voly 0.0.157__py3-none-any.whl → 0.0.159__py3-none-any.whl

voly/core/data.py

@@ -232,6 +232,109 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     return df
 
 
+@catch_exception
+def process_order_book_depth(option_chain, max_depth=5):
+    """
+    Process the order book depth data to enhance option pricing and weighting.
+
+    Args:
+        option_chain: DataFrame containing option data with 'bids' and 'asks' columns
+        max_depth: Maximum number of levels to consider from the order book
+
+    Returns:
+        Enhanced option_chain with additional columns for depth analysis
+    """
+    # Create new columns for depth analysis
+    option_chain['vwap_bid'] = float('nan')
+    option_chain['vwap_ask'] = float('nan')
+    option_chain['vwap_mid'] = float('nan')
+    option_chain['depth_bid_qty'] = float('nan')
+    option_chain['depth_ask_qty'] = float('nan')
+    option_chain['vwap_bid_iv'] = float('nan')
+    option_chain['vwap_ask_iv'] = float('nan')
+    option_chain['vwap_mid_iv'] = float('nan')
+    option_chain['depth_liquidity'] = float('nan')
+
+    for idx, row in option_chain.iterrows():
+        s = row['underlying_price']
+        k = row['strikes']
+        t = row['t']
+        r = row['interest_rate'] if 'interest_rate' in row else 0.0
+        option_type = 'C' if row['option_type'] == 'call' else 'P'
+
+        # Process bid side
+        if 'bids' in row and isinstance(row['bids'], list) and len(row['bids']) > 0:
+            # Clean up the bid data
+            clean_bids = []
+            for bid in row['bids'][:max_depth]:  # Limit to max_depth levels
+                if len(bid) >= 3:
+                    # Extract price and quantity, removing 'new' if present
+                    price = float(bid[1]) if bid[0] == 'new' else float(bid[0])
+                    qty = float(bid[2]) if bid[0] == 'new' else float(bid[1])
+                    clean_bids.append((price, qty))
+
+            if clean_bids:
+                # Calculate volume-weighted average price
+                total_qty = sum(qty for _, qty in clean_bids)
+                vwap_bid = sum(price * qty for price, qty in clean_bids) / total_qty if total_qty > 0 else float('nan')
+
+                # Calculate IV for VWAP
+                try:
+                    vwap_bid_iv = voly.iv(vwap_bid * s, s, k, r, t, option_type)
+                except:
+                    vwap_bid_iv = float('nan')
+
+                option_chain.at[idx, 'vwap_bid'] = vwap_bid
+                option_chain.at[idx, 'depth_bid_qty'] = total_qty
+                option_chain.at[idx, 'vwap_bid_iv'] = vwap_bid_iv
+
+        # Process ask side
+        if 'asks' in row and isinstance(row['asks'], list) and len(row['asks']) > 0:
+            # Clean up the ask data
+            clean_asks = []
+            for ask in row['asks'][:max_depth]:  # Limit to max_depth levels
+                if len(ask) >= 3:
+                    # Extract price and quantity, removing 'new' if present
+                    price = float(ask[1]) if ask[0] == 'new' else float(ask[0])
+                    qty = float(ask[2]) if ask[0] == 'new' else float(ask[1])
+                    clean_asks.append((price, qty))
+
+            if clean_asks:
+                # Calculate volume-weighted average price
+                total_qty = sum(qty for _, qty in clean_asks)
+                vwap_ask = sum(price * qty for price, qty in clean_asks) / total_qty if total_qty > 0 else float('nan')
+
+                # Calculate IV for VWAP
+                try:
+                    vwap_ask_iv = voly.iv(vwap_ask * s, s, k, r, t, option_type)
+                except:
+                    vwap_ask_iv = float('nan')
+
+                option_chain.at[idx, 'vwap_ask'] = vwap_ask
+                option_chain.at[idx, 'depth_ask_qty'] = total_qty
+                option_chain.at[idx, 'vwap_ask_iv'] = vwap_ask_iv
+
+        # Calculate mid VWAP if both bid and ask are available
+        if not np.isnan(option_chain.at[idx, 'vwap_bid']) and not np.isnan(option_chain.at[idx, 'vwap_ask']):
+            vwap_mid = (option_chain.at[idx, 'vwap_bid'] + option_chain.at[idx, 'vwap_ask']) / 2
+
+            # Calculate IV for mid VWAP
+            try:
+                vwap_mid_iv = voly.iv(vwap_mid * s, s, k, r, t, option_type)
+            except:
+                vwap_mid_iv = float('nan')
+
+            option_chain.at[idx, 'vwap_mid'] = vwap_mid
+            option_chain.at[idx, 'vwap_mid_iv'] = vwap_mid_iv
+
+        # Calculate depth liquidity (sum of bid and ask quantities)
+        bid_qty = option_chain.at[idx, 'depth_bid_qty'] if not np.isnan(option_chain.at[idx, 'depth_bid_qty']) else 0
+        ask_qty = option_chain.at[idx, 'depth_ask_qty'] if not np.isnan(option_chain.at[idx, 'depth_ask_qty']) else 0
+        option_chain.at[idx, 'depth_liquidity'] = bid_qty + ask_qty
+
+    return option_chain
+
+
 @catch_exception
 async def fetch_option_chain(exchange: str = 'deribit',
                              currency: str = 'BTC',

voly/core/hd.py

@@ -230,8 +230,6 @@ def calculate_student_t_hd(df_hist: pd.DataFrame,
     else:
         df = 5  # Default value if kurtosis calculation fails
 
