def test_get_historical_greeks_invalid_status(mocker):
mock_response = requests.Response()
mock_response.status_code = 400
mocker.patch(target="requests.get", new=mocker.Mock(return_value=mock_response))
result = tradier_model.last_price(ticker="PM")
assert result is None
def test_last_price(recorder):
result = tradier_model.last_price(ticker="AAPL")
recorder.capture(result)
def plot_volume_open_interest(
ticker: str,
expiry: str,
min_sp: float,
max_sp: float,
min_vol: float,
export: str = "",
):
"""Plot volume and open interest
Parameters
----------
ticker: str
Stock ticker
expiry: str
Option expiration
min_sp: float
Min strike price
max_sp: float
Max strike price
min_vol: float
Min volume to consider
export: str
Format for exporting data
"""
current_price = tradier_model.last_price(ticker)
options = tradier_model.get_option_chains(ticker, expiry)
calls = options[options.option_type == "call"][
["strike", "volume", "open_interest"]
]
puts = options[options.option_type == "put"][["strike", "volume", "open_interest"]]
# Process Calls Data
df_calls = calls.pivot_table(
index="strike", values=["volume", "open_interest"], aggfunc="sum"
).reindex()
df_calls["strike"] = df_calls.index
df_calls["type"] = "calls"
df_calls["open_interest"] = df_calls["open_interest"]
df_calls["volume"] = df_calls["volume"]
df_calls["oi+v"] = df_calls["open_interest"] + df_calls["volume"]
df_calls["spot"] = round(current_price, 2)
df_puts = puts.pivot_table(
index="strike", values=["volume", "open_interest"], aggfunc="sum"
).reindex()
df_puts["strike"] = df_puts.index
df_puts["type"] = "puts"
df_puts["open_interest"] = df_puts["open_interest"]
df_puts["volume"] = -df_puts["volume"]
df_puts["open_interest"] = -df_puts["open_interest"]
df_puts["oi+v"] = df_puts["open_interest"] + df_puts["volume"]
df_puts["spot"] = round(current_price, 2)
call_oi = calls.set_index("strike")["open_interest"] / 1000
put_oi = puts.set_index("strike")["open_interest"] / 1000
df_opt = pd.merge(call_oi, put_oi, left_index=True, right_index=True)
df_opt = df_opt.rename(
columns={"open_interest_x": "OI_call", "open_interest_y": "OI_put"}
)
max_pain = op_helpers.calculate_max_pain(df_opt)
if min_vol == -1 and min_sp == -1 and max_sp == -1:
# If no argument provided, we use the percentile 50 to get 50% of upper volume data
volume_percentile_threshold = 50
min_vol_calls = np.percentile(df_calls["oi+v"], volume_percentile_threshold)
min_vol_puts = np.percentile(df_puts["oi+v"], volume_percentile_threshold)
df_calls = df_calls[df_calls["oi+v"] > min_vol_calls]
df_puts = df_puts[df_puts["oi+v"] < min_vol_puts]
else:
if min_vol > -1:
df_calls = df_calls[df_calls["oi+v"] > min_vol]
df_puts = df_puts[df_puts["oi+v"] < -min_vol]
if min_sp > -1:
df_calls = df_calls[df_calls["strike"] > min_sp]
df_puts = df_puts[df_puts["strike"] > min_sp]
if max_sp > -1:
df_calls = df_calls[df_calls["strike"] < max_sp]
df_puts = df_puts[df_puts["strike"] < max_sp]
if df_calls.empty and df_puts.empty:
console.print(
"The filtering applied is too strong, there is no data available for such conditions.\n"
)
return
# Initialize the matplotlib figure
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=cfp.PLOT_DPI)
# make x axis symmetric
axis_origin = max(abs(max(df_puts["oi+v"])), abs(max(df_calls["oi+v"])))
ax.set_xlim(-axis_origin, +axis_origin)
sns.set_style(style="darkgrid")
g = sns.barplot(
x="oi+v",
y="strike",
data=df_calls,
label="Calls: Open Interest",
color="lightgreen",
orient="h",
)
g = sns.barplot(
x="volume",
y="strike",
data=df_calls,
label="Calls: Volume",
color="green",
orient="h",
)
g = sns.barplot(
x="oi+v",
y="strike",
data=df_puts,
label="Puts: Open Interest",
color="pink",
orient="h",
)
g = sns.barplot(
x="volume",
y="strike",
data=df_puts,
label="Puts: Volume",
color="red",
orient="h",
)
# draw spot line
s = [float(strike.get_text()) for strike in ax.get_yticklabels()]
spot_index = bisect_left(s, current_price) # find where the spot is on the graph
spot_line = ax.axhline(spot_index, ls="--", color="dodgerblue", alpha=0.3)
# draw max pain line
max_pain_index = bisect_left(s, max_pain)
max_pain_line = ax.axhline(max_pain_index, ls="-", color="black", alpha=0.3)
max_pain_line.set_linewidth(3)
# format ticklabels without - for puts
g.set_xticks(g.get_xticks())
