mirror of
https://github.com/OpenBB-finance/OpenBB.git
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315 lines
7.7 KiB
Python
315 lines
7.7 KiB
Python
"""ops.syncretism.io model"""
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__docformat__ = "numpy"
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import configparser
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from typing import Tuple
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import pandas as pd
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import requests
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import yfinance as yf
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from gamestonk_terminal.stocks.options import yfinance_model
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accepted_orders = [
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"e_desc",
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"e_asc",
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"iv_desc",
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"iv_asc",
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"md_desc",
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"md_asc",
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"lp_desc",
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"lp_asc",
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"oi_asc",
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"oi_desc",
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"v_desc",
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"v_asc",
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]
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def get_historical_greeks(
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ticker: str, expiry: str, chain_id: str, strike: float, put: bool
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) -> pd.DataFrame:
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"""Get histoical option greeks
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Parameters
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----------
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ticker: str
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Stock ticker
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expiry: str
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Option expiration date
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chain_id: str
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OCC option symbol. Overwrites other inputs
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strike: float
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Strike price to look for
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put: bool
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Is this a put option?
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Returns
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-------
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df: pd.DataFrame
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Dataframe containing historical greeks
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"""
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if not chain_id:
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options = yfinance_model.get_option_chain(ticker, expiry)
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if put:
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options = options.puts
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else:
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options = options.calls
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chain_id = options.loc[options.strike == strike, "contractSymbol"].values[0]
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r = requests.get(f"https://api.syncretism.io/ops/historical/{chain_id}")
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if r.status_code != 200:
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print("Error in request.")
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return pd.DataFrame()
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history = r.json()
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iv, delta, gamma, theta, rho, vega, premium, price, time = (
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[],
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[],
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[],
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[],
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[],
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[],
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[],
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[],
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[],
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)
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for entry in history:
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time.append(pd.to_datetime(entry["timestamp"], unit="s"))
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iv.append(entry["impliedVolatility"])
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gamma.append(entry["gamma"])
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delta.append(entry["delta"])
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theta.append(entry["theta"])
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rho.append(entry["rho"])
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vega.append(entry["vega"])
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premium.append(entry["premium"])
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price.append(entry["regularMarketPrice"])
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data = {
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"iv": iv,
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"gamma": gamma,
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"delta": delta,
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"theta": theta,
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"rho": rho,
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"vega": vega,
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"premium": premium,
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"price": price,
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}
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df = pd.DataFrame(data, index=time)
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return df
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def get_screener_output(preset: str, presets_path: str) -> Tuple[pd.DataFrame, str]:
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"""Screen options based on preset filters
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Parameters
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----------
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preset: str
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Preset file to screen for
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presets_path: str
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Path to preset folder
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Returns
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-------
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pd.DataFrame:
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DataFrame with screener data, or empty if errors
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str:
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String containing error message if supplied
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"""
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d_cols = {
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"contractSymbol": "CS",
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"symbol": "S",
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"optType": "T",
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"strike": "Str",
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"expiration": "Exp ∨",
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"impliedVolatility": "IV",
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"lastPrice": "LP",
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"bid": "B",
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"ask": "A",
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"volume": "V",
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"openInterest": "OI",
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"yield": "Y",
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"monthlyyield": "MY",
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"regularMarketPrice": "SMP",
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"regularMarketDayLow": "SMDL",
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"regularMarketDayHigh": "SMDH",
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"lastTradeDate": "LU",
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"lastCrawl": "LC",
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"inTheMoney": "ITM",
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"pChange": "PC",
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"priceToBook": "PB",
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}
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preset_filter = configparser.RawConfigParser()
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preset_filter.optionxform = str # type: ignore
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preset_filter.read(presets_path + preset + ".ini")
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d_filters = {k: v for k, v in dict(preset_filter["FILTER"]).items() if v}
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s_filters = str(d_filters)
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s_filters = (
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s_filters.replace(": '", ": ")
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.replace("',", ",")
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.replace("'}", "}")
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.replace("'", '"')
