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2 Commits

Author SHA1 Message Date
Nelson Torres 3526d5d564 minor refactor
cleaning the code
2024-12-08 13:38:23 -03:00
Nelson Torres 1ac643018a added aux method for update and check if completed 2024-12-08 13:34:58 -03:00
1 changed files with 42 additions and 42 deletions

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@ -11,6 +11,15 @@ from piker.brokers.deribit.api import (
maybe_open_oi_feed, 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( async def max_pain_daemon(
) -> None: ) -> None:
@ -18,19 +27,17 @@ async def max_pain_daemon(
instruments: list[Symbol] = [] instruments: list[Symbol] = []
oi_by_strikes: dict[str, dict[str, Decimal]] oi_by_strikes: dict[str, dict[str, Decimal]]
def check_if_complete( def update_oi_by_strikes(msg: tuple):
oi: dict[str, dict[str, Decimal | None]], nonlocal oi_by_strikes
if 'oi' == msg[0]:
) -> bool: strike_price = msg[1]['strike_price']
for strike in oi: option_type = msg[1]['option_type']
if ( open_interest = msg[1]['open_interest']
oi[strike]['C'] == None oi_by_strikes.setdefault(
or strike_price, {}
oi[strike]['P'] == None ).update(
): {option_type: open_interest}
return False )
return True
def get_max_pain( def get_max_pain(
oi_by_strikes: dict[str, dict[str, Decimal]] oi_by_strikes: dict[str, dict[str, Decimal]]
@ -50,28 +57,25 @@ async def max_pain_daemon(
# an amount greater than zero. # an amount greater than zero.
total_intrinsic_value: Decimal = Decimal('Infinity') total_intrinsic_value: Decimal = Decimal('Infinity')
max_pain: Decimal = Decimal(0) max_pain: Decimal = Decimal(0)
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
intrinsic_values: dict[str, dict[str, Decimal]] = {} intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list[str] = sorted(oi_by_strikes.keys()) closes: list = sorted(Decimal(close) for close in oi_by_strikes)
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}') for strike, oi in oi_by_strikes.items():
call_cash: Decimal = Decimal(0) s = Decimal(strike)
put_cash: Decimal = Decimal(0) call_cash = sum(max(0, (s - c) * oi_by_strikes[str(c)]['C']) for c in closes)
for close in closes: put_cash = sum(max(0, (c - s) * oi_by_strikes[str(c)]['P']) for c 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[strike] = { intrinsic_values[strike] = {
'C': call_cash, 'C': call_cash,
'P': put_cash, 'P': put_cash,
'total': call_cash + put_cash, 'total': call_cash + put_cash,
} }
for strike in intrinsic_values: if intrinsic_values[strike]['total'] < total_intrinsic_value:
if intrinsic_values[f'{strike}']['total'] < total_intrinsic_value: total_intrinsic_value = intrinsic_values[strike]['total']
total_intrinsic_value = intrinsic_values[f'{strike}']['total'] max_pain = s
max_pain = strike\
return { return {
'timestamp': timestamp, 'timestamp': timestamp,
@ -80,7 +84,6 @@ async def max_pain_daemon(
'max_pain': max_pain, 'max_pain': max_pain,
} }
async with get_client( async with get_client(
) as client: ) as client:
instruments = await client.get_instruments( instruments = await client.get_instruments(
@ -92,21 +95,18 @@ async def max_pain_daemon(
instruments, instruments,
) as oi_feed: ) as oi_feed:
async for msg in oi_feed: async for msg in oi_feed:
if 'oi' == msg[0]:
timestamp = msg[1]['timestamp']
strike_price = msg[1]['strike_price']
option_type = msg[1]['option_type']
open_interest = msg[1]['open_interest']
oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
update_oi_by_strikes(msg)
if check_if_complete(oi_by_strikes): if check_if_complete(oi_by_strikes):
max_pain = get_max_pain(oi_by_strikes) if 'oi' == msg[0]:
print('-----------------------------------------------') timestamp = msg[1]['timestamp']
print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}') max_pain = get_max_pain(oi_by_strikes)
print(f'expiry_date: {max_pain['expiry_date']}') print('-----------------------------------------------')
print(f'max_pain: {max_pain['max_pain']}') print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}')
print(f'total intrinsic value: {max_pain['total_intrinsic_value']}') print(f'expiry_date: {max_pain['expiry_date']}')
print('-----------------------------------------------') print(f'max_pain: {max_pain['max_pain']}')
print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
print('-----------------------------------------------')
async def main(): async def main():