From ec2123175ad784526880838d10ccc030fff97a62 Mon Sep 17 00:00:00 2001
From: Nelson Torres <nelson.torres.alvarado1@gmail.com>
Date: Wed, 4 Dec 2024 19:18:29 -0300
Subject: [PATCH] some refactor

---
 piker/brokers/deribit/api.py | 29 +++++++++++++++++------------
 1 file changed, 17 insertions(+), 12 deletions(-)

diff --git a/piker/brokers/deribit/api.py b/piker/brokers/deribit/api.py
index 99325f7d..07aed466 100644
--- a/piker/brokers/deribit/api.py
+++ b/piker/brokers/deribit/api.py
@@ -851,10 +851,16 @@ async def aio_open_interest_feed_relay(
             }
 
         index_price: Decimal = data['index_price']
-        price_delta: Decimal = abs(index_price - Decimal(strike_price))
         open_interest: Decimal = oi.open_interest
+        price_delta: Decimal
+        if f'{option_type}' == 'C':
+            price_delta = index_price - Decimal(strike_price)
 
-        losses: Decimal = price_delta * open_interest
+        elif f'{option_type}' == 'P':
+            price_delta = Decimal(strike_price) - index_price
+
+        notional_value = open_interest * index_price
+        losses: Decimal = max(0, price_delta * open_interest)
 
         if not f'{strike_price}' in losses_cache:
             losses_cache[f'{strike_price}'] = {
@@ -870,29 +876,27 @@ async def aio_open_interest_feed_relay(
             losses_cache[f'{strike_price}']['P']
         )
 
-        print(f'>>>> Open Interest...')
-        print(f'max_losses: {max_losses}\n')
-        print(f'max_pain: {max_pain}')
-        print('-----------------------------------------------')
         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 open_interests[f'{expiry_date}'][strike]['strike_losses'] > max_losses:
+            if strike_losses > max_losses:
                 max_losses = open_interests[f'{expiry_date}'][strike]['strike_losses']
                 max_pain = strike
-                print('-----------------------------------------------')
-                print(f'strike_price: {strike_price}')
-                print(f'strike_losses: {open_interests[f'{expiry_date}'][strike]['strike_losses']}')
-                print(f'{pformat(open_interests[f'{expiry_date}'][strike])}')
+                print(f'>>>> Open Interest...')
+                print(f'expiration: {expiry_date}')
+                print(f'>>>> max_pain: {max_pain}')
+                print(f'max_losses: {max_losses}')
+                print(f'{pformat(open_interests[f'{expiry_date}'][max_pain])}')
                 print('-----------------------------------------------')
 
 
@@ -923,7 +927,7 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
 ) -> to_asyncio.LinkedTaskChannel:
 
-    expiry_date: str = '6DEC24'  # '6DEC24' '26SEP25' '27JUN25' '13DEC24'
+    expiry_date: str = '20DEC24'
     instruments: list[Symbol] = []
     async with get_client(
     ) as client:
@@ -936,6 +940,7 @@ async def open_oi_feed(
         '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]]]] = {}