max_pain.py

@@ -2,6 +2,8 @@
 import trio
 import tractor
 from piker.brokers.deribit.api import (
+    Client,
+    get_client,
     maybe_open_oi_feed,
 )
 

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('-')
 
@@ -123,14 +119,13 @@ 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 +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
     )
 
 
@@ -242,24 +236,9 @@ def get_config() -> dict[str, Any]:
     section['log'] = {}
     section['log']['filename'] = 'feedhandler.log'
     section['log']['level'] = 'DEBUG'
-    section['log']['disabled'] = True
 
     return section
 
-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
-                
 
 class Client:
     '''
@@ -334,20 +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,
@@ -360,7 +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'])
@@ -397,7 +366,6 @@ class Client:
         currency: str = 'btc',
         kind: str = 'option',
         expired: bool = False,
-        expiry_date: str = None,
 
     ) -> list[Symbol]:
         """
@@ -416,35 +384,12 @@ 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]}'
+            response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
-            if not expiry_date or name == expiry_date.upper():
-                response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
 
         return response_list
 
-    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,
@@ -827,15 +772,9 @@ async def maybe_open_price_feed(
 async def aio_open_interest_feed_relay(
     fh: FeedHandler,
     instruments: list,
-    intrinsic_values: dict[str, Decimal],
-    oi_by_strikes: dict[str, dict[str, Decimal]],
     from_trio: asyncio.Queue,
     to_trio: trio.abc.SendChannel,
 ) -> None:
-    
-    max_losses: Decimal = Decimal('Infinity')
-    max_pain: Decimal = Decimal(0)
-
     async def _trade(
         trade: Trade,  # cryptofeed, NOT ours from `.venues`!
         receipt_timestamp: int,
@@ -844,6 +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
@@ -857,60 +802,18 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        nonlocal intrinsic_values
+        # Get timestamp and convert it to isoformat
-        nonlocal oi_by_strikes
+        date = (datetime.utcfromtimestamp(oi.timestamp)).isoformat()
-        nonlocal max_losses
+        print('>>>> Open Interest...')
-        nonlocal max_pain
+        print(date)
-
+        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))
-        (
-            base,
-            expiry_date,
-            strike_price,
-            option_type
-        ) = 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}')
-                close_losses = Decimal(0)
-                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'] < max_losses:
-                    max_losses = intrinsic_values[f'{strike}']['total']
-                    max_pain = strike
-            
-            print('-----------------------------------------------')
-            print(f'time:   {oi.timestamp}')
-            print(f'max_pain:   {max_pain}')
-            print(f'max_losses: {max_losses}')
-            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
     )
@@ -932,17 +835,10 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
 ) -> to_asyncio.LinkedTaskChannel:
 
-    expiry_date: str = '20DEC24'
+    instruments: list[Symbol]
-    instruments: list[Symbol] = []
-    intrinsic_values: dict[str, dict[str, Decimal]] = {}
-    oi_by_strikes: dict[str, dict[str, Decimal]]
-
     async with get_client(
     ) as client:
-        instruments = await client.get_instruments(
+        instruments = await client.get_instruments()
-            expiry_date=expiry_date,
-        )
-        oi_by_strikes = client.get_strikes_dict(instruments)
 
     fh: FeedHandler
     first: None
@@ -953,9 +849,7 @@ async def open_oi_feed(
             partial(
                 aio_open_interest_feed_relay,
                 fh,
-                instruments,
+                instruments
-                intrinsic_values,
-                oi_by_strikes,
             )
         ) as (first, chan)
     ):