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max_pain_chart #23

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ntorres wants to merge 2 commits from max_pain_chart into max_pain_deribit
pull from: max_pain_chart
merge into: pikers:max_pain_deribit
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148
examples/max_pain.py
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@ -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():
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 = get_total_intrinsic_values(oi_by_strikes)
intrinsic_values[strike] = {
'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
total_intrinsic_value, max_pain = get_intrinsic_value_and_max_pain(intrinsic_values)
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'total intrinsic value: {max_pain['total_intrinsic_value']}')
print(f'max_pain: {max_pain['max_pain']:,.0f}')
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():