TradingBot/Helper.py at main · spatelengg/TradingBot · GitHub

1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
import pandas as pd
from datetime import datetime, timedelta, date, time as TT

class Helper:

    def __init__(self, proxy):
        self._proxy = proxy
        self.csv_data = None

    def get_option_chain(self, symbol, expiry: date):
        allowedSegment = [14]
        if self.csv_data is None:
            csv_data = pd.read_csv('http://public.fyers.in/sym_details/NSE_FO.csv', header =None)

            csv_data.columns =  ['FyersToken', 'Name', 'Instrument', 'lot', 'tick'
                                #101122111535348,FINNIFTY 22 Nov 15 20850 CE,14,40,0.05
                                , 'ISIN','TradingSession', 'Lastupdatedate', 'Expirydate', 'Symbol'
                                # ,,0915-1530|0915-1915:2,2022-11-11,1668522600,NSE:FINNIFTY22N1520850CE
                                , 'Exchange', 'Segment','ScripCode','UnderlyingScripCode','ABC'
                                # ,10,11,35348,FINNIFTY,26037
                                ,'STRIKE', 'OPT_TYPE','ScripName']
                                # ,20850.0,CE,101000000026037

            csv_data = csv_data[csv_data['Instrument'].isin(allowedSegment)]
            csv_data['Expirydate'] = pd.to_datetime(csv_data['Expirydate'],unit='s').apply(lambda x: x.date())
            self.csv_data = csv_data


        #data = csv_data[(csv_data['UnderlyingScripCode'] ==symbol)]
        data = self.csv_data[(csv_data['Expirydate'] == expiry) & (csv_data['UnderlyingScripCode'] ==symbol)]
        return data

    def get_option_with_nearest_premium(self, symbols, price):
        data = {
            'ce': {'n':'', 'p':0.0, 'd':99999.0 },
            'pe' : {'n':'', 'p':0.0, 'd':99999.0 }
        }

        index = 0
        cnt = 50
        symbs = symbols[index:(index + cnt)]
        while len(symbs) > 0:
            res = self._proxy.quotes(','.join(symbs))
            for x in res:
                if x['v']['volume'] > 0:
                    typ = x['n'][-2:].lower()
                    ltp = x['v']['lp']
                    diff = price - ltp
                    if diff < 0:
                        diff = diff * -1
                    if  diff < data[typ]['d']:
                        data[typ] = {'n':x['n'], 'p':ltp, 'd':diff}

            index += len(symbs)
            symbs = symbols[index:(index + cnt)]
        return data


    def get_ption_with_moneyness(self, op_chain, underlaying, type:int):
        data = {
            'CE': '',
            'PE' : ''
        }
        symbol = None
        step = None
        if underlaying == "BANKNIFTY":
            symbol = "NSE:NIFTYBANK-INDEX"
            step = 100
        elif underlaying == "NIFTY":
            symbol = "NSE:NIFTY-INDEX"
            step = 50

        res = self._proxy.quotes(symbol)
        ltp = res[0]['v']['lp']
        print(symbol + ': ' + str(ltp))
        mod = ltp % step
        if mod == 0:
            atm = ltp
        elif mod > (step / 2):
            atm = step * (int(ltp / step) + 1)
        else:
            atm = step * (int(ltp / step))

        data['CE']  = atm + (step * type * -1)
        data['PE']  = atm + (step * type)

        data['CE'] = op_chain[(op_chain['STRIKE'] == data['CE']) & (op_chain['OPT_TYPE'] == 'CE')].to_dict('records')[0]
        data['PE'] = op_chain[(op_chain['STRIKE'] == data['PE']) & (op_chain['OPT_TYPE'] == 'PE')].to_dict('records')[0]

        return data


    def place_order(self, data):
        str = 'BUY' if data['side'] == 1 else 'SELL'
        str += ' ' + data['symbol']
        str += ' ' + '@Market' if data['type'] == 2 else data['limitPrice']
        if data['productType'] == 'CO':
            str += ' SL:' + str(data['stopLoss'])
        elif data['productType'] == 'BO':
            str += ' SL:' + str(data['stopLoss']) + ' Profit:' + str(data['takeProfit'])

        print(str)
        order_id = 0
        return order_id

    def modify_order(self, data):
        str = 'Modify: ' + str(data['id'])
        str += (' SL:' + str(data['stopLoss'])) if 'stopLoss' in data else ''
        str += (' Limit:' + str(data['limitPrice'])) if 'limitPrice' in data else ''
        str += (' qty:' + str(data['qty'])) if 'qty' in data else ''
        str += (' type:' + str(data['type'])) if 'type' in data else ''
        print(str)
        order_id = data['id'] + 1
        return order_id