piker/max_pain.py

124 lines
4.0 KiB
Python

#!/usr/bin/env python
from decimal import (
Decimal,
)
import trio
import tractor
from pprint import pformat
from piker.brokers.deribit.api import (
get_client,
maybe_open_oi_feed,
)
async def max_pain_daemon(
) -> None:
expiry_date: str = '13DEC24'
instruments: list[Symbol] = []
oi_by_strikes: dict[str, dict[str, Decimal]]
def check_if_complete(
oi: dict[str, dict[str, Decimal | None]],
) -> bool:
for strike in oi:
if (
oi[strike]['C'] == None
or
oi[strike]['P'] == None
):
return False
return True
def get_max_pain(
oi_by_strikes: dict[str, dict[str, Decimal]]
) -> dict[str, str | Decimal]:
'''
This method requires only the strike_prices and oi for call
and puts, the closes list are the same as the strike_prices
the idea is to sum all the calls and puts cash for each strike
and the ITM strikes from that strike, the lowest value is what we
are looking for the intrinsic value.
'''
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)
intrinsic_values: dict[str, dict[str, Decimal]] = {}
closes: list[str] = sorted(oi_by_strikes.keys())
for strike in oi_by_strikes:
s: Decimal = Decimal(f'{strike}')
call_cash: Decimal = Decimal(0)
put_cash: Decimal = Decimal(0)
for close in closes:
c: Decimal = Decimal(f'{close}')
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[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:
total_intrinsic_value = intrinsic_values[f'{strike}']['total']
max_pain = strike\
return {
'timestamp': timestamp,
'expiry_date': expiry_date,
'total_intrinsic_value': total_intrinsic_value,
'max_pain': max_pain,
}
async with get_client(
) as client:
instruments = await client.get_instruments(
expiry_date=expiry_date,
)
oi_by_strikes = client.get_strikes_dict(instruments)
async with maybe_open_oi_feed(
instruments,
) as oi_feed:
async for msg in oi_feed:
if 'oi' == msg[0]:
timestamp = msg[1]['timestamp']
strike_price = msg[1]['strike_price']
option_type = msg[1]['option_type']
open_interest = msg[1]['open_interest']
oi_by_strikes[f'{strike_price}'][f'{option_type}'] = open_interest
if check_if_complete(oi_by_strikes):
max_pain = get_max_pain(oi_by_strikes)
print('-----------------------------------------------')
print(f'timestamp: {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('-----------------------------------------------')
async def main():
async with tractor.open_nursery() as n:
p: tractor.Portal = await n.start_actor(
'max_pain_daemon',
enable_modules=[__name__],
infect_asyncio=True,
)
await p.run(max_pain_daemon)
if __name__ == '__main__':
trio.run(main)