Add get expiration dates in deribit api

expiration date.

examples/max_pain.py

@@ -1,125 +0,0 @@
-#!/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:
-    expiry_date: str = input('Please enter a valid expiration date (7feb25): ').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)