def mail_analysis(self, analysis):
smtp_fname = '{0:s}/.smtp.cfg'.format(os.getenv('HOME'))
with open(smtp_fname, 'r') as f:
lines = f.readlines()
smtp_server = lines[0].strip()
smtp_user = lines[1].strip()
smtp_passwd = lines[2].strip()
smtp_email = lines[3].strip()
smtp_port = 587
res = ''
for _, row in analysis.iterrows():
res = '{0:s}\r\n{1:s} {2:6s} {3:12s} {4:6.2f} {5:11d}'.format(
res, str(row['date']), row['stk'], row['setup'], row['rg'],
int(row['v_50']))
try:
try:
s = smtplib.SMTP(host=smtp_server, port=smtp_port)
s.starttls()
s.login(smtp_user, smtp_passwd)
msg = MIMEText(res, 'plain')
msg['Subject'] = 'IDA {0:s}'.format(
stxcal.current_busdate(hr=12))
msg['From'] = smtp_email
msg['To'] = smtp_email
s.sendmail(smtp_email, smtp_email, msg.as_string())
finally:
s.quit()
except:
print('Failed to send email: {0:s}'.format(traceback.print_exc()))
choices=list(Datafeed),
default=Datafeed.stooq)
parser.add_argument('-d',
'--data_dir',
help='download directory for EOD files',
type=str,
default=os.path.join(os.getenv('HOME'), 'Downloads'))
args = parser.parse_args()
logging.basicConfig(
format='%(asctime)s %(levelname)s [%(filename)s:%(lineno)d] - '
'%(message)s',
datefmt='%Y-%m-%d %H:%M:%S',
level=logging.INFO)
logging.info('Getting index (S&P500, Nasdaq, Dow Jones) quotes')
si = StxIndex()
index_end_date = stxcal.current_busdate(hr=9)
index_start_date = stxcal.move_busdays(index_end_date, -5)
for idx in ['^GSPC', '^IXIC', '^DJI']:
try:
si.get_quote(idx, index_start_date, index_end_date)
except:
logging.error(f'Get index quote failed for {idx}')
tb.print_exc()
sdf = StxDatafeed()
res = stxdb.db_read_cmd("SELECT dt FROM analyses WHERE "
"analysis='eod_datafeed'")
start_date = str(res[0][0]) if res else '2000-01-01'
logging.info('The start date is: {0:s}'.format(start_date))
res = stxdb.db_read_cmd("SELECT MAX(dt) FROM dividends")
def get_opt_spread_leaders(self, ldr_date):
next_exp = stxcal.next_expiry(ldr_date)
calc_exp = stxcal.next_expiry(ldr_date, 9)
crt_date = stxcal.current_busdate()
cnx = stxdb.db_get_cnx()
stx = self.get_leaders(ldr_date)
print('Calculating option spread for {0:d} stocks'.format(len(stx)))
num = 0
if ldr_date <= self.last_opt_date:
opt_tbl_name = 'options'
spot_tbl_name = 'opt_spots'
spot_column = 'spot'
opt_date_column = 'date'
else:
opt_tbl_name = 'opt_cache'
spot_tbl_name = 'eods'
spot_column = 'c'
opt_date_column = 'dt'
for stk in stx:
print('stk = {0:s}'.format(stk))
spot_q = sql.Composed([
sql.SQL('select {} from {} where stk=').format(
sql.Identifier(spot_column),
sql.Identifier(spot_tbl_name)),
sql.Literal(stk),
sql.SQL(' and date='),
sql.Literal(crt_date)
])
with cnx.cursor() as crs:
crs.execute(spot_q.as_string(cnx))
spot_res = crs.fetchone()
if spot_res is None:
continue
spot = float(spot_res[0])
tokens = stk.split('.')
und = '.'.join(tokens[:-1]) if tokens[-1].isdigit() else stk
opt_q = sql.Composed([
sql.SQL('select * from {} where expiry=').format(
sql.Identifier(opt_tbl_name)),
sql.Literal(calc_exp),
sql.SQL(' and und='),
sql.Literal(und),
sql.SQL(' and {}=').format(sql.Identifier(opt_date_column)),
sql.Literal(crt_date)
])
opt_df = pd.read_sql(opt_q.as_string(cnx), cnx)
if len(opt_df) < 6:
continue
opt_df['strike_spot'] = abs(opt_df['strike'] - spot)
opt_df['spread'] = 100 * (1 - opt_df['bid'] / opt_df['ask'])
opt_df.sort_values(by=['strike_spot'], inplace=True)
opt_df['avg_spread'] = opt_df['spread'].rolling(6).mean()
try:
avg_spread = int(opt_df.iloc[5].avg_spread * 100)
avg_atm_price = round(
(opt_df.iloc[0].ask + opt_df.iloc[1].ask) / 2, 2)
with cnx.cursor() as crs:
crs.execute(
'update leaders set opt_spread=%s, '
'atm_price=%s where stk=%s and exp=%s',
(avg_spread, avg_atm_price, stk, next_exp))
except:
print('Failed to calc avg_spread for {0:s}'.format(stk))
num += 1
if num % 100 == 0 or num == len(stx):
print('Calculated option spread for {0:d} stocks'.format(num))
def eod_job(self):
print('247 end of day job')
ana_date = stxcal.current_busdate(hr=10)
print(' ana_date = {0:s}'.format(ana_date))
self.eod_analysis(ana_date)
def intraday_analysis(self):
ana_date = stxcal.current_busdate(hr=10)
self.get_data(ana_date,
get_for_all=False,
get_eod=True,
get_opts=False)
parser.add_argument('-d',
'--ldr_date',
type=valid_date,
help="The date for leaders - format YYYY-MM-DD")
parser.add_argument('-e',
'--eod',
action='store_true',
help="Run EOD analysis")
parser.add_argument('-i',
'--intraday',
action='store_true',
help="Run Intraday analysis")
args = parser.parse_args()
if args.leaders:
ldr_date = args.ldr_date if args.ldr_date else stxcal.current_busdate()
min_act = args.min_act if args.min_act else 80000
min_rcr = args.range_close_ratio if args.range_close_ratio else 0.015
print('Will calculate leaders for {0:s} w/ min act of {1:d} and '
'min range to close ratio of {2:.3f}'.format(
ldr_date, min_act, min_rcr))
s247 = Stx247()
s247.get_liq_leaders(ldr_date, min_act, min_rcr)
if args.get_options:
print('Will retrieve options and calculate spread liquidity')
s247.get_opt_spread_leaders(ldr_date)
exit(0)
if args.eod:
s247 = Stx247()
s247.eod_job()
exit(0)
z.close()
logging.info(f'Archived {num_archived_pdfs} PDF reports '\
f'in {zipfile_name}')
if __name__ == '__main__':
parser = argparse.ArgumentParser()
parser.add_argument('-s',
'--max_spread',
type=int,
default=33,
help='Maximum spread for leaders')
parser.add_argument('-d',
'--date',
type=str,
default=stxcal.current_busdate(hr=9),
help='Date to retrieve setups')
parser.add_argument('-e',
'--eod',
action='store_true',
help="Run EOD analysis")
parser.add_argument('-i',
'--intraday',
action='store_true',
help="Run Intraday analysis")
parser.add_argument('-c',
'--cron',
action='store_true',
help="Flag invocation from cron job")
parser.add_argument('-a',
'--startdate',