voly 0.0.105__py3-none-any.whl → 0.0.107__py3-none-any.whl

voly/client.py

@@ -15,11 +15,12 @@ from voly.utils.logger import logger, catch_exception, setup_file_logging
 from voly.exceptions import VolyError
 from voly.models import SVIModel
 from voly.formulas import (
-    d1, d2, bs, delta, gamma, vega, theta, rho, vanna, volga, charm, greeks, iv
+    d1, d2, bs, delta, gamma, vega, theta, rho, vanna, volga, charm, greeks, iv, pdf_to_calls
 )
 from voly.core.data import fetch_option_chain, process_option_chain
 from voly.core.fit import fit_model, get_iv_surface
 from voly.core.rnd import get_rnd_surface
+from voly.core.hd import get_historical_data
 from voly.core.interpolate import interpolate_model
 from voly.core.charts import (
     plot_all_smiles, plot_raw_parameters, plot_jw_parameters, plot_fit_performance, plot_3d_surface,
@@ -271,7 +272,7 @@ class VolyClient:
 
     @staticmethod
     def interpolate_model(fit_results: pd.DataFrame,
-                          list_of_days: List[str] = ['7d', '30d', '90d', '150d', '240d'],
+                          list_of_days=None,
                           method: str = 'cubic') -> pd.DataFrame:
         """
         Interpolate a fitted model to specific days to expiry.
@@ -284,6 +285,8 @@ class VolyClient:
         Returns:
         - DataFrame with interpolated model parameters for the specified days
         """
+        if list_of_days is None:
+            list_of_days = ['7d', '30d', '90d', '150d', '240d']
         logger.info(f"Interpolating model with {method} method")
 
         # Interpolate the model
@@ -314,3 +317,23 @@ class VolyClient:
         )
 
         return pdf_surface, cdf_surface, x_surface, moments
+
+    # -------------------------------------------------------------------------
+    # Historical Density (HD)
+    # -------------------------------------------------------------------------
+
+    @staticmethod
+    def get_historical_data(currency: str = 'BTC',
+                            lookback_days: str = '90d',
+                            granularity: str = '15m',
+                            exchange_name: str = 'binance'):
+
+        # Generate the surface
+        df_hist = get_historical_data(
+            currency=currency,
+            lookback_days=lookback_days,
+            granularity=granularity,
+            exchange_name=exchange_name
+        )
+
+        return df_hist

voly/core/hd.py

@@ -0,0 +1,84 @@
+"""
+This module handles calculating historical densities from
+time series of prices and converting them to implied volatility smiles.
+"""
+
+import ccxt
+import pandas as pd
+import datetime as dt
+from voly.utils.logger import logger, catch_exception
+from voly.exceptions import VolyError
+
+
+@catch_exception
+def get_historical_data(currency='BTC', lookback_days='90d', granularity='15m', exchange_name='binance'):
+    """
+    Fetch historical OHLCV data for a cryptocurrency.
+
+    Parameters:
+    ----------
+    currency : str
+        The cryptocurrency to fetch data for (e.g., 'BTC', 'ETH').
+    lookback_days : str
+        The lookback period in days, formatted as '90d', '30d', etc.
+    granularity : str
+        The time interval for data points (e.g., '15m', '1h', '1d').
+    exchange_name : str
+        The exchange to fetch data from (default: 'binance').
+
+    Returns:
+    -------
+    df_hist : pandas.DataFrame containing the historical price data with OHLCV columns.
+    """
+
+    try:
+        # Get the exchange class from ccxt
+        exchange_class = getattr(ccxt, exchange_name.lower())
+        exchange = exchange_class({'enableRateLimit': True})
+    except (AttributeError, TypeError):
+        raise VolyError(f"Exchange '{exchange_name}' not found in ccxt. Please check the exchange name.")
+
+    # Form the trading pair symbol
+    symbol = currency + '/USDT'
+
+    # Convert lookback_days to timestamp
+    if lookback_days.endswith('d'):
+        days_ago = int(lookback_days[:-1])
+        date_start = (dt.datetime.now() - dt.timedelta(days=days_ago)).strftime('%Y-%m-%d %H:%M:%S')
+    else:
+        raise VolyError("lookback_days should be in format '90d', '30d', etc.")
+
+    # Convert start date to timestamp
+    from_ts = exchange.parse8601(date_start)
+
+    # Fetch OHLCV data in batches
+    ohlcv = []
+    last_timestamp = from_ts
+
+    while True:
+        batch = exchange.fetch_ohlcv(symbol, granularity, since=last_timestamp, limit=1000)
+
+        if len(batch) == 0:
+            break
+
+        if ohlcv and batch[0][0] == ohlcv[-1][0]:
+            batch = batch[1:]  # Avoid duplicates
+
+        ohlcv.extend(batch)
+
+        # Update timestamp for next batch
+        last_timestamp = batch[-1][0]
+
+        # Break if we got less than the limit (reached the end)
+        if len(batch) < 1000:
+            break
+
+    # Convert to DataFrame
+    df_hist = pd.DataFrame(ohlcv, columns=['date', 'open', 'high', 'low', 'close', 'volume'])
+    df_hist['date'] = pd.to_datetime(df_hist['date'], unit='ms')
+    df_hist.set_index('date', inplace=True)
+    df_hist = df_hist.sort_index(ascending=True)
+
+    print(f"Data fetched successfully: {len(df_hist)} rows from {df_hist.index[0]} to {df_hist.index[-1]}")
+
+    return df_hist

