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Author SHA1 Message Date
Nelson Torres f594edd69d Max pain docs. 2025-01-29 01:49:46 -03:00
Nelson Torres 1f9d97d77e This script contains the necessary logic to calculate the max pain for a given
expiration date.
2025-01-29 01:49:46 -03:00
Nelson Torres 289d01f233 Here are the necessary fuctions to fetch the data
from deribit, using cryptofeed library, this functions are located
in the deribit's api module.

Changes:
1. Add and fix auxiliar functions for handling cryptofeed data.
2. Add aio open interest functions for context management and cryptofeed conexions.
3. Some typos and format fixes too.
2025-01-29 01:49:46 -03:00
Nelson Torres dc1d0c8653 uv migration 2025-01-29 01:38:38 -03:00
7 changed files with 1973 additions and 152 deletions

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@ -25,7 +25,7 @@ let
xorgxcbutilrenderutilStorePath = lib.getLib xorg.xcbutilrenderutil;
in
stdenv.mkDerivation {
name = "piker-qt6-poetry-shell";
name = "piker-qt6-uv";
buildInputs = [
# System requirements.
glib
@ -50,7 +50,7 @@ stdenv.mkDerivation {
# Python requirements.
python312Full
python312Packages.poetry-core
python312Packages.uv
python312Packages.qdarkstyle
python312Packages.rapidfuzz
python312Packages.pyqt6
@ -123,18 +123,8 @@ stdenv.mkDerivation {
export PATCH
# Maybe create venv & install deps
poetry install --with uis
# Use pyqt6 from System, patch activate script
ACTIVATE_SCRIPT_PATH="$(poetry env info --path)/bin/activate"
if grep -q "$PATCH" "$ACTIVATE_SCRIPT_PATH"; then
echo "venv is already patched."
else
echo "patching $ACTIVATE_SCRIPT_PATH to use pyqt6 from nixos..."
sed -i "\$i$PATCH" $ACTIVATE_SCRIPT_PATH
fi
# Install deps
uv lock
'';
}

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@ -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)

View File

@ -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.

View File

@ -52,12 +52,14 @@ 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 (
@ -110,6 +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('-')
@ -117,13 +123,14 @@ 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 = 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,
@ -143,11 +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")
@ -158,7 +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
)
@ -226,16 +234,18 @@ def get_config() -> dict[str, Any]:
)
conf_option = section.get('option', {})
section.clear # 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'
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'],
}
}
class Client:
@ -311,6 +321,20 @@ 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,
@ -323,11 +347,7 @@ class Client:
'''
assets = {}
resp = await self._json_rpc_auth_wrapper(
'public/get_currencies',
params={}
)
currencies: list[dict] = resp.result
currencies = await self.get_currencies()
for currency in currencies:
name: str = currency['currency']
tx_tick: Decimal = digits_to_dec(currency['fee_precision'])
@ -359,6 +379,82 @@ 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,
@ -738,6 +834,116 @@ 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(

