voly 0.0.231__tar.gz → 0.0.233__tar.gz

{voly-0.0.231/src/voly.egg-info → voly-0.0.233}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.231
+Version: 0.0.233
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT

{voly-0.0.231 → voly-0.0.233}/pyproject.toml

@@ -4,7 +4,7 @@ build-backend = "setuptools.build_meta"
 
 [project]
 name = "voly"
-version = "0.0.231"
+version = "0.0.233"
 description = "Options & volatility research package"
 readme = "README.md"
 authors = [
@@ -60,7 +60,7 @@ line_length = 100
 multi_line_output = 3
 
 [tool.mypy]
-python_version = "0.0.231"
+python_version = "0.0.233"
 warn_return_any = true
 warn_unused_configs = true
 disallow_untyped_defs = true

{voly-0.0.231 → voly-0.0.233}/src/voly/core/data.py

@@ -250,7 +250,7 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     logger.info(f"Processing data for {currency}...")
 
     # Apply extraction to create new columns
-    df['spot_price'] = df['index_price']
+    df['spot_price'] = df['index_price'].iloc[0]
     s = df['spot_price'].iloc[0]
     df['instrument'] = df['instrument_name']
     splits = df['instrument'].str.split('-')
@@ -272,9 +272,9 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
     df['bid_iv'] = df['bid_iv'].replace({0: np.nan}) / 100
     df['ask_iv'] = df['ask_iv'].replace({0: np.nan}) / 100
 
-    df['mark_price'] = df['mark_price'] * df['spot_price']
-    df['bid_price'] = df['best_bid_price'] * df['spot_price']
-    df['ask_price'] = df['best_ask_price'] * df['spot_price']
+    df['mark_price'] = df['mark_price'] * s
+    df['bid_price'] = df['best_bid_price'] * s
+    df['ask_price'] = df['best_ask_price'] * s
     df['bid_amount'] = df['best_bid_amount']
     df['ask_amount'] = df['best_ask_amount']
 
@@ -285,8 +285,8 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
             for bid in row['bids']:
                 if len(bid) >= 3:
                     # Extract price and quantity, removing 'new' if present
-                    price = float(bid[1] * s) if bid[0] == 'new' else float(bid[0] * s)
-                    qty = float(bid[2]) if bid[0] == 'new' else float(bid[1])
+                    price = round(float(bid[1] * s) if bid[0] == 'new' else float(bid[0] * s), 8)
+                    qty = round(float(bid[2]) if bid[0] == 'new' else float(bid[1]), 8)
                     clean_bids.append((price, qty))
             if clean_bids:
                 df.at[idx, 'bids'] = clean_bids
@@ -297,16 +297,23 @@ def process_option_chain(df: pd.DataFrame, currency: str) -> pd.DataFrame:
             for ask in row['asks']:
                 if len(ask) >= 3:
                     # Extract price and quantity, removing 'new' if present
-                    price = float(ask[1] * s) if ask[0] == 'new' else float(ask[0] * s)
-                    qty = float(ask[2]) if ask[0] == 'new' else float(ask[1])
+                    price = round(float(ask[1] * s) if ask[0] == 'new' else float(ask[0] * s), 8)
+                    qty = round(float(ask[2]) if ask[0] == 'new' else float(ask[1]), 8)
                     clean_asks.append((price, qty))
             if clean_asks:
                 df.at[idx, 'asks'] = clean_asks
 
     df['bid_depth'] = df['bids']
     df['ask_depth'] = df['asks']
-    df['open_interest'] = df['open_interest'] * df['spot_price']
-    df['volume'] = df['volume_usd']
+
+    df['delta'] = voly.delta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['gamma'] = voly.gamma(s, df['strikes'], 0, df['mark_iv'], df['t']) * 10000
+    df['vega'] = voly.vega(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['theta'] = voly.theta(s, df['strikes'], 0, df['mark_iv'], df['t'])
+    df['rho'] = voly.rho(s, df['strikes'], 0, df['mark_iv'], df['t'])
+
+    df['open_interest'] = df['open_interest'] * s
+    df['volume'] = df['volume'] * s
 
     df = df[['currency', 'spot_price',
              'timestamp', 'instrument', 'maturity', 'strikes', 'flag', 'expiry',

{voly-0.0.231 → voly-0.0.233/src/voly.egg-info}/PKG-INFO

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: voly
-Version: 0.0.231
+Version: 0.0.233
 Summary: Options & volatility research package
 Author-email: Manu de Cara <manu.de.cara@gmail.com>
 License: MIT