{voly-0.0.105.dist-info → voly-0.0.107.dist-info}/METADATA

@@ -1,6 +1,6 @@
-Metadata-Version: 2.2
+Metadata-Version: 2.4
 Name: voly
-Version: 0.0.105
+Version: 0.0.107
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT
@@ -33,6 +33,7 @@ Requires-Dist: mypy>=0.931; extra == "dev"
 Requires-Dist: flake8>=4.0.1; extra == "dev"
 Requires-Dist: twine>=4.0.0; extra == "dev"
 Requires-Dist: build>=0.8.0; extra == "dev"
+Dynamic: license-file
 
 # Voly - Options & Volatility Research Package
 

{voly-0.0.105.dist-info → voly-0.0.107.dist-info}/RECORD

@@ -1,5 +1,5 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
-voly/client.py,sha256=sx7yL6FDKfH03I86EZgdcfiJOLVuBRjsWr1FBDJ-WXE,11627
+voly/client.py,sha256=FOH1E_zTCnDZhGLab9dzpqMQ5-fkW0MFeV0o1dBMx0w,12424
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
 voly/formulas.py,sha256=1Kjo6j7dMzjyfym-Cfk67qP4sS-lKQpkj0YNAoBOGe0,13351
 voly/models.py,sha256=BF-O7BjGf0BLMpw4rCtfwW7s8_f4iyUZdUY6q1dVxLs,3363
@@ -7,12 +7,13 @@ voly/core/__init__.py,sha256=bu6fS2I1Pj9fPPnl-zY3L7NqrZSY5Zy6NY2uMUvdhKs,183
 voly/core/charts.py,sha256=E21OZB5lTY4YL2flgaFJ6s5g3_ExtAQT2zryZZxLPyM,12735
 voly/core/data.py,sha256=pDeuYhP0GX4RbtlqByvsE3rfHcIkix0BU5MLW8sKIeI,8935
 voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
+voly/core/hd.py,sha256=sKDg_W8saF24gb2USV1JYntdNpstD-os1ACsczmUV7Y,2736
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 voly/core/rnd.py,sha256=VKM8ojLBziB9nxOEsKO5z_9Z1BSOVNxg0OQPx-Sp80I,10094
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.105.dist-info/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.105.dist-info/METADATA,sha256=qyC14tF1gR3HqH35NNeJ-XDLjg1iQixH8R8RnwSVhY8,4093
-voly-0.0.105.dist-info/WHEEL,sha256=beeZ86-EfXScwlR_HKu4SllMC9wUEj_8Z_4FJ3egI2w,91
-voly-0.0.105.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.105.dist-info/RECORD,,
+voly-0.0.107.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.107.dist-info/METADATA,sha256=85BF65TsY_sJhLiE94yb_77khaO3Vhm1qRd27s8PgQw,4115
+voly-0.0.107.dist-info/WHEEL,sha256=tTnHoFhvKQHCh4jz3yCn0WPTYIy7wXx3CJtJ7SJGV7c,91
+voly-0.0.107.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.107.dist-info/RECORD,,

{voly-0.0.105.dist-info → voly-0.0.107.dist-info}/WHEEL

@@ -1,5 +1,5 @@
 Wheel-Version: 1.0
-Generator: setuptools (76.1.0)
+Generator: setuptools (77.0.1)
 Root-Is-Purelib: true
 Tag: py3-none-any