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moved function out of api

Nelson Torres 2024-12-07 10:13:12 -03:00
parent 1dd8ebf2f8
commit dcba69e1e9
2 changed files with 125 additions and 80 deletions
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100
max_pain.py
View File

@ -1,15 +1,111 @@
#!/usr/bin/env python
from decimal import (
Decimal,
)
import trio
import tractor
from pprint import pformat
from piker.brokers.deribit.api import (
get_client,
maybe_open_oi_feed,
)
async def max_pain_daemon(
) -> None:
async with maybe_open_oi_feed() as oi_feed:
print('Im in...')
expiry_date: str = '13DEC24'
instruments: list[Symbol] = []
oi_by_strikes: dict[str, dict[str, Decimal]]
def check_if_complete(
oi: dict[str, dict[str, Decimal | None]],
) -> bool:
for strike in oi:
if (
oi[strike]['C'] == None
or
oi[strike]['P'] == None
):
return False
return True
def get_max_pain(
oi_by_strikes: dict[str, dict[str, Decimal]]
) -> dict[str, str | Decimal]:
'''
This method requires only the strike_prices and oi for call
and puts, the closes list are the same as the strike_prices
the idea is to sum all the calls and puts cash for each strike
and the ITM strikes from that strike, the lowest value is what we
are looking for the intrinsic value.
'''
nonlocal timestamp
# We meed to find the lowest value, so we start at
# infinity to ensure that, and the max_pain must be
# an amount greater than zero.
total_intrinsic_value: Decimal = Decimal('Infinity')
max_pain: Decimal = Decimal(0)
intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list[str] = sorted(oi_by_strikes.keys())
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
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'])
intrinsic_values[strike] = {
'C': call_cash,
'P': put_cash,
'total': call_cash + put_cash,
}
for strike in intrinsic_values:
if intrinsic_values[f'{strike}']['total'] < total_intrinsic_value:
total_intrinsic_value = intrinsic_values[f'{strike}']['total']
max_pain = strike\
return {
'timestamp': timestamp,
'expiry_date': expiry_date,
'total_intrinsic_value': total_intrinsic_value,
'max_pain': max_pain,
}
async with get_client(
) as client:
instruments = await client.get_instruments(
expiry_date=expiry_date,
)
oi_by_strikes = client.get_strikes_dict(instruments)
async with maybe_open_oi_feed(
instruments,
) as oi_feed:
async for msg in oi_feed:
if 'oi' == msg[0]:
timestamp = msg[1]['timestamp']
strike_price = msg[1]['strike_price']
option_type = msg[1]['option_type']
open_interest = msg[1]['open_interest']
oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
if check_if_complete(oi_by_strikes):
max_pain = get_max_pain(oi_by_strikes)
print('-----------------------------------------------')
print(f'timestamp: {max_pain['timestamp']}')
print(f'expiry_date: {max_pain['expiry_date']}')
print(f'max_pain: {max_pain['max_pain']}')
print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
print('-----------------------------------------------')
async def main():

105
piker/brokers/deribit/api.py
View File

@ -234,32 +234,19 @@ def get_config() -> dict[str, Any]:
)
conf_option = section.get('option', {})
section = {} # clear the dict to reuse it
section['deribit'] = {}
section['deribit']['key_id'] = conf_option.get('api_key')
section['deribit']['key_secret'] = conf_option.get('api_secret')
conf_log = conf_option.get('log', {})
return {
'deribit': {
'key_id': conf_option['key_id'],
'key_secret': conf_option['key_secret'],
},
'log': {
'filename': conf_log['filename'],
'level': conf_log['level'],
'disabled': conf_log['disabled'],
}
}
section['log'] = {}
section['log']['filename'] = 'feedhandler.log'
section['log']['level'] = 'DEBUG'
section['log']['disabled'] = True
return section
def check_if_complete(
oi: dict[str, dict[str, Decimal | None]],
) -> bool:
for strike in oi:
if (
oi[strike]['C'] == None
or
oi[strike]['P'] == None
):
return False
return True
class Client:
'''
@ -826,16 +813,10 @@ async def maybe_open_price_feed(
async def aio_open_interest_feed_relay(
fh: FeedHandler,
instruments: list,
oi_by_strikes: dict[str, dict[str, Decimal]],
instruments: list[Symbol],
from_trio: asyncio.Queue,
to_trio: trio.abc.SendChannel,
) -> None:
intrinsic_values: dict[str, dict[str, Decimal]] = {}
total_intrinsic_value: Decimal = Decimal('Infinity')
max_pain: Decimal = Decimal(0)
async def _trade(
trade: Trade, # cryptofeed, NOT ours from `.venues`!
receipt_timestamp: int,
@ -857,11 +838,6 @@ async def aio_open_interest_feed_relay(
Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
'''
nonlocal intrinsic_values
nonlocal oi_by_strikes
nonlocal total_intrinsic_value
nonlocal max_pain
symbol: Symbol = str_to_cb_sym(oi.symbol)
piker_sym: str = cb_sym_to_deribit_inst(symbol)
(
@ -872,36 +848,13 @@ async def aio_open_interest_feed_relay(
) = tuple(
piker_sym.split('-')
)
open_interest: Decimal = oi.open_interest
oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
if check_if_complete(oi_by_strikes):
closes: list[str] = sorted(oi_by_strikes.keys())
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
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'])
intrinsic_values[strike] = {
'C': call_cash,
'P': put_cash,
'total': call_cash + put_cash,
}
for strike in intrinsic_values:
if intrinsic_values[f'{strike}']['total'] < total_intrinsic_value:
total_intrinsic_value = intrinsic_values[f'{strike}']['total']
max_pain = strike
print('-----------------------------------------------')
print(f'expiry date: {expiry_date}')
print(f'max_pain: {max_pain}')
print(f'total intrinsic value: {total_intrinsic_value}')
print('-----------------------------------------------')
msg = {
'timestamp': oi.timestamp,
'strike_price': strike_price,
'option_type': option_type,
'open_interest': Decimal(oi.open_interest),
}
to_trio.send_nowait(('oi', msg))
channels = [TRADES, OPEN_INTEREST]
@ -929,17 +882,8 @@ async def aio_open_interest_feed_relay(
@acm
async def open_oi_feed(
instruments: list[Symbol],
) -> to_asyncio.LinkedTaskChannel:
expiry_date: str = '20DEC24'
instruments: list[Symbol] = []
oi_by_strikes: dict[str, dict[str, Decimal]]
async with get_client(
) as client:
instruments = await client.get_instruments(
expiry_date=expiry_date,
)
oi_by_strikes = client.get_strikes_dict(instruments)
fh: FeedHandler
first: None
@ -951,7 +895,6 @@ async def open_oi_feed(
aio_open_interest_feed_relay,
fh,
instruments,
oi_by_strikes,
)
) as (first, chan)
):
@ -960,12 +903,18 @@ async def open_oi_feed(
@acm
async def maybe_open_oi_feed(
instruments: list[Symbol],
) -> trio.abc.ReceiveStream:
# TODO: add a predicate to maybe_open_context
feed: to_asyncio.LinkedTaskChannel
async with maybe_open_context(
acm_func=open_oi_feed,
kwargs={
'instruments': instruments
},
key=f'{instruments[0].base}',
) as (cache_hit, feed):
if cache_hit:
yield broadcast_receiver(feed, 10)