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mp_fomo_polish: some feat additions, code styling corrections, general fixes #43

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goodboy wants to merge 8 commits from mp_fomo_polish into max_pain_storage
pull from: mp_fomo_polish
merge into: pikers:max_pain_storage
Conversation 0 Commits 8 Files Changed 5
5 changed files with 95 additions and 19 deletions
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8
README.rst
View File

@ -90,6 +90,14 @@ bc why install with `python` when you can faster with `rust` ::
uv lock
with all GUI support as well::
uv lock --extra uis
AND with all dev (hacking) tools::
uv lock --dev --extra uis
hacky install on nixos
**********************

72
examples/max_pain.py
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@ -2,22 +2,31 @@
from decimal import (
Decimal,
)
from pathlib import Path
import numpy as np
import polars as pl
# import polars as pl
import trio
import tractor
from datetime import datetime
from pprint import pformat
# from pprint import pformat
from piker.brokers.deribit.api import (
get_client,
maybe_open_oi_feed,
)
from piker.storage import open_storage_client, StorageClient
from piker.log import get_logger
import sys
import pyqtgraph as pg
from PyQt6 import QtCore
from pyqtgraph import ScatterPlotItem, InfiniteLine
from PyQt6.QtWidgets import QApplication
from cryptofeed.symbols import Symbol
log = get_logger(__name__)
# XXX, use 2 newlines between top level LOC (even between these
# imports and the next function line ;)
def check_if_complete(
oi: dict[str, dict[str, Decimal | None]]
@ -45,11 +54,16 @@ async def max_pain_daemon(
kind=kind
)
print(f'Available expiration dates for {currency}-{kind}:')
print(f'{expiry_dates}')
expiry_date = input('Please enter a valid expiration date: ').upper()
log.info(
f'Available expiries for {currency!r}-{kind}:\n'
f'{expiry_dates}\n'
)
expiry_date: str = input(
'Please enter a valid expiration date: '
).upper()
print('Starting little daemon...')
# maybe move this type annot down to the assignment line?
oi_by_strikes: dict[str, dict[str, Decimal]]
instruments = await client.get_instruments(
expiry_date=expiry_date,
@ -189,10 +203,13 @@ async def max_pain_daemon(
),
], dtype=dtype)
path = await client.write_oi(
path: Path = await client.write_oi(
col_sym_key,
data,
)
# TODO, use std logging like this throughout for status
# emissions on console!
log.info(f'Wrote OI history to {path}')
def get_max_pain(
oi_by_strikes: dict[str, dict[str, Decimal]]
@ -255,11 +272,33 @@ async def max_pain_daemon(
# hardcoded to something, sorry.)
timestamp = msg[1]['timestamp']
max_pain = get_max_pain(oi_by_strikes)
intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
# intrinsic_values = get_total_intrinsic_values(oi_by_strikes)
# graph here
plot_graph(oi_by_strikes, plot)
# TODO, use a single multiline string with `()`
# and drop the multiple `print()` calls (this
# should be done elsewhere in this file as well!
#
# As per the docs,
# https://docs.python.org/3/reference/lexical_analysis.html#string-literal-concatenation
# you could instead do,
# print(
# '-----------------------------------------------\n'
# f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}\n'
# )
# WHY?
# |_ less ctx-switches/calls to `print()`
# |_ the `str` can then be modified / passed
# around as a variable more easily if needed in
# the future ;)
#
# ALSO, i believe there already is a stdlib
# module to do "alignment" of text which you
# could try for doing the right-side alignment,
# https://docs.python.org/3/library/textwrap.html#textwrap.indent
#
print('-----------------------------------------------')
print(f'timestamp: {datetime.fromtimestamp(max_pain['timestamp'])}')
print(f'expiry_date: {max_pain['expiry_date']}')
@ -273,14 +312,27 @@ async def max_pain_daemon(
async def main():
async with tractor.open_nursery() as n:
async with tractor.open_nursery(
debug_mode=True,
loglevel='info',
) as an:
from tractor import log
log.get_console_log(level='info')
p: tractor.Portal = await n.start_actor(
ptl: tractor.Portal = await an.start_actor(
'max_pain_daemon',
enable_modules=[__name__],
infect_asyncio=True,
# ^TODO, we can actually run this in the root-actor now
# if needed as per 2nd "section" in,
# https://pikers.dev/goodboy/tractor/pulls/2
#
# NOTE, will first require us porting to modern
# `tractor:main` though ofc!
)
await p.run(max_pain_daemon)
await ptl.run(max_pain_daemon)
if __name__ == '__main__':
trio.run(main)

