max_pain.py

@@ -1,27 +0,0 @@
-#!/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

@@ -112,10 +112,6 @@ 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('-')
 
@@ -128,9 +124,8 @@ def str_to_cb_sym(name: str) -> Symbol:
     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 +145,11 @@ 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 +160,7 @@ 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
     )
 
 
@@ -242,7 +236,6 @@ def get_config() -> dict[str, Any]:
     section['log'] = {}
     section['log']['filename'] = 'feedhandler.log'
     section['log']['level'] = 'DEBUG'
-    section['log']['disabled'] = True
 
     return section
 
@@ -320,20 +313,6 @@ 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,
@@ -346,7 +325,11 @@ 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'])
@@ -383,7 +366,6 @@ class Client:
         currency: str = 'btc',
         kind: str = 'option',
         expired: bool = False,
-        expiry_date: str = None,
 
     ) -> list[Symbol]:
         """
@@ -402,10 +384,8 @@ class Client:
         resp = r.result 
         response_list = []
 
-        for i in range(len(resp)):
+        for i in range(len(resp) // 10):
             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
@@ -792,10 +772,6 @@ 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:
@@ -807,6 +783,12 @@ 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
@@ -820,88 +802,18 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        nonlocal losses_cache
+        # Get timestamp and convert it to isoformat
-        nonlocal max_losses
+        date = (datetime.utcfromtimestamp(oi.timestamp)).isoformat()
-        nonlocal max_pain
+        print('>>>> Open Interest...')
-        nonlocal open_interests
+        print(date)
-        symbol: Symbol = str_to_cb_sym(oi.symbol)
+        print(oi)
-        piker_sym: str = cb_sym_to_deribit_inst(symbol)
+        print('==========================')
-        data: dict = oi.raw['params']['data']
+        to_trio.send_nowait(('oi', oi))
-        (
-            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=channels,
+        channels=[TRADES, OPEN_INTEREST],
         symbols=instruments,
         callbacks=callbacks
     )
@@ -919,60 +831,6 @@ 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(