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add historical data #29

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6e2481a
add historical data
Prithviraj8 Dec 14, 2022
97617dc
add deribit orderbook code
Prithviraj8 Dec 21, 2022
c0b7ba2
add tardis historical data collection for deribit
Prithviraj8 Dec 22, 2022
7111e25
add tardis historical data collection for deribit
Prithviraj8 Dec 22, 2022
df8f014
add script to format csv file
Akhilleshgoswami Dec 27, 2022
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3 changes: 3 additions & 0 deletions .gitignore
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Original file line number Diff line number Diff line change
Expand Up @@ -91,3 +91,6 @@ venv.bak/
.Trashes
ehthumbs.db
Thumbs.db


scripts/datasets
27 changes: 18 additions & 9 deletions components/black_scholes_options_pricing.py
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Original file line number Diff line number Diff line change
Expand Up @@ -6,12 +6,12 @@

class BlackScholesOptionPricing(object):
def __init__(
self,
current_asset_price=None,
strike_price=None,
option_expiration=1,
risk_free_rate=0.1,
sigma=0.3,
self,
current_asset_price=None,
strike_price=None,
option_expiration=1,
risk_free_rate=0.1,
sigma=0.3,
):
self.current_asset_price = current_asset_price
self.strike_price = strike_price
Expand All @@ -21,14 +21,23 @@ def __init__(

def get_put_option_price(self):
d1 = (
np.log(self.current_asset_price / self.strike_price)
+ (self.risk_free_rate + self.sigma**2 / 2) * self.option_expiration
) / (self.sigma * np.sqrt(self.option_expiration))
np.log(self.current_asset_price / self.strike_price)
+ (self.risk_free_rate + self.sigma ** 2 / 2) * self.option_expiration
) / (self.sigma * np.sqrt(self.option_expiration))
d2 = d1 - self.sigma * np.sqrt(self.option_expiration)
return self.strike_price * np.exp(
-self.risk_free_rate * self.option_expiration
) * CDF(-d2) - self.current_asset_price * CDF(-d1)

def get_call_option_price(self):
d1 = (
np.log(self.current_asset_price / self.strike_price)
+ (self.risk_free_rate + self.sigma ** 2 / 2) * self.option_expiration
) / (self.sigma * np.sqrt(self.option_expiration))
d2 = d1 - self.sigma * np.sqrt(self.option_expiration)

return (self.current_asset_price * CDF(d1)) - (self.strike_price * np.exp((-self.risk_free_rate) * self.option_expiration) * CDF(d2))


if __name__ == "__main__":
current_asset_price = 2938.53
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10 changes: 10 additions & 0 deletions requirements.txt
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Original file line number Diff line number Diff line change
@@ -1,5 +1,7 @@
aiofiles==0.8.0
aiohttp==3.8.1
aiosignal==1.2.0
asgiref==3.5.2
async-timeout==4.0.2
atomicwrites==1.4.1
attrs==22.1.0
Expand All @@ -12,6 +14,8 @@ click==8.1.3
cytoolz==0.11.2
dateparser==1.0.0
distlib==0.3.6
Django==4.1.2
djangorestframework==3.14.0
dydx-v3-python==1.7.0
ecdsa==0.16.0
eth-abi==2.2.0
Expand All @@ -36,7 +40,9 @@ multiaddr==0.0.9
multidict==6.0.2
mypy-extensions==0.4.3
netaddr==0.8.0
numpy==1.24.1
packaging==21.3
pandas==1.5.2
parsimonious==0.8.1
pathspec==0.10.1
platformdirs==2.5.2
Expand All @@ -56,7 +62,11 @@ requests==2.28.1
requests-mock==1.6.0
rlp==2.0.1
six==1.16.0
sortedcontainers==2.4.0
sqlparse==0.4.3
sympy==1.6
tardis-client==1.3.3
tardis-dev==2.0.0a13
toml==0.10.2
tomli==2.0.1
toolz==0.12.0
Expand Down
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