Metadata-Version: 2.1
Name: option_chain_analytics
Version: 1.0.16
Summary: Implementation of data management and outputs queries for Option Chains
Home-page: https://github.com/ArturSepp/OptionChainAnalytics
License: LICENSE.txt
Keywords: options chain,implied volatility,volatility surface,volatility fitting,options data
Author: Artur Sepp
Author-email: artursepp@gmail.com
Maintainer: Artur Sepp
Maintainer-email: artursepp@gmail.com
Requires-Python: >=3.8,<3.11
Classifier: Development Status :: 4 - Beta
Classifier: Environment :: Console
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: Intended Audience :: Science/Research
Classifier: License :: OSI Approved :: MIT License
Classifier: License :: Other/Proprietary License
Classifier: Natural Language :: English
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.8
Classifier: Programming Language :: Python :: 3.9
Classifier: Programming Language :: Python :: 3.10
Classifier: Programming Language :: Python :: 3 :: Only
Classifier: Topic :: Office/Business :: Financial :: Investment
Requires-Dist: PyYAML (>=6.0)
Requires-Dist: easydev (>=0.12.0)
Requires-Dist: fsspec (>=2022.11.0)
Requires-Dist: matplotlib (>=3.2.2)
Requires-Dist: numba (>=0.56.4)
Requires-Dist: numpy (>=1.22.4)
Requires-Dist: openpyxl (>=3.0.10)
Requires-Dist: pandas (>=1.5.2)
Requires-Dist: psycopg2 (>=2.9.5)
Requires-Dist: pyarrow (>=10.0.1)
Requires-Dist: qis (>=1.0.30)
Requires-Dist: scipy (>=1.10)
Requires-Dist: seaborn (>=0.12.2)
Requires-Dist: tqdm (>=4.64.1)
Requires-Dist: yfinance (>0.1.38)
Project-URL: Documentation, https://github.com/ArturSepp/OptionChainAnalytics
Project-URL: Issues, https://github.com/ArturSepp/OptionChainAnalytics/issues
Project-URL: Personal website, https://artursepp.com
Project-URL: Repository, https://github.com/ArturSepp/OptionChainAnalytics
Description-Content-Type: text/markdown

# OptionChainAnalytics
 Analytics for processing option chain and options time series data


Core python dependencies:

    python = ">=3.8,<3.11"
    numba = ">=0.59.0"
    numpy = ">=1.26.4"

Core packages dependencies

    vanilla_option_pricers = ">=1.0.1"
    qis = ">=2.0.68"



<strong>OptionChainAnalytics: Option Chain Analytics</strong>

Module option_chain_analytics implements generic features for operations with option chains

# Implemented dataclass analytics


### Expiry Slices <a name="eslice"></a>

[Expiry Slice](#eslice) in ```option_chain.py```

Contains call and put options dataframes per each expiry

Option chain core data and anlytics object. Generally, option chain is
a table of trading data (strikes, bids, asks, sizes, deltas, etc)
for puts and calls. These tables are indexed by contract ids and the tables are arranged by maturities.  
We term these tables as expiry slices.

implements request such as ```get_atm_vol``` , ```get_atm_option_strike``` , ```get_atm_call_id``` , 
```get_atm_call_id``` , ```get_atm_put_id```,
```get_call_delta_strike```, ```get_put_delta_strike``` 

### **Option Chain** <a name="chain"></a>

[SlicesChain](#chain) in ```option_chain.py```

Dataclass 

### **Slices Chain** <a name="chain"></a>

[SlicesChain](#chain) in ```option_chain.py```

### **OptionsDataDFs(ChainTs)** <a name="chainTs"></a>

[ChainTs](#chain_ts) in ```chain_ts.py```


dataclass containing time series of options data ```chain_ts: pd.DataFrame```
and spot data ```spot_data: pd.DataFrame```

it implements query ```get_time_slice(timestamp)``` which returns data to 
create option chain dataclass


### **OptionsDataDFs(ChainTs)** <a name="chainTs"></a>

```python 
def create_chain[test.py](..%2F..%2F..%2Fmisc%2Fderibit_websocket_Nova%2Ftest.py)_from_from_options_dfs(options_data_dfs: OptionsDataDFs,
                                       value_time: pd.Timestamp,
                                       ) -> Optional[SlicesChain]:
```





