max_pain_daemon:

This script contains the necessary logic to calculate the max pain for a given
expiration date.

examples/max_pain.py

@@ -0,0 +1,125 @@
+#!/usr/bin/env python
+from decimal import (
+    Decimal,
+)
+import trio
+import tractor
+from datetime import datetime
+from pprint import pformat
+from piker.brokers.deribit.api import (
+    get_client,
+    maybe_open_oi_feed,
+)
+
+def check_if_complete(
+        oi: dict[str, dict[str, Decimal | None]]
+    ) -> bool:
+    return all(
+        oi[strike]['C'] is not None 
+        and
+        oi[strike]['P'] is not None for strike in oi
+    )
+
+
+async def max_pain_daemon(
+) -> None:
+    expiry_date: str = input('Please enter a valid expiration date (7feb25): ').upper()
+    print('Initializing...')
+    instruments: list[Symbol] = []
+    oi_by_strikes: dict[str, dict[str, Decimal]]
+
+    def update_oi_by_strikes(msg: tuple):
+        nonlocal oi_by_strikes
+        if 'oi' == msg[0]:
+            strike_price = msg[1]['strike_price']
+            option_type = msg[1]['option_type']
+            open_interest = msg[1]['open_interest']
+            oi_by_strikes.setdefault(
+                strike_price, {}
+            ).update(
+                {option_type: open_interest}
+            )
+
+    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)
+        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,
+            }
+
+            if intrinsic_values[strike]['total'] < total_intrinsic_value:
+                total_intrinsic_value = intrinsic_values[strike]['total']
+                max_pain = s
+
+        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:
+
+            update_oi_by_strikes(msg)
+            if check_if_complete(oi_by_strikes):
+                if 'oi' == msg[0]:
+                    timestamp = msg[1]['timestamp']
+                    max_pain = get_max_pain(oi_by_strikes)
+                    print('-----------------------------------------------')
+                    print(f'timestamp:             {datetime.fromtimestamp(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():
+
+    async with tractor.open_nursery() as n:
+        
+        p: tractor.Portal = await n.start_actor(
+            'max_pain_daemon',
+            enable_modules=[__name__],
+            infect_asyncio=True,
+        )
+        await p.run(max_pain_daemon)
+
+if __name__ == '__main__':
+    trio.run(main)

piker/brokers/deribit/api.py

@@ -52,12 +52,14 @@ from cryptofeed import FeedHandler
 from cryptofeed.defines import (
     DERIBIT,
     L1_BOOK, TRADES,
-    OPTION, CALL, PUT
+    OPTION, CALL, PUT,
+    OPEN_INTEREST,
 )
 from cryptofeed.symbols import Symbol
 from cryptofeed.types import (
     L1Book,
     Trade,
+    OpenInterest,
 )
 from piker.brokers import SymbolNotFound
 from .venues import (
@@ -110,6 +112,10 @@ def deribit_timestamp(when: datetime) -> int:
     )
 
 
+def get_timestamp_int(expiry_date: str) -> int:
+    return int(time.mktime(time.strptime(expiry_date, '%d%b%y')))
+
+
 def str_to_cb_sym(name: str) -> Symbol:
     base, strike_price, expiry_date, option_type = name.split('-')
 
@@ -117,13 +123,14 @@ def str_to_cb_sym(name: str) -> Symbol:
 
     if option_type == 'put':
         option_type = PUT 
-    elif option_type  == 'call':
+    elif option_type == 'call':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
 
-    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
-
+    new_expiry_date: int = get_timestamp_int(
+        get_values_from_cb_normalized_date(expiry_date)
+    )
     return Symbol(
         base=base,
         quote=quote,
@@ -143,11 +150,12 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
     )= tuple(
         name.upper().split('-'))
 
+    new_expiry_date = get_timestamp_int(expiry_date)
     quote: str = base
 
-    if option_type == 'P':
+    if option_type == 'P' or option_type == 'PUT':
         option_type = PUT 
-    elif option_type == 'C':
+    elif option_type == 'C' or option_type == 'CALL':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
@@ -158,7 +166,7 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=expiry_date
+        expiry_date=new_expiry_date
     )
 