View File

@ -15,8 +15,8 @@
# You should have received a copy of the GNU Affero General Public License
# along with this program. If not, see <https://www.gnu.org/licenses/>.
[build-system]
requires = ["poetry-core"]
build-backend = "poetry.core.masonry.api"
requires = ["hatchling"]
build-backend = "hatchling.build"
# ------ - ------
@ -34,120 +34,114 @@ ignore = []
# ------ - ------
[tool.poetry]
name = "piker"
version = "0.1.0.alpha0.dev0"
description = "trading gear for hackers"
authors = ["Tyler Goodlet <goodboy_foss@protonmail.com>"]
license = "AGPLv3"
readme = "README.rst"
# ------ - ------
[tool.poetry.dependencies]
async-generator = "^1.10"
attrs = "^23.1.0"
bidict = "^0.22.1"
colorama = "^0.4.6"
colorlog = "^6.7.0"
ib-insync = "^0.9.86"
msgspec = "^0.18.6"
numba = "^0.59.0"
numpy = "^1.25"
polars = "^0.18.13"
pygments = "^2.16.1"
python = ">=3.11, <3.13"
rich = "^13.5.2"
# setuptools = "^68.0.0"
tomli = "^2.0.1"
tomli-w = "^1.0.0"
trio-util = "^0.7.0"
trio-websocket = "^0.10.3"
typer = "^0.9.0"
rapidfuzz = "^3.5.2"
pdbp = "^1.5.0"
trio = "^0.24"
pendulum = "^3.0.0"
httpx = "^0.27.0"
cryptofeed = "^2.4.0"
pyarrow = "^17.0.0"
tractor = {path = "../tractor", develop = true}
websockets = "12.0"
[tool.poetry.dependencies.asyncvnc]
git = 'https://github.com/pikers/asyncvnc.git'
branch = 'main'
[tool.poetry.dependencies.tomlkit]
develop = true
git = 'https://github.com/pikers/tomlkit.git'
branch = 'piker_pin'
# path = "../tomlkit/"
[tool.poetry.group.uis]
optional = true
[tool.poetry.group.uis.dependencies]
# https://python-poetry.org/docs/managing-dependencies/#dependency-groups
# TODO: make sure the levenshtein shit compiles on nix..
# rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
rapidfuzz = "^3.2.0"
qdarkstyle = ">=3.0.2"
pyqtgraph = { git = 'https://github.com/pikers/pyqtgraph.git' }
# ------ - ------
pyqt6 = "^6.7.0"
[tool.poetry.group.dev]
optional = true
[tool.poetry.group.dev.dependencies]
# testing / CI
pytest = "^6.0.0"
elasticsearch = "^8.9.0"
xonsh = "^0.14.2"
prompt-toolkit = "3.0.40"
cython = "^3.0.0"
greenback = "^1.1.1"
# console ehancements and eventually remote debugging
# extras/helpers.
# TODO: add a toolset that makes debugging a `pikerd` service
# (tree) easy to hack on directly using more or less the local env:
# - xonsh + xxh
# - rsyscall + pdbp
# - actor runtime control console like BEAM/OTP
# ------ - ------
# TODO: add an `--only daemon` group for running non-ui / pikerd
# service tree in distributed mode B)
# https://python-poetry.org/docs/managing-dependencies/#installing-group-dependencies
# [tool.poetry.group.daemon.dependencies]
[tool.poetry.scripts]
piker = 'piker.cli:cli'
pikerd = 'piker.cli:pikerd'
ledger = 'piker.accounting.cli:ledger'
[project]
name="piker"
keywords=[
"async",
"trading",
"finance",
"quant",
"charting",
name = "piker"
version = "0.1.0a0dev0"
description = "trading gear for hackers"
authors = [{ name = "Tyler Goodlet", email = "goodboy_foss@protonmail.com" }]
requires-python = ">=3.12, <3.13"
license = "AGPL-3.0-or-later"
readme = "README.rst"
keywords = [
"async",
"trading",
"finance",
"quant",
"charting",
]
classifiers=[
'Development Status :: 3 - Alpha',
"License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
'Operating System :: POSIX :: Linux',
"Programming Language :: Python :: Implementation :: CPython",
"Programming Language :: Python :: 3 :: Only",
"Programming Language :: Python :: 3.11",
"Programming Language :: Python :: 3.12",
'Intended Audience :: Financial and Insurance Industry',
'Intended Audience :: Science/Research',
'Intended Audience :: Developers',
'Intended Audience :: Education',
classifiers = [
"Development Status :: 3 - Alpha",
"License :: OSI Approved :: GNU Affero General Public License v3 or later (AGPLv3+)",
"Operating System :: POSIX :: Linux",
"Programming Language :: Python :: Implementation :: CPython",
"Programming Language :: Python :: 3 :: Only",
"Programming Language :: Python :: 3.11",
"Programming Language :: Python :: 3.12",
"Intended Audience :: Financial and Insurance Industry",
"Intended Audience :: Science/Research",
"Intended Audience :: Developers",
"Intended Audience :: Education",
]
dependencies = [
"async-generator >=1.10, <2.0.0",
"attrs >=23.1.0, <24.0.0",
"bidict >=0.22.1, <0.23.0",
"colorama >=0.4.6, <0.5.0",
"colorlog >=6.7.0, <7.0.0",
"ib-insync >=0.9.86, <0.10.0",
"numba >=0.59.0, <0.60.0",
"numpy >=1.25, <2.0",
"polars >=0.18.13, <0.19.0",
"pygments >=2.16.1, <3.0.0",
"rich >=13.5.2, <14.0.0",
"tomli >=2.0.1, <3.0.0",
"tomli-w >=1.0.0, <2.0.0",
"trio-util >=0.7.0, <0.8.0",
"trio-websocket >=0.10.3, <0.11.0",
"typer >=0.9.0, <1.0.0",
"rapidfuzz >=3.5.2, <4.0.0",
"pdbp >=1.5.0, <2.0.0",
"trio >=0.24, <0.25",
"pendulum >=3.0.0, <4.0.0",
"httpx >=0.27.0, <0.28.0",
"cryptofeed >=2.4.0, <3.0.0",
"pyarrow >=17.0.0, <18.0.0",
"websockets ==12.0",
"msgspec",
"tractor",
"asyncvnc",
"tomlkit",
]
[project.optional-dependencies]
uis = [
# https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
# TODO: make sure the levenshtein shit compiles on nix..
# rapidfuzz = {extras = ["speedup"], version = "^0.18.0"}
"rapidfuzz >=3.2.0, <4.0.0",
"qdarkstyle >=3.0.2, <4.0.0",
"pyqt6 >=6.7.0, <7.0.0",
"pyqtgraph",
# ------ - ------
# TODO: add an `--only daemon` group for running non-ui / pikerd
# service tree in distributed mode B)
# https://docs.astral.sh/uv/concepts/projects/dependencies/#optional-dependencies
# [project.optional-dependencies]
]
[dependency-groups]
dev = [
"pytest >=6.0.0, <7.0.0",
"elasticsearch >=8.9.0, <9.0.0",
"xonsh >=0.14.2, <0.15.0",
"prompt-toolkit ==3.0.40",
"cython >=3.0.0, <4.0.0",
"greenback >=1.1.1, <2.0.0",
# console ehancements and eventually remote debugging
# extras/helpers.
# TODO: add a toolset that makes debugging a `pikerd` service
# (tree) easy to hack on directly using more or less the local env:
# - xonsh + xxh
# - rsyscall + pdbp
# - actor runtime control console like BEAM/OTP
]
[project.scripts]
piker = "piker.cli:cli"
pikerd = "piker.cli:pikerd"
ledger = "piker.accounting.cli:ledger"
[tool.hatch.build.targets.sdist]
include = ["piker"]
[tool.hatch.build.targets.wheel]
include = ["piker"]
[tool.uv.sources]
pyqtgraph = { git = "https://github.com/pikers/pyqtgraph.git" }
asyncvnc = { git = "https://github.com/pikers/asyncvnc.git", branch = "main" }
tomlkit = { git = "https://github.com/pikers/tomlkit.git", branch ="piker_pin" }
msgspec = { git = "https://github.com/jcrist/msgspec.git" }
tractor = { path = "../tractor" }

1473
uv.lock 100644

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