examples/max_pain.py

@@ -1,139 +0,0 @@
-#!/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:
-    oi_by_strikes: dict[str, dict[str, Decimal | None]]
-    instruments: list[Symbol] = []
-    expiry_dates: list[str]
-    expiry_date: str
-    currency: str = 'btc'
-    kind: str = 'option'
-
-    async with get_client(
-    ) as client:
-        expiry_dates: list[str] = await client.get_expiration_dates(
-            currency=currency,
-            kind=kind
-        )
-
-        print(f'Available expiration dates for {currency}-{kind}:')
-        print(f'{expiry_dates}')
-        expiry_date = input('Please enter a valid expiration date: ').upper()
-        print('Starting little daemon...')
-
-        oi_by_strikes: dict[str, dict[str, Decimal]]
-        instruments = await client.get_instruments(
-            expiry_date=expiry_date,
-        )
-        oi_by_strikes = client.get_strikes_dict(instruments)
-
-
-    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 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)

examples/max_pain_readme.rst

@@ -1,19 +0,0 @@
-## Max Pain Calculation for Deribit Options
-
-This feature, which calculates the max pain point for options traded on the Deribit exchange using cryptofeed library.
-
-- Functions in the api module for fetching options data from Deribit. [commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
-
-- Compute the max pain point based on open interest data using deribit's api. [commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
-
-### How to test it?
-
-**Before start:** in order to get this working with `uv`,  you **must** use my `tractor` [fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons) and this branch: `aio_abandons`, the reason is that I cherry-pick the `uv_migration` that guille made, for some reason that a didn't dive into, in my system y need tractor using `uv` too. quite hacky I guess.
-
-1. `uv lock`
-
-2. `uv run --no-dev python examples/max_pain.py`
-
-3. A message should be display, enter one of the expiration date available.
-
-4. The script should be up and running.

piker/brokers/deribit/api.py

@@ -52,14 +52,12 @@ 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 (
@@ -112,10 +110,6 @@ 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('-')
 
@@ -123,14 +117,13 @@ 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: int = get_timestamp_int(
+    new_expiry_date = get_values_from_cb_normalized_date(expiry_date)
-        get_values_from_cb_normalized_date(expiry_date)
+
-    )
     return Symbol(
         base=base,
         quote=quote,
@@ -150,12 +143,11 @@ 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' or option_type == 'PUT':
+    if option_type == 'P':
         option_type = PUT 
-    elif option_type == 'C' or option_type == 'CALL':
+    elif option_type == 'C':
         option_type = CALL
     else:
         raise Exception("Couldn\'t parse option type")
@@ -166,7 +158,7 @@ def piker_sym_to_cb_sym(name: str) -> Symbol:
         type=OPTION,
         strike_price=strike_price,
         option_type=option_type,
-        expiry_date=new_expiry_date
+        expiry_date=expiry_date
     )
 
 
@@ -234,18 +226,16 @@ def get_config() -> dict[str, Any]:
         )
 
     conf_option = section.get('option', {})
-    conf_log = conf_option.get('log', {})
+    section.clear # clear the dict to reuse it
-    return {
+    section['deribit'] = {}
-        'deribit': {
+    section['deribit']['key_id'] = conf_option.get('api_key')
-            'key_id': conf_option['key_id'],
+    section['deribit']['key_secret'] = conf_option.get('api_secret')
-            'key_secret': conf_option['key_secret'],
+
-        },
+    section['log'] = {}
-        'log': {
+    section['log']['filename'] = 'feedhandler.log'
-            'filename': conf_log['filename'],
+    section['log']['level'] = 'DEBUG'
-            'level': conf_log['level'],
+
-            'disabled': conf_log['disabled'],
+    return section
-        }
-    }
 
 
 class Client:
@@ -321,20 +311,6 @@ 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,
@@ -347,7 +323,11 @@ class Client:
 
         '''
         assets = {}
-        currencies = await self.get_currencies()
+        resp = await self._json_rpc_auth_wrapper(
+            'public/get_currencies',
+            params={}
+        )
+        currencies: list[dict] = resp.result
         for currency in currencies:
             name: str = currency['currency']
             tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
@@ -379,82 +359,6 @@ 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
-
-    async def get_expiration_dates(
-        self,
-        currency: str = 'btc',
-        kind: str = 'option',
-
-    ) ->  list[str]:
-        """
-        Get a dict with all expiration dates listed as value and currency as key.
-        """
-        
-        params: dict[str, str] = {
-            'currency': currency.upper(),
-            'kind': kind,
-        }
-
-        r: JSONRPCResult = await self._json_rpc_auth_wrapper(
-            'public/get_expirations',
-            params,
-        )
-        resp = r.result
-
-        return resp[currency][kind]
-
-    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,
@@ -834,116 +738,6 @@ 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(