Description:
optionchainanalytics 1.0.18
OptionChainAnalytics
Analytics for processing option chain and options time series data
Core python dependencies:
python = ">=3.8,<3.11"
numba = ">=0.59.0"
numpy = ">=1.26.4"
Core packages dependencies
vanilla_option_pricers = ">=1.0.1"
qis = ">=2.0.68"
OptionChainAnalytics: Option Chain Analytics
Module option_chain_analytics implements generic features for operations with option chains
Implemented dataclass analytics
Expiry Slices
Expiry Slice in option_chain.py
Contains call and put options dataframes per each expiry
Option chain core data and anlytics object. Generally, option chain is
a table of trading data (strikes, bids, asks, sizes, deltas, etc)
for puts and calls. These tables are indexed by contract ids and the tables are arranged by maturities.
We term these tables as expiry slices.
implements request such as get_atm_vol , get_atm_option_strike , get_atm_call_id ,
get_atm_call_id , get_atm_put_id,
get_call_delta_strike, get_put_delta_strike
Option Chain
SlicesChain in option_chain.py
Dataclass
Slices Chain
SlicesChain in option_chain.py
OptionsDataDFs(ChainTs)
ChainTs in chain_ts.py
dataclass containing time series of options data chain_ts: pd.DataFrame
and spot data spot_data: pd.DataFrame
it implements query get_time_slice(timestamp) which returns data to
create option chain dataclass
OptionsDataDFs(ChainTs)
def create_chain[test.py](..%2F..%2F..%2Fmisc%2Fderibit_websocket_Nova%2Ftest.py)_from_from_options_dfs(options_data_dfs: OptionsDataDFs,
value_time: pd.Timestamp,
) -> Optional[SlicesChain]:
License
For personal and professional use. You cannot resell or redistribute these repositories in their original state.
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