voly 0.0.157__tar.gz → 0.0.158__tar.gz

{voly-0.0.157/src/voly.egg-info → voly-0.0.158}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.157
+Version: 0.0.158
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.157 → voly-0.0.158}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.157"
+version = "0.0.158"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.157"
+python_version = "0.0.158"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.157 → voly-0.0.158}/src/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-0.0.157 → voly-0.0.158}/src/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-0.0.157 → voly-0.0.158}/src/voly/formulas.py

@@ -251,7 +251,6 @@ def iv(option_price: float, s: float, K: float, r: float, t: float,
         K=K,
         t=t,
         r=r,
-        q=0.0,  # Assume zero dividend yield
         flag=flag
     )
     return iv_value

{voly-0.0.157 → voly-0.0.158/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.157
+Version: 0.0.158
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT