Max pain docs.

cleaning the code

examples/max_pain.py

@@ -0,0 +1,139 @@
+#!/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]]
+    expiry_dates: list[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: str = input('Please enter a valid expiration date: ').upper()
+    print('Starting little 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 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)

examples/max_pain_readme.rst

@@ -0,0 +1,19 @@
+## 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.

max_pain.py

@@ -1,39 +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:
-    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
-
-
-
-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

@@ -234,17 +234,18 @@ def get_config() -> dict[str, Any]:
         )
 
     conf_option = section.get('option', {})
-    section = {} # 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'
-    section['log']['disabled'] = True
-
-    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'],
+        }
+    }
 
 def check_if_complete(
     oi: dict[str, dict[str, Decimal | None]],
@@ -424,6 +425,29 @@ class Client:
 
         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],
@@ -826,16 +850,10 @@ async def maybe_open_price_feed(
 
 async def aio_open_interest_feed_relay(
     fh: FeedHandler,
-    oi_by_strikes: dict[str, dict[str, Decimal]],
     instruments: list[Symbol],
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
-    
-    intrinsic_values: dict[str, dict[str, Decimal]] = {}
-    total_intrinsic_value: Decimal = Decimal('Infinity')
-    max_pain: Decimal = Decimal(0)
-
     async def _trade(
         trade: Trade,  # cryptofeed, NOT ours from `.venues`!
         receipt_timestamp: int,
@@ -857,11 +875,6 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        nonlocal intrinsic_values
-        nonlocal oi_by_strikes
-        nonlocal total_intrinsic_value
-        nonlocal max_pain
-
         symbol: Symbol = str_to_cb_sym(oi.symbol)
         piker_sym: str = cb_sym_to_deribit_inst(symbol)
         (
@@ -872,36 +885,13 @@ async def aio_open_interest_feed_relay(
         ) = tuple(
             piker_sym.split('-')
         )
-        open_interest: Decimal = oi.open_interest
-        oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
-
-        is_ready = check_if_complete(oi_by_strikes)
-        if is_ready:
-            for strike in oi_by_strikes:
-                s: Decimal = Decimal(f'{strike}')
-                closes: list[str] = sorted(oi_by_strikes.keys())
-                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[f'{strike}'] = {}
-                intrinsic_values[f'{strike}']['C'] = call_cash
-                intrinsic_values[f'{strike}']['P'] = put_cash
-                intrinsic_values[f'{strike}']['total'] = (call_cash + put_cash)
-
-            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
-            
-            print('-----------------------------------------------')
-            print(f'expiry date:           {expiry_date}')
-            print(f'max_pain:              {max_pain}')
-            print(f'total intrinsic value: {total_intrinsic_value}')
-            print('-----------------------------------------------')
+        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]
@@ -931,16 +921,6 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
     instruments: list[Symbol], 
 ) -> to_asyncio.LinkedTaskChannel:
-    expiry_date: str = '6DEC24'
-    instruments: list[Symbol] = []
-    oi_by_strikes: dict[str, dict[str, Decimal]]
-
-    async with get_client(
-    ) as client:
-        instruments = await client.get_instruments(
-            expiry_date=expiry_date,
-        )
-        oi_by_strikes = client.get_strikes_dict(instruments)
 
     fh: FeedHandler
     first: None
@@ -952,7 +932,6 @@ async def open_oi_feed(
                 aio_open_interest_feed_relay,
                 fh,
                 instruments,
-                oi_by_strikes,
             )
         ) as (first, chan)
     ):
@@ -971,7 +950,7 @@ async def maybe_open_oi_feed(
         kwargs={
             'instruments': instruments
         },
-        key=f'{instruments[0]}',
+        key=f'{instruments[0].base}',
 
     ) as (cache_hit, feed):
         if cache_hit: