Design: data schema for opts ts storage #33

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ntorres · 2025-02-18T16:25:05Z

ntorres commented

2025-02-18 16:25:05 +00:00

We need to define a suitable data schema for options timeseries storage.

The fundamental “source” data schema we need to store for computing max pain at this moment:

{ ‘timestamp’: int, ‘strike_price’: int, ‘option_type’: str, ‘open_interest’: Decimal, }

Maybe we need to evaluate which data we want to add to the above data schema.

For the storage we need to add methods like write_ohlcv() and read_ohlcv() for the new data schema: write_oi() and read_oi() (of course, this can be change)

Also, add a method like mk_ohlcv_shm_keyed_filepath() for the open interest shm keyed filepath: mk_oi_shm_keyed_filepath()

We need to define a suitable data schema for options timeseries storage. ----- The fundamental “source” data schema we need to store for computing max pain at this moment: { 'timestamp': int, 'strike_price': int, 'option_type': str, 'open_interest': Decimal, } Maybe we need to evaluate which data we want to add to the above data schema. For the storage we need to add methods like write_ohlcv() and read_ohlcv() for the new data schema: write_oi() and read_oi() (of course, this can be change) Also, add a method like mk_ohlcv_shm_keyed_filepath() for the open interest shm keyed filepath: mk_oi_shm_keyed_filepath()

ntorres closed this issue

2025-02-18 16:39:56 +00:00

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Reference: pikers/piker#33