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https://github.com/OpenBB-finance/OpenBB.git
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efd09ce75b
* add deribit provider and make some small changes to the standard model to allow for fractional volume and size * linter * typehint * more lint * more touchup * update test * remove line in test * maybe we need that after all..?
112 lines
3.6 KiB
Python
112 lines
3.6 KiB
Python
"""Deribit Helpers Module."""
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from typing import Literal, Optional
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from async_lru import alru_cache
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from openbb_core.app.model.abstract.error import OpenBBError
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DERIBIT_OPTIONS_SYMBOLS = ["BTC", "ETH", "SOL", "XRP", "BNB", "PAXG"]
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OptionsSymbols = Literal["BTC", "ETH", "SOL", "XRP", "BNB", "PAXG"]
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CURRENCIES = ["BTC", "ETH", "USDC", "USDT", "EURR", "all"]
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Currencies = Literal["BTC", "ETH", "USDC", "USDT", "EURR", "all"]
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DERIVATIVE_TYPES = ["future", "option", "spot", "future_combo", "option_combo"]
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DerivativeTypes = Literal["future", "option", "spot", "future_combo", "option_combo"]
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BASE_URL = "https://www.deribit.com"
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@alru_cache(maxsize=64)
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async def get_instruments(
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currency: Currencies = "BTC",
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derivative_type: Optional[DerivativeTypes] = None,
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) -> list[dict]:
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"""
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Get Deribit instruments.
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Parameters
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----------
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currency : Currencies
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The currency to get instruments for. Default is "BTC".
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derivative_type : Optional[DerivativeTypes]
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The type of derivative to get instruments for. Default is None, which gets all types.
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Returns
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-------
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list[dict]
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A list of instrument dictionaries.
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"""
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# pylint: disable=import-outside-toplevel
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from openbb_core.provider.utils.helpers import amake_request
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if currency != "all" and currency.upper() not in CURRENCIES:
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raise ValueError(
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f"Currency {currency} not supported. Supported currencies are: {', '.join(CURRENCIES)}"
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)
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if derivative_type and derivative_type not in DERIVATIVE_TYPES:
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raise ValueError(
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f"Kind {derivative_type} not supported. Supported kinds are: {', '.join(DERIVATIVE_TYPES)}"
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)
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url = f"{BASE_URL}/api/v2/public/get_instruments?currency={currency.upper() if currency != 'all' else 'any'}"
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if derivative_type is not None:
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url += f"&kind={derivative_type}"
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try:
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response = await amake_request(url)
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return response.get("result", []) # type: ignore
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except Exception as e: # pylint: disable=broad-except
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raise OpenBBError(
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f"Failed to get instruments -> {e.__class__.__name__}: {e}"
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) from e
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async def get_options_symbols(symbol: OptionsSymbols = "BTC") -> dict:
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"""
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Get a dictionary of contract symbols by expiry.
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Parameters
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----------
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symbol : OptionsSymbols
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The underlying symbol to get options for. Default is "BTC".
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Returns
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-------
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dict[str, str]
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A dictionary of contract symbols by expiry date.
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"""
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# pylint: disable=import-outside-toplevel
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from pandas import to_datetime
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if symbol.upper() not in DERIBIT_OPTIONS_SYMBOLS:
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raise ValueError(
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f"Invalid Deribit symbol. Supported symbols are: {', '.join(DERIBIT_OPTIONS_SYMBOLS)}",
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)
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currency = (
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"USDC" if symbol.upper() in ["BNB", "PAXG", "SOL", "XRP"] else symbol.upper()
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)
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instruments = await get_instruments(currency, "option")
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expirations: dict = {}
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all_options = list(
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set(
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d.get("instrument_name")
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for d in instruments
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if d.get("instrument_name").startswith(symbol)
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and d.get("instrument_name").endswith(("-C", "-P"))
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)
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)
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for item in sorted(
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list(
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set(
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(
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to_datetime(d.split("-")[1]).date().strftime("%Y-%m-%d"),
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d.split("-")[1],
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)
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for d in all_options
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)
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)
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):
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expirations[item[0]] = item[1]
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return {k: [d for d in all_options if v in d] for k, v in expirations.items()}
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