 
@@ -226,16 +234,18 @@ def get_config() -> dict[str, Any]:
         )
 
     conf_option = section.get('option', {})
-    section.clear # 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')
-
-    section['log'] = {}
-    section['log']['filename'] = 'feedhandler.log'
-    section['log']['level'] = 'DEBUG'
-
-    return section
+    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'],
+        }
+    }
 
 
 class Client:
@@ -311,6 +321,20 @@ class Client:
 
         return balances
 
+    async def get_currencies(
+        self,
+
+    ) -> list[dict]:
+        '''
+        Return the set of currencies for deribit.
+        '''
+        assets = {}
+        resp = await self._json_rpc_auth_wrapper(
+            'public/get_currencies',
+            params={}
+        )
+        return resp.result
+
     async def get_assets(
         self,
         venue: str | None = None,
@@ -323,11 +347,7 @@ class Client:
 
         '''
         assets = {}
-        resp = await self._json_rpc_auth_wrapper(
-            'public/get_currencies',
-            params={}
-        )
-        currencies: list[dict] = resp.result
+        currencies = await self.get_currencies()
         for currency in currencies:
             name: str = currency['currency']
             tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
@@ -359,6 +379,59 @@ class Client:
 
         return flat
 
+    async def get_instruments(
+        self,
+        currency: str = 'btc',
+        kind: str = 'option',
+        expired: bool = False,
+        expiry_date: str = None,
+
+    ) -> list[Symbol]:
+        """
+        Get instruments for cryptoFeed.FeedHandler.
+        """
+        params: dict[str, str] = {
+            'currency': currency.upper(),
+            'kind': kind,
+            'expired': expired,
+        }
+
+        r: JSONRPCResult = await self._json_rpc_auth_wrapper(
+            'public/get_instruments',
+            params,
+        )
+        resp = r.result 
+        response_list = []
+
+        for i in range(len(resp)):
+            element = resp[i]
+            name = f'{element["instrument_name"].split("-")[1]}'
+            if not expiry_date or name == expiry_date.upper():
+                response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
+
+        return response_list
+
+    def get_strikes_dict(
+        self,
+        instruments: list[Symbol],
+
+    ) -> dict[str, dict[str, Decimal | None]]:
+        """
+        Get a dict with strike prices as keys.
+        """
+        
+        response: dict[str, dict[str, Decimal | None]] = {}
+
+        for i in range(len(instruments)):
+            element = instruments[i]
+            strike = f'{str(element).split('-')[1]}'
+            response[f'{strike}'] = {
+                'C': None,
+                'P': None,
+            }
+
+        return response
+
     async def submit_limit(
         self,
         symbol: str,
@@ -738,6 +811,116 @@ async def maybe_open_price_feed(
             yield feed
 
 
+async def aio_open_interest_feed_relay(
+    fh: FeedHandler,
+    instruments: list[Symbol],
+    from_trio: asyncio.Queue,
+    to_trio: trio.abc.SendChannel,
+) -> None:
+    async def _trade(
+        trade: Trade,  # cryptofeed, NOT ours from `.venues`!
+        receipt_timestamp: int,
+    ) -> None:
+        '''
+        Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
+
+        '''
+        to_trio.send_nowait(('trade', trade))
+
+	# trade and oi are user defined functions that
+	# will be called when trade and open interest updates are received
+	# data type is not dict, is an object: cryptofeed.types.OpenINterest
+    async def _oi(
+        oi: OpenInterest,
+        receipt_timestamp: int,
+    ) -> None:
+        '''
+        Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
+
+        '''
+        symbol: Symbol = str_to_cb_sym(oi.symbol)
+        piker_sym: str = cb_sym_to_deribit_inst(symbol)
+        (
+            base,
+            expiry_date,
+            strike_price,
+            option_type
+        ) = tuple(
+            piker_sym.split('-')
+        )
+        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]
+    callbacks={TRADES: _trade, OPEN_INTEREST: _oi}
+
+    fh.add_feed(
+        DERIBIT,
+        channels=channels,
+        symbols=instruments,
+        callbacks=callbacks
+    )
+
+    if not fh.running:
+        fh.run(
+            start_loop=False,
+            install_signal_handlers=False
+        )
+
+    # sync with trio
+    to_trio.send_nowait(None)
+
+    # run until cancelled
+    await asyncio.sleep(float('inf'))
+
+
+@acm
+async def open_oi_feed(
+    instruments: list[Symbol], 
+) -> to_asyncio.LinkedTaskChannel:
+
+    fh: FeedHandler
+    first: None
+    chan: to_asyncio.LinkedTaskChannel
+    async with (
+        maybe_open_feed_handler() as fh,
+        to_asyncio.open_channel_from(
+            partial(
+                aio_open_interest_feed_relay,
+                fh,
+                instruments,
+            )
+        ) as (first, chan)
+    ):
+        yield chan
+
+
+@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)
+        else:
+            yield feed
+
 
 # TODO, move all to `.broker` submod!
 # async def aio_order_feed_relay(