xlabels = [f"{x:,.0f}".replace("-", "") for x in g.get_xticks()]
g.set_xticklabels(xlabels)
plt.title(
f"{ticker} volumes for {expiry} (open interest displayed only during market hours)"
)
ax.invert_yaxis()
_ = ax.legend()
handles, _ = ax.get_legend_handles_labels()
handles.append(spot_line)
handles.append(max_pain_line)
# create legend labels + add to graph
labels = [
"Calls open interest",
"Calls volume ",
"Puts open interest",
"Puts volume",
"Current stock price",
f"Max pain = {max_pain}",
]
plt.legend(handles=handles[:], labels=labels)
sns.despine(left=True, bottom=True)
if gtff.USE_ION:
plt.ion()
plt.show()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"voi_tr",
options,
)
console.print("")
def plot_vol(
ticker: str,
expiry: str,
min_sp: float,
max_sp: float,
calls_only: bool,
puts_only: bool,
export: str = "",
):
"""Plot volume
Parameters
----------
ticker: str
Ticker
expiry: str
Expiry date for options
min_sp: float
Min strike to consider
max_sp: float
Max strike to consider
calls_only: bool
Show calls only
puts_only: bool
Show puts only
export: str
Format to export file
"""
options = tradier_model.get_option_chains(ticker, expiry)
current_price = tradier_model.last_price(ticker)
if min_sp == -1:
min_strike = 0.75 * current_price
else:
min_strike = min_sp
if max_sp == -1:
max_strike = 1.25 * current_price
else:
max_strike = max_sp
if calls_only and puts_only:
console.print("Both flags selected, please select one", "\n")
return
calls = options[options.option_type == "call"][["strike", "volume"]]
puts = options[options.option_type == "put"][["strike", "volume"]]
call_v = calls.set_index("strike")["volume"] / 1000
put_v = puts.set_index("strike")["volume"] / 1000
plt.style.use("classic")
fig, ax = plt.subplots(figsize=plot_autoscale(), dpi=cfp.PLOT_DPI)
if not calls_only:
put_v.plot(
x="strike",
y="volume",
label="Puts",
ax=ax,
marker="o",
ls="-",
c="r",
)
if not puts_only:
call_v.plot(
x="strike",
y="volume",
label="Calls",
ax=ax,
marker="o",
ls="-",
c="g",
)
ax.axvline(current_price, lw=2, c="k", ls="--", label="Current Price", alpha=0.7)
ax.grid("on")
ax.set_xlabel("Strike Price")
ax.set_ylabel("Volume (1k) ")
ax.set_xlim(min_strike, max_strike)
if gtff.USE_ION:
plt.ion()
ax.set_title(f"Volume for {ticker.upper()} expiring {expiry}")
plt.legend(loc=0)
fig.tight_layout(pad=1)
plt.show()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"vol_tr",
options,
)
console.print("")
def plot_vol(
ticker: str,
expiry: str,
min_sp: float,
max_sp: float,
calls_only: bool,
puts_only: bool,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot volume
Parameters
----------
ticker: str
Ticker
expiry: str
Expiry date for options
min_sp: float
Min strike to consider
max_sp: float
Max strike to consider
calls_only: bool
Show calls only
puts_only: bool
Show puts only
export: str
Format to export file
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
"""
options = tradier_model.get_option_chains(ticker, expiry)
current_price = tradier_model.last_price(ticker)
if min_sp == -1:
min_strike = 0.75 * current_price
else:
min_strike = min_sp
if max_sp == -1:
max_strike = 1.25 * current_price
else:
max_strike = max_sp
if calls_only and puts_only:
console.print("Both flags selected, please select one", "\n")
return
calls = options[options.option_type == "call"][["strike", "volume"]]
puts = options[options.option_type == "put"][["strike", "volume"]]
call_v = calls.set_index("strike")["volume"] / 1000
put_v = puts.set_index("strike")["volume"] / 1000
if external_axes is None:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=cfp.PLOT_DPI)
else:
ax = external_axes[0]
if not calls_only:
put_v.plot(
x="strike",
y="volume",
label="Puts",
ax=ax,
marker="o",
ls="-",
c="r",
)
if not puts_only:
call_v.plot(
x="strike",
y="volume",
label="Calls",
ax=ax,
marker="o",
ls="-",
c="g",
)
ax.axvline(current_price,
lw=2,
c="k",
ls="--",
label="Current Price",
alpha=0.7)
ax.grid("on")
ax.set_xlabel("Strike Price")
ax.set_ylabel("Volume (1k) ")
ax.set_xlim(min_strike, max_strike)
ax.set_title(f"Volume for {ticker.upper()} expiring {expiry}")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"vol_tr",
options,
)
console.print("")
def plot_oi(
ticker: str,
expiry: str,
min_sp: float,
max_sp: float,
calls_only: bool,
puts_only: bool,