-    logger.info(f"Estimated degrees of freedom for t-distribution: {df:.2f}")
-
     # Apply Girsanov adjustment to shift to risk-neutral measure
     expected_risk_neutral_mean = (r - 0.5 * sigma_scaled ** 2) * np.sqrt(t)
     adjustment = mu_scaled - expected_risk_neutral_mean

voly/formulas.py

@@ -245,15 +245,19 @@ def iv(option_price: float, s: float, K: float, r: float, t: float,
             return np.inf  # Price exceeds strike
 
     flag = 'c' if option_type.lower() in ["call", "c"] else 'p'
-    iv_value = implied_volatility(
-        price=option_price,
-        S=s,
-        K=K,
-        t=t,
-        r=r,
-        q=0.0,  # Assume zero dividend yield
-        flag=flag
-    )
+
+    try:
+        iv_value = implied_volatility(
+            price=option_price,
+            S=s,
+            K=K,
+            t=t,
+            r=r,
+            flag=flag
+        )
+    except:
+        iv_value = 5.0  # max iv allowed
+
     return iv_value
 
 

{voly-0.0.157.dist-info → voly-0.0.159.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.157
+Version: 0.0.159
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.157.dist-info → voly-0.0.159.dist-info}/RECORD

@@ -1,20 +1,20 @@
 voly/__init__.py,sha256=8xyDk7rFCn_MOD5hxuv5cxxKZvBVRiSIM7TgaMPpwpw,211
 voly/client.py,sha256=-yE1_cBvjkK-BO_kKCYtn4WPbNOhAzT0hsfykU5LvQQ,14761
 voly/exceptions.py,sha256=PBsbn1vNMvKcCJwwJ4lBO6glD85jo1h2qiEmD7ArAjs,92
-voly/formulas.py,sha256=G_soRiPwQlHy6milOAj6TdmBWr-fNZpMvm0joXAMZ90,10767
+voly/formulas.py,sha256=QEwl3l8R0LJbktm9vflJeMhL8-UBdq8W8NzoPx71Ayg,10818
 voly/models.py,sha256=o-pHujGfr5Gn8ItckMzLI4Q8yaX9FQaV8UjCxv2zgTY,3364
 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/data.py,sha256=_iXiZ7N08J9V3EUG538QPX3lW_Yo8mEsk4VH9E9GtwQ,13581
 voly/core/fit.py,sha256=Tb9eeG7e_2dQTcqt6aqEwFrZdy6jR9rSNqe6tzOdVhQ,9245
-voly/core/hd.py,sha256=kAQO2ft6vmobW60mokhoZbzVElYC_wy1OeBXhmeCtAg,14850
+voly/core/hd.py,sha256=UFAyLncNUHivpPAcko6IK1bC55mudVtdlRFfXp63HXE,14771
 voly/core/interpolate.py,sha256=JkK172-FXyhesW3hY4pEeuJWG3Bugq7QZXbeKoRpLuo,5305
 voly/core/rnd.py,sha256=GoC3m1Q46Wnk5tV_mstr-3_aktHeue6BBLh4DQTciW0,13307
 voly/utils/__init__.py,sha256=E05mWatyC-PDOsCxQV1p5Xi1IgpOomxrNURyCx_gB-w,200
 voly/utils/density.py,sha256=q0fX4im9TGwMCZ32Hzdv8CNh56KnJo8bmG5w0gVWZH8,5879
 voly/utils/logger.py,sha256=4-_2bVJmq17Q0d7Rd2mPg1AeR8gxv6EPvcmBDMFWcSM,1744
-voly-0.0.157.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
-voly-0.0.157.dist-info/METADATA,sha256=5RTJLbGrsh2EQQ4jTBqIGoYF6UDI4_4UnRHsSEDSMM8,4115
-voly-0.0.157.dist-info/WHEEL,sha256=CmyFI0kx5cdEMTLiONQRbGQwjIoR1aIYB7eCAQ4KPJ0,91
-voly-0.0.157.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
-voly-0.0.157.dist-info/RECORD,,
+voly-0.0.159.dist-info/licenses/LICENSE,sha256=wcHIVbE12jfcBOai_wqBKY6xvNQU5E909xL1zZNq_2Q,1065
+voly-0.0.159.dist-info/METADATA,sha256=fZdgIs_6QxUT662ba0xHz8Z3_OgVLao65bgRa1eWynY,4115
+voly-0.0.159.dist-info/WHEEL,sha256=CmyFI0kx5cdEMTLiONQRbGQwjIoR1aIYB7eCAQ4KPJ0,91
+voly-0.0.159.dist-info/top_level.txt,sha256=ZfLw2sSxF-LrKAkgGjOmeTcw6_gD-30zvtdEY5W4B7c,5
+voly-0.0.159.dist-info/RECORD,,