not f'{strike_price}' in open_interests[f'{expiry_date}']:
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open_interests[f'{expiry_date}'][f'{strike_price}'] = {
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'C': [],
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'P': [],
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'strike_losses': Decimal(0),
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}
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index_price: Decimal = data['index_price']
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open_interest: Decimal = oi.open_interest
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price_delta: Decimal
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if f'{option_type}' == 'C':
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price_delta = index_price - Decimal(strike_price)
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oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
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elif f'{option_type}' == 'P':
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price_delta = Decimal(strike_price) - index_price
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is_ready = check_if_complete(oi_by_strikes)
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if is_ready:
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for strike in oi_by_strikes:
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s: Decimal = Decimal(f'{strike}')
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close_losses = Decimal(0)
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closes: list[str] = sorted(oi_by_strikes.keys())
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call_cash: Decimal = Decimal(0)
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put_cash: Decimal = Decimal(0)
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for close in closes:
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c: Decimal = Decimal(f'{close}')
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call_cash += max(0, (s - c) * oi_by_strikes[f'{close}']['C'])
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put_cash += max(0, (c - s) * oi_by_strikes[f'{close}']['P'])
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intrinsic_values[f'{strike}'] = {}
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intrinsic_values[f'{strike}']['C'] = call_cash
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intrinsic_values[f'{strike}']['P'] = put_cash
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intrinsic_values[f'{strike}']['total'] = (call_cash + put_cash)
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notional_value = open_interest * index_price
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losses: Decimal = max(0, price_delta * open_interest)
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if not f'{strike_price}' in losses_cache:
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losses_cache[f'{strike_price}'] = {
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'C': Decimal(0),
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'P': Decimal(0),
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}
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losses_cache[f'{strike_price}'][f'{option_type}'] = losses
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strike_losses: Decimal = (
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losses_cache[f'{strike_price}']['C']
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+
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losses_cache[f'{strike_price}']['P']
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)
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open_interests[f'{expiry_date}'][f'{strike_price}'][f'{option_type}'] = {
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'date': oi.timestamp,
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'open_interest': open_interest,
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'index_price': index_price,
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'strike_price': strike_price,
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'price_delta': price_delta,
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'notional_value': notional_value,
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'losses': losses, # this updates the global value call_losses and put_losses
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}
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# calculate with latest values stored in call_losses and put_losses global cache.
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open_interests[f'{expiry_date}'][f'{strike_price}']['strike_losses'] = strike_losses
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for strike in open_interests[f'{expiry_date}']:
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if strike_losses > max_losses:
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max_losses = open_interests[f'{expiry_date}'][strike]['strike_losses']
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max_pain = strike
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print(f'>>>> Open Interest...')
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print(f'expiration: {expiry_date}')
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print(f'>>>> max_pain: {max_pain}')
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print(f'max_losses: {max_losses}')
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print(f'{pformat(open_interests[f'{expiry_date}'][max_pain])}')
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print('-----------------------------------------------')
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for strike in intrinsic_values:
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if intrinsic_values[f'{strike}']['total'] < max_losses:
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max_losses = intrinsic_values[f'{strike}']['total']
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max_pain = strike
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print('-----------------------------------------------')
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print(f'time: {oi.timestamp}')
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print(f'max_pain: {max_pain}')
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print(f'max_losses: {max_losses}')
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print('-----------------------------------------------')
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channels = [TRADES, OPEN_INTEREST]
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@ -964,21 +934,16 @@ async def open_oi_feed(
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expiry_date: str = '20DEC24'
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instruments: list[Symbol] = []
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intrinsic_values: dict[str, dict[str, Decimal]] = {}
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oi_by_strikes: dict[str, dict[str, Decimal]]
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async with get_client(
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) as client:
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# to get all currencies available in deribit
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# currencies = await client.get_currencies()
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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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losses_cache: dict[str, Decimal] = { # {'<strike_price>': <value>}
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'C': Decimal(0),
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'P': Decimal(0),
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}
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# max_losses: Decimal = Decimal('Infinity')
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max_losses: Decimal = Decimal(0)
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max_pain: Decimal = Decimal(0)
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open_interests: dict[str, dict[str, dict[str, list[dict]]]] = {}
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oi_by_strikes = client.get_strikes_dict(instruments)
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fh: FeedHandler
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first: None
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chan: to_asyncio.LinkedTaskChannel
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@ -989,10 +954,8 @@ async def open_oi_feed(
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aio_open_interest_feed_relay,
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fh,
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instruments,
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open_interests,
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losses_cache,
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max_losses,
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max_pain,
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intrinsic_values,
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oi_by_strikes,
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)
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) as (first, chan)
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):
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