export: str = "",
external_axes: Optional[List[plt.Axes]] = None,
):
"""Plot open interest
Parameters
----------
ticker: str
Ticker
expiry: str
Expiry date for options
min_sp: float
Min strike to consider
max_sp: float
Max strike to consider
calls_only: bool
Show calls only
puts_only: bool
Show puts only
export: str
Format to export file
external_axes : Optional[List[plt.Axes]], optional
External axes (1 axis is expected in the list), by default None
"""
options = tradier_model.get_option_chains(ticker, expiry)
current_price = tradier_model.last_price(ticker)
if min_sp == -1:
min_strike = 0.75 * current_price
else:
min_strike = min_sp
if max_sp == -1:
max_strike = 1.25 * current_price
else:
max_strike = max_sp
if calls_only and puts_only:
console.print("Both flags selected, please select one", "\n")
return
calls = options[options.option_type == "call"][["strike", "open_interest"]]
puts = options[options.option_type == "put"][["strike", "open_interest"]]
call_oi = calls.set_index("strike")["open_interest"] / 1000
put_oi = puts.set_index("strike")["open_interest"] / 1000
df_opt = pd.merge(call_oi, put_oi, left_index=True, right_index=True)
df_opt = df_opt.rename(columns={
"open_interest_x": "OI_call",
"open_interest_y": "OI_put"
})
max_pain = op_helpers.calculate_max_pain(df_opt)
if external_axes is None:
_, ax = plt.subplots(figsize=plot_autoscale(), dpi=cfp.PLOT_DPI)
else:
if len(external_axes) != 1:
logger.error("Expected list of one axis item.")
console.print("[red]Expected list of one axis item./n[/red]")
return
(ax, ) = external_axes
if not calls_only:
ax.plot(put_oi.index, put_oi.values, "-o", label="Puts")
if not puts_only:
ax.plot(call_oi.index, call_oi.values, "-o", label="Calls")
ax.legend(loc=0)
ax.axvline(current_price, lw=2, ls="--", label="Current Price", alpha=0.7)
ax.axvline(max_pain, lw=3, label=f"Max Pain: {max_pain}", alpha=0.7)
ax.set_xlabel("Strike Price")
ax.set_ylabel("Open Interest (1k) ")
ax.set_xlim(min_strike, max_strike)
ax.set_title(f"Open Interest for {ticker.upper()} expiring {expiry}")
theme.style_primary_axis(ax)
if external_axes is None:
theme.visualize_output()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"oi_tr",
options,
)
def plot_oi(
ticker: str,
expiry: str,
min_sp: float,
max_sp: float,
calls_only: bool,
puts_only: bool,
export: str = "",
):
"""Plot open interest
Parameters
----------
ticker: str
Ticker
expiry: str
Expiry date for options
min_sp: float
Min strike to consider
max_sp: float
Max strike to consider
calls_only: bool
Show calls only
puts_only: bool
Show puts only
export: str
Format to export file
"""
options = tradier_model.get_option_chains(ticker, expiry)
current_price = tradier_model.last_price(ticker)
if min_sp == -1:
min_strike = 0.75 * current_price
else:
min_strike = min_sp
if max_sp == -1:
max_strike = 1.25 * current_price
else:
max_strike = max_sp
if calls_only and puts_only:
print("Both flags selected, please select one", "\n")
return
calls = options[options.option_type == "call"][["strike", "open_interest"]]
puts = options[options.option_type == "put"][["strike", "open_interest"]]
call_oi = calls.set_index("strike")["open_interest"] / 1000
put_oi = puts.set_index("strike")["open_interest"] / 1000
df_opt = pd.merge(call_oi, put_oi, left_index=True, right_index=True)
df_opt = df_opt.rename(columns={
"open_interest_x": "OI_call",
"open_interest_y": "OI_put"
})
max_pain = op_helpers.calculate_max_pain(df_opt)
plt.style.use("classic")
fig, ax = plt.subplots(figsize=plot_autoscale(), dpi=cfp.PLOT_DPI)
if not calls_only:
put_oi.plot(
x="strike",
y="open_interest",
label="Puts",
ax=ax,
marker="o",
ls="-",
c="r",
)
if not puts_only:
call_oi.plot(
x="strike",
y="open_interest",
label="Calls",
ax=ax,
marker="o",
ls="-",
c="g",
)
ax.axvline(current_price,
lw=2,
c="k",
ls="--",
label="Current Price",
alpha=0.7)
ax.axvline(max_pain, lw=3, c="k", label=f"Max Pain: {max_pain}", alpha=0.7)
ax.grid("on")
ax.set_xlabel("Strike Price")
ax.set_ylabel("Open Interest (1k) ")
ax.set_xlim(min_strike, max_strike)
if gtff.USE_ION:
plt.ion()
ax.set_title(f"Open Interest for {ticker.upper()} expiring {expiry}")
plt.legend(loc=0)
fig.tight_layout(pad=1)
plt.show()
export_data(
export,
os.path.dirname(os.path.abspath(__file__)),
"oi_tr",
options,
)
print("")
