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Extract logic from get_max_pain() 

All the max pain math now is in this two functions:

- get_total_intrinsic_values(): calculate the total value for all strike_prices and stores then in a dict[str, Decimal]

- `get_intrinsic_value_and_max_pain()` given the `intrinsic_values` dict, returns the `max_pain` strike price and the `total_intrinsic_value` for that `strike_price`
Nelson Torres 2025-02-03 18:35:35 -03:00
parent 2cb7b505e1
commit f0fd447af7
1 changed files with 40 additions and 22 deletions
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62
examples/max_pain.py
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@ -49,6 +49,44 @@ async def max_pain_daemon(
oi_by_strikes = client.get_strikes_dict(instruments)
def get_total_intrinsic_values(
oi_by_strikes: dict[str, dict[str, Decimal]]
) -> dict[str, dict[str, Decimal]]:
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list = sorted(Decimal(close) for close in oi_by_strikes)
for strike, oi in oi_by_strikes.items():
s = Decimal(strike)
call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
intrinsic_values[strike] = {
'C': call_cash,
'P': put_cash,
'total': call_cash + put_cash,
}
return intrinsic_values
def get_intrinsic_value_and_max_pain(
intrinsic_values: dict[str, dict[str, Decimal]]
):
# 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)
for strike, oi in oi_by_strikes.items():
s = Decimal(strike)
if intrinsic_values[strike]['total'] < total_intrinsic_value:
total_intrinsic_value = intrinsic_values[strike]['total']
max_pain = s
return total_intrinsic_value, max_pain
def update_oi_by_strikes(msg: tuple):
nonlocal oi_by_strikes
if 'oi' == msg[0]:
@ -74,30 +112,10 @@ async def max_pain_daemon(
'''
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)
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list = sorted(Decimal(close) for close in oi_by_strikes)
for strike, oi in oi_by_strikes.items():
s = Decimal(strike)
call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c in closes)
intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
intrinsic_values[strike] = {
'C': call_cash,
'P': put_cash,
'total': call_cash + put_cash,
}
if intrinsic_values[strike]['total'] < total_intrinsic_value:
total_intrinsic_value = intrinsic_values[strike]['total']
max_pain = s
total_intrinsic_value, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
return {
'timestamp': timestamp,