max_pain.py

@@ -11,15 +11,6 @@ from piker.brokers.deribit.api import (
     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:
@@ -27,17 +18,19 @@ async def max_pain_daemon(
     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 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]]
@@ -57,15 +50,17 @@ async def max_pain_daemon(
         # 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: 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,
@@ -73,9 +68,10 @@ async def max_pain_daemon(
                 'total': call_cash + put_cash,
             }
 
-            if intrinsic_values[strike]['total'] < total_intrinsic_value:
-                total_intrinsic_value = intrinsic_values[strike]['total']
-                max_pain = s
+        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,
@@ -84,6 +80,7 @@ async def max_pain_daemon(
             'max_pain': max_pain,
         }
 
+                
     async with get_client(
     ) as client:
         instruments = await client.get_instruments(
@@ -95,18 +92,21 @@ async def max_pain_daemon(
         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
 
-            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('-----------------------------------------------')
+                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():