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Author SHA1 Message Date
Nelson Torres e37fb00e7d removed unused variable
minor refactor
2024-12-06 10:56:51 +00:00
1 changed files with 7 additions and 7 deletions

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@ -875,11 +875,10 @@ async def aio_open_interest_feed_relay(
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:
if check_if_complete(oi_by_strikes):
closes: list[str] = sorted(oi_by_strikes.keys())
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
closes: list[str] = sorted(oi_by_strikes.keys())
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
for close in closes:
@ -887,10 +886,11 @@ async def aio_open_interest_feed_relay(
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)
intrinsic_values[strike] = {
'C': call_cash,
'P': put_cash,
'total': call_cash + put_cash,
}
for strike in intrinsic_values:
if intrinsic_values[f'{strike}']['total'] < total_intrinsic_value: