Handle "adjusted contract" chains per root
parent
fb876f3770
commit
dc581d0bdc
|
@ -315,16 +315,27 @@ class Client:
|
|||
contracts.items(),
|
||||
key=lambda item: item[0].expiry
|
||||
):
|
||||
for chain in byroot['chainPerRoot']:
|
||||
optroot = chain['optionRoot']
|
||||
suffix = ''
|
||||
|
||||
# handle QTs "adjusted contracts" (aka adjusted for
|
||||
# the underlying in some way; usually has a '(1)' in
|
||||
# the expiry key in their UI)
|
||||
adjusted_contracts = optroot != key.symbol
|
||||
if adjusted_contracts:
|
||||
suffix = '(' + optroot[len(key.symbol):] + ')'
|
||||
|
||||
by_key[
|
||||
ContractsKey(
|
||||
key.symbol,
|
||||
key.symbol + suffix,
|
||||
key.id,
|
||||
# converting back - maybe just do this initially?
|
||||
key.expiry.isoformat(timespec='microseconds'),
|
||||
)
|
||||
] = {
|
||||
item['strikePrice']: item for item in
|
||||
byroot['chainPerRoot'][0]['chainPerStrikePrice']
|
||||
chain['chainPerStrikePrice']
|
||||
}
|
||||
|
||||
# fill out contract id to strike expiry map
|
||||
|
|
Loading…
Reference in New Issue