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)
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for order in accepted_orders:
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s_filters = s_filters.replace(f" {order}", f' "{order}"')
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errors = check_presets(d_filters)
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if errors:
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return pd.DataFrame(), errors
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link = "https://api.syncretism.io/ops"
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res = requests.get(
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link, headers={"Content-type": "application/json"}, data=s_filters
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)
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# pylint:disable=no-else-return
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if res.status_code == 200:
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df_res = pd.DataFrame(res.json())
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if df_res.empty:
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return df_res, f"No options data found for preset: {preset}"
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df_res = df_res.rename(columns=d_cols)[list(d_cols.values())[:17]]
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df_res["Exp ∨"] = df_res["Exp ∨"].apply(
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lambda x: pd.to_datetime(x, unit="s").strftime("%m-%d-%y")
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)
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df_res["LU"] = df_res["LU"].apply(
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lambda x: pd.to_datetime(x, unit="s").strftime("%m-%d-%y")
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)
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df_res["Y"] = df_res["Y"].round(3)
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df_res["MY"] = df_res["MY"].round(3)
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return df_res, ""
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else:
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return pd.DataFrame(), f"Request Error: {res.status_code}"
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# pylint: disable=eval-used
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def check_presets(preset_dict: dict) -> str:
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"""Checks option screener preset values
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Parameters
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----------
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preset_dict: dict
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Defined presets from configparser
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Returns
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-------
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error: str
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String of all errors accumulated
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"""
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float_list = [
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"min-iv",
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"max-iv",
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"min-oi",
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"max-oi",
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"min-strike",
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"max-strike",
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"min-volume",
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"max-volume",
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"min-voi",
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"max-voi",
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"min-diff",
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"max-diff",
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"min-ask-bid",
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"max-ask-bid",
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"min-exp",
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"max-exp",
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"min-price",
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"max-price",
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"min-price-20d",
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"max-price-20d",
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"min-volume-20d",
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"max-volume-20d",
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"min-iv-20d",
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"max-iv-20d",
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"min-delta-20d",
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"max-delta-20d",
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"min-gamma-20d",
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"max-gamma-20d",
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"min-theta-20d",
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"max-theta-20d",
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"min-vega-20d",
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"max-vega-20d",
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"min-rho-20d",
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"max-rho-20d",
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"min-price-100d",
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"max-price-100d",
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"min-volume-100d",
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"max-volume-100d",
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"min-iv-100d",
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"max-iv-100d",
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"min-delta-100d",
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"max-delta-100d",
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"min-gamma-100d",
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"max-gamma-100d",
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"min-theta-100d",
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"max-theta-100d",
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"min-vega-100d",
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"max-vega-100d",
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"min-rho-100d",
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"max-rho-100d",
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"min-sto",
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"max-sto",
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"min-yield",
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"max-yield",
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"min-myield",
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"max-myield",
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"min-delta",
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"max-delta",
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"min-gamma",
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"max-gamma",
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"min-theta",
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"max-theta",
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"min-vega",
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"max-vega",
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"min-cap",
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"max-cap",
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]
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bool_list = ["active", "stock", "etf", "puts", "calls", "itm", "otm", "exclude"]
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error = ""
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for key, value in preset_dict.items():
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if key in float_list:
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try:
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float(value)
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if value.startswith("."):
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error += f"{key} : {value} needs to be formatted with leading 0\n"
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except Exception:
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error += f"{key} : {value}, should be float\n"
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elif key in bool_list:
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if value not in ["true", "false"]:
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error += f"{key} : {value}, Should be [true/false]\n"
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elif key == "tickers":
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for ticker in value.split(","):
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try:
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if yf.Ticker(eval(ticker)).info["regularMarketPrice"] is None:
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error += f"{key} : {ticker} not found on yfinance"
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except NameError:
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error += f"{key} : {value}, {ticker} failed"
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elif key == "limit":
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try:
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int(value)
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except Exception:
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error += f"{key} : {value} , should be integer\n"
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elif key == "order-by":
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if value.replace('"', "") not in accepted_orders:
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error += f"{key} : {value} not accepted ordering\n"
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return error
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