oi max_pain major refactor

Now the max_pain is calculated taking into account all strike prices and all close prices to find the intrinsic value as deribit.

max_pain.py

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

piker/brokers/deribit/api.py

@@ -112,6 +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('-')
 
@@ -119,13 +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,
@@ -145,11 +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")
@@ -160,7 +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
     )
 
 
@@ -236,9 +242,24 @@ 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:
     '''
@@ -313,6 +334,20 @@ 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,
@@ -325,11 +360,7 @@ 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'])
@@ -366,6 +397,7 @@ class Client:
         currency: str = 'btc',
         kind: str = 'option',
         expired: bool = False,
+        expiry_date: str = None,
 
     ) -> list[Symbol]:
         """
@@ -384,12 +416,35 @@ class Client:
         resp = r.result 
         response_list = []
 
-        for i in range(len(resp) // 10):
+        for i in range(len(resp)):
             element = resp[i]
-            response_list.append(piker_sym_to_cb_sym(element['instrument_name']))
+            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
 
+    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,
@@ -772,9 +827,15 @@ 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,
@@ -783,12 +844,6 @@ 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
@@ -802,18 +857,60 @@ async def aio_open_interest_feed_relay(
         Proxy-thru `cryptofeed.FeedHandler` "oi" to `piker`-side.
 
         '''
-        # Get timestamp and convert it to isoformat
-        date = (datetime.utcfromtimestamp(oi.timestamp)).isoformat()
-        print('>>>> Open Interest...')
-        print(date)
-        print(oi)
-        print('==========================')
-        to_trio.send_nowait(('oi', oi))
+        nonlocal intrinsic_values
+        nonlocal oi_by_strikes
+        nonlocal max_losses
+        nonlocal max_pain
+
+        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('-')
+        )
+        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=[TRADES, OPEN_INTEREST],
+        channels=channels,
         symbols=instruments,
         callbacks=callbacks
     )
@@ -835,10 +932,17 @@ async def aio_open_interest_feed_relay(
 async def open_oi_feed(
 ) -> to_asyncio.LinkedTaskChannel:
 
-    instruments: list[Symbol]
+    expiry_date: str = '20DEC24'
+    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
@@ -849,7 +953,9 @@ async def open_oi_feed(
             partial(
                 aio_open_interest_feed_relay,
                 fh,
-                instruments
+                instruments,
+                intrinsic_values,
+                oi_by_strikes,
             )
         ) as (first, chan)
     ):