20
examples/max_pain_readme.rst
View File

@ -1,19 +1,29 @@
## Max Pain Calculation for Deribit Options
This feature, which calculates the max pain point for options traded on the Deribit exchange using cryptofeed library.
This feature, which calculates the max pain point for options traded
on the Deribit exchange using cryptofeed library.
- Functions in the api module for fetching options data from Deribit. [commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
- Functions in the api module for fetching options data from Deribit.
[commit](https://pikers.dev/pikers/piker/commit/da55856dd2876291f55a06eb0561438a912d8241)
- Compute the max pain point based on open interest data using deribit's api. [commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
- Compute the max pain point based on open interest data using
deribit's api.
[commit](https://pikers.dev/pikers/piker/commit/0d9d6e15ba0edeb662ec97f7599dd66af3046b94)
### How to test it?
**Before start:** in order to get this working with `uv`, you **must** use my `tractor` [fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons) and this branch: `aio_abandons`, the reason is that I cherry-pick the `uv_migration` that guille made, for some reason that a didn't dive into, in my system y need tractor using `uv` too. quite hacky I guess.
**Before start:** in order to get this working with `uv`, you
**must** use my [`tractor` fork](https://pikers.dev/ntorres/tractor/src/branch/aio_abandons)
and this branch: `aio_abandons`, the reason is that I cherry-pick the
`uv_migration` that guille made, for some reason that a didn't dive
into, in my system y need tractor using `uv` too. quite hacky
I guess.
1. `uv lock`
2. `uv run --no-dev python examples/max_pain.py`
3. A message should be display, enter one of the expiration date available.
3. A message should be display, enter one of the expiration date
available.
4. The script should be up and running.

10
piker/brokers/deribit/api.py
View File

@ -1,5 +1,5 @@
# piker: trading gear for hackers
# Copyright (C) Guillermo Rodriguez (in stewardship for piker0)
# Copyright (C) Guillermo Rodriguez (in stewardship for pikers)
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU Affero General Public License as published by
@ -80,7 +80,6 @@ from piker.accounting import (
from piker.data import (
def_iohlcv_fields,
match_from_pairs,
# Struct,
)
from piker.data._web_bs import (
open_jsonrpc_session
@ -195,7 +194,11 @@ def cb_sym_to_deribit_inst(sym: Symbol) -> str:
def get_values_from_cb_normalized_date(expiry_date: str) -> str:
# deribit specific
'''
Convert the `cryptofeed` (expiry) datetime format to our own,
a simple 3 token `str: f'{day}{month}{year}'.
'''
cb_norm = [
'F', 'G', 'H', 'J',
'K', 'M', 'N', 'Q',
@ -328,7 +331,6 @@ class Client:
'''
Return the set of currencies for deribit.
'''
assets = {}
resp = await self._json_rpc_auth_wrapper(
'public/get_currencies',
params={}

4
piker/brokers/ib/api.py
View File

@ -96,6 +96,10 @@ from ._util import (
get_logger,
)
# ?TODO? this can now be removed since it was originally to extend
# with a `bar_vwap` field that we removed from the default ohlcv
# dtype since it's better calculated in an FSP func
#
_bar_load_dtype: list[tuple[str, type]] = [
# NOTE XXX: only part that's diff
# from our default fields where