added first calcs for max_pain

Now we get the data for an e specific expiration date if and expiry_date is passed, or for all expiration if expiry_date is None

max_pain.py

@@ -0,0 +1,27 @@
+#!/usr/bin/env python
+import trio
+import tractor
+from piker.brokers.deribit.api import (
+    maybe_open_oi_feed,
+)
+
+
+async def max_pain_daemon(
+) -> None:
+    async with maybe_open_oi_feed() as oi_feed:
+        print('Im in...')
+
+
+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

@@ -112,6 +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('-')
 
@@ -124,8 +128,9 @@ def str_to_cb_sym(name: str) -> Symbol:
     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,
@@ -145,11 +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")
@@ -160,7 +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
     )
 
 
@@ -236,6 +242,7 @@ def get_config() -> dict[str, Any]:
     section['log'] = {}
     section['log']['filename'] = 'feedhandler.log'
     section['log']['level'] = 'DEBUG'
+    section['log']['disabled'] = True
 
     return section
 
@@ -313,6 +320,20 @@ 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,
@@ -325,11 +346,7 @@ class Client:
 
         '''
         assets = {}
-        resp = await self._json_rpc_auth_wrapper(
+        currencies = await self.get_currencies()
-            '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'])
@@ -366,6 +383,7 @@ class Client:
         currency: str = 'btc',
         kind: str = 'option',
         expired: bool = False,
+        expiry_date: str = None,
 
     ) -> list[Symbol]:
         """
@@ -384,8 +402,10 @@ class Client:
         resp = r.result 
         response_list = []
 
-        for i in range(len(resp) // 10):
+        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
@@ -772,6 +792,10 @@ async def maybe_open_price_feed(
 async def aio_open_interest_feed_relay(
     fh: FeedHandler,
     instruments: list,
+    open_interests: dict[str, dict[str, dict[str, list[dict[str, Decimal]]]]],
+    losses_cache: dict[str, Decimal],
+    max_losses: Decimal,
+    max_pain: Decimal,
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
@@ -783,12 +807,6 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "trades" to `piker`-side.
 
         '''
-        # Get timestamp and convert it to isoformat
-        date = (datetime.utcfromtimestamp(trade.timestamp)).isoformat()
-        print('Trade...')
-        print(date)
-        print(trade)
-        print('=======================')
         to_trio.send_nowait(('trade', trade))
 
 	# trade and oi are user defined functions that
@@ -802,18 +820,88 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        # Get timestamp and convert it to isoformat
+        nonlocal losses_cache
-        date = (datetime.utcfromtimestamp(oi.timestamp)).isoformat()
+        nonlocal max_losses
-        print('>>>> Open Interest...')
+        nonlocal max_pain
-        print(date)
+        nonlocal open_interests
-        print(oi)
+        symbol: Symbol = str_to_cb_sym(oi.symbol)
-        print('==========================')
+        piker_sym: str = cb_sym_to_deribit_inst(symbol)
-        to_trio.send_nowait(('oi', oi))
+        data: dict = oi.raw['params']['data']
+        (
+            base,
+            expiry_date,
+            strike_price,
+            option_type
+        ) = tuple(
+            piker_sym.split('-')
+        )
+        if not f'{expiry_date}' in open_interests:
+            open_interests[f'{expiry_date}'] = {
+                f'{strike_price}': {
+                    'C': [],
+                    'P': [],
+                    'strike_losses': Decimal(0),
+                }
+            }
+        if not f'{strike_price}' in open_interests[f'{expiry_date}']:
+            open_interests[f'{expiry_date}'][f'{strike_price}'] = {
+                'C': [],
+                'P': [],
+                'strike_losses': Decimal(0),
+            }
+
+        index_price: Decimal = data['index_price']
+        price_delta: Decimal = abs(index_price - Decimal(strike_price))
+        open_interest: Decimal = oi.open_interest
+
+        losses: Decimal = price_delta * open_interest
+
+        if not f'{strike_price}' in losses_cache:
+            losses_cache[f'{strike_price}'] = {
+                'C': Decimal(0),
+                'P': Decimal(0),
+            }
+
+        losses_cache[f'{strike_price}'][f'{option_type}'] = losses
+
+        strike_losses: Decimal = (
+            losses_cache[f'{strike_price}']['C']
+            +
+            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,
+            '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:
+                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('-----------------------------------------------')
+
+
+    channels = [TRADES, OPEN_INTEREST]
+    callbacks={TRADES: _trade, OPEN_INTEREST: _oi}
 
-    callbacks = {TRADES: _trade, OPEN_INTEREST: _oi}
     fh.add_feed(
         DERIBIT,
-        channels=[TRADES, OPEN_INTEREST],
+        channels=channels,
         symbols=instruments,
         callbacks=callbacks
     )
@@ -831,6 +919,60 @@ async def aio_open_interest_feed_relay(
     await asyncio.sleep(float('inf'))
 
 
+@acm
+async def open_oi_feed(
+) -> to_asyncio.LinkedTaskChannel:
+
+    expiry_date: str = '6DEC24'  # '6DEC24' '26SEP25' '27JUN25' '13DEC24'
+    instruments: list[Symbol] = []
+    async with get_client(
+    ) as client:
+        # to get all currencies available in deribit
+        # currencies = await client.get_currencies()
+        instruments = await client.get_instruments(
+            expiry_date=expiry_date,
+        )
+    losses_cache: dict[str, Decimal] = { # {'<strike_price>': <value>}
+        'C': Decimal(0),
+        'P': Decimal(0),
+    }
+    max_losses: Decimal = Decimal(0)
+    max_pain: Decimal = Decimal(0)
+    open_interests: dict[str, dict[str, dict[str, list[dict]]]] = {}
+    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,
+                open_interests,
+                losses_cache,
+                max_losses,
+                max_pain,
+            )
+        ) as (first, chan)
+    ):
+        yield chan
+
+
+@acm
+async def maybe_open_oi_feed(
+) -> 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,
+    ) 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(