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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
Nelson Torres 2024-12-05 23:31:36 -03:00
parent c4600a0392
commit bf86772d4b
1 changed files with 44 additions and 81 deletions
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117
piker/brokers/deribit/api.py
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@ -827,13 +827,15 @@ 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]]]]],
losses_cache: dict[str, Decimal],
max_losses: Decimal,
max_pain: Decimal,
intrinsic_values: dict[str, Decimal],
oi_by_strikes: dict[str, dict[str, Decimal]],
from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel,
) -> None:
max_losses: Decimal = Decimal('Infinity')
max_pain: Decimal = Decimal(0)
async def _trade(
trade: Trade, # cryptofeed, NOT ours from `.venues`!
receipt_timestamp: int,
@ -855,13 +857,13 @@ async def aio_open_interest_feed_relay(
Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
'''
nonlocal losses_cache
nonlocal intrinsic_values
nonlocal oi_by_strikes
nonlocal max_losses
nonlocal max_pain
nonlocal open_interests
symbol: Symbol = str_to_cb_sym(oi.symbol)
piker_sym: str = cb_sym_to_deribit_inst(symbol)
data: dict = oi.raw['params']['data']
(
base,
expiry_date,
@ -870,68 +872,36 @@ async def aio_open_interest_feed_relay(
) = tuple(
piker_sym.split('-')
)
if not f'{expiry_date}' in open_interests:
open_interests[f'{expiry_date}'] = {
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),
}
index_price: Decimal = data['index_price']
open_interest: Decimal = oi.open_interest
price_delta: Decimal
if f'{option_type}' == 'C':
price_delta = index_price - Decimal(strike_price)
oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
elif f'{option_type}' == 'P':
price_delta = Decimal(strike_price) - index_price
is_ready = check_if_complete(oi_by_strikes)
if is_ready:
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
close_losses = Decimal(0)
closes: list[str] = sorted(oi_by_strikes.keys())
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
for close in closes:
c: Decimal = Decimal(f'{close}')
call_cash += max(0, (s - c) * oi_by_strikes[f'{close}']['C'])
put_cash += max(0, (c - s) * oi_by_strikes[f'{close}']['P'])
notional_value = open_interest * index_price
losses: Decimal = max(0, price_delta * open_interest)
intrinsic_values[f'{strike}'] = {}
intrinsic_values[f'{strike}']['C'] = call_cash
intrinsic_values[f'{strike}']['P'] = put_cash
intrinsic_values[f'{strike}']['total'] = (call_cash + put_cash)
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']
)
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,
'notional_value': notional_value,
'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 strike_losses > max_losses:
max_losses = open_interests[f'{expiry_date}'][strike]['strike_losses']
for strike in intrinsic_values:
if intrinsic_values[f'{strike}']['total'] < max_losses:
max_losses = intrinsic_values[f'{strike}']['total']
max_pain = strike
print(f'>>>> Open Interest...')
print(f'expiration: {expiry_date}')
print(f'>>>> max_pain: {max_pain}')
print('-----------------------------------------------')
print(f'time: {oi.timestamp}')
print(f'max_pain: {max_pain}')
print(f'max_losses: {max_losses}')
print(f'{pformat(open_interests[f'{expiry_date}'][max_pain])}')
print('-----------------------------------------------')
@ -964,21 +934,16 @@ async def open_oi_feed(
expiry_date: str = '20DEC24'
instruments: list[Symbol] = []
intrinsic_values: dict[str, dict[str, Decimal]] = {}
oi_by_strikes: dict[str, dict[str, Decimal]]
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=expiry_date,
)
losses_cache: dict[str, Decimal] = { # {'<strike_price>': <value>}
'C': Decimal(0),
'P': Decimal(0),
}
# max_losses: Decimal = Decimal('Infinity')
max_losses: Decimal = Decimal(0)
max_pain: Decimal = Decimal(0)
open_interests: dict[str, dict[str, dict[str, list[dict]]]] = {}
oi_by_strikes = client.get_strikes_dict(instruments)
fh: FeedHandler
first: None
chan: to_asyncio.LinkedTaskChannel
@ -989,10 +954,8 @@ async def open_oi_feed(
aio_open_interest_feed_relay,
fh,
instruments,
open_interests,
losses_cache,
max_losses,
max_pain,
intrinsic_values,
oi_by_strikes,
)
) as (first, chan)
):