examples/max_pain.py

@@ -10,6 +10,11 @@ from piker.brokers.deribit.api import (
     get_client,
     maybe_open_oi_feed,
 )
+import sys
+import pyqtgraph as pg
+from PyQt6 import QtCore
+from pyqtgraph import ScatterPlotItem, InfiniteLine
+from PyQt6.QtWidgets import QApplication
 
 def check_if_complete(
         oi: dict[str, dict[str, Decimal | None]]
@@ -49,6 +54,103 @@ async def max_pain_daemon(
         oi_by_strikes = client.get_strikes_dict(instruments)
 
 
+    def get_total_intrinsic_values(
+        oi_by_strikes: dict[str, dict[str, Decimal]]
+    ) -> dict[str, dict[str, Decimal]]:
+        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,
+            }
+
+        return intrinsic_values
+
+    def get_intrinsic_value_and_max_pain(
+        intrinsic_values: dict[str, dict[str, Decimal]]
+        ):
+        # 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)
+
+        for strike, oi in oi_by_strikes.items():
+            s = Decimal(strike)
+            if intrinsic_values[strike]['total'] < total_intrinsic_value:
+                total_intrinsic_value = intrinsic_values[strike]['total']
+                max_pain = s
+
+        return total_intrinsic_value, max_pain
+
+    def plot_graph(
+        oi_by_strikes: dict[str, dict[str, Decimal]],
+        plot,
+    ):
+        """Update the bar graph with new open interest data."""
+        plot.clear()
+
+        intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
+
+        for strike_str in sorted(oi_by_strikes, key=lambda x: int(x)):
+            strike = int(strike_str)
+            calls_val = float(oi_by_strikes[strike_str]['C'])
+            puts_val  = float(oi_by_strikes[strike_str]['P'])
+
+            bar_c = pg.BarGraphItem(
+                x=[strike - 100],
+                height=[calls_val],
+                width=200,
+                pen='w',
+                brush=(0, 0, 255, 150)
+            )
+            plot.addItem(bar_c)
+
+            bar_p = pg.BarGraphItem(
+                x=[strike + 100],
+                height=[puts_val],
+                width=200,
+                pen='w',
+                brush=(255, 0, 0, 150)
+            )
+            plot.addItem(bar_p)
+
+            total_val = float(intrinsic_values[strike_str]['total']) / 100000
+
+            scatter_iv = ScatterPlotItem(
+                x=[strike],
+                y=[total_val],
+                pen=pg.mkPen(color=(0, 255, 0), width=2),
+                brush=pg.mkBrush(0, 255, 0, 150),
+                size=3,
+                symbol='o'
+            )
+            plot.addItem(scatter_iv)
+
+        _, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
+
+        vertical_line = InfiniteLine(
+            pos=max_pain,
+            angle=90,
+            pen=pg.mkPen(color='yellow', width=1, style=QtCore.Qt.PenStyle.DotLine),
+            label=f'Max pain: {max_pain:,.0f}',
+            labelOpts={
+                'position': 0.85,
+                'color': 'yellow',
+                'movable': True
+            }
+        )
+        plot.addItem(vertical_line)
+
     def update_oi_by_strikes(msg: tuple):
         nonlocal oi_by_strikes
         if 'oi' == msg[0]:
@@ -74,30 +176,10 @@ async def max_pain_daemon(
         '''
 
         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():
+        intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
-            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] = {
+        total_intrinsic_value, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
-                '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,
@@ -109,6 +191,16 @@ async def max_pain_daemon(
     async with maybe_open_oi_feed(
         instruments,
     ) as oi_feed:
+        # Initialize QApplication
+        app = QApplication(sys.argv)
+
+        win = pg.GraphicsLayoutWidget(show=True)
+        win.setWindowTitle('Calls (blue) vs Puts (red)')
+
+        plot = win.addPlot(title='OI by Strikes')
+        plot.showGrid(x=True, y=True)
+        print('Plot initialized...')
+
         async for msg in oi_feed:
 
             update_oi_by_strikes(msg)
@@ -116,13 +208,21 @@ async def max_pain_daemon(
                 if 'oi' == msg[0]:
                     timestamp = msg[1]['timestamp']
                     max_pain = get_max_pain(oi_by_strikes)
+                    intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
+
+                    # graph here
+                    plot_graph(oi_by_strikes, plot)
+
                     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'max_pain:              {max_pain['max_pain']:,.0f}')
-                    print(f'total intrinsic value: {max_pain['total_intrinsic_value']}')
+                    print(f'total intrinsic value: {max_pain['total_intrinsic_value']:,.0f}')
                     print('-----------------------------------------------')
 
+            # Process GUI events to keep the window responsive
+            app.processEvents()
+
 
 async def main():