Hello , i want to calculate option greeks in realtime using tick data . I'm stuck on the helper function where i need to pass both the option values from tick data as well as their strike price to calculate the greek . Can u point out where all i will need to make changes in code to add this list of strike prices so that i can iterate over ticks and the list simultaneously in a for loop to calculate .
Make a dictionary with keys as the strikes' call and put. The value of each key should be a dictionary with all the required data,like price etc. Means,we are creating a dictionary of dictionaries.To start,just put the values as empty strings or None. Fetch data from websocket for each instrument,and fill the values in the dictionary. Now you have a dictionary with all the strikes' call and put and their respective values. Now just iterate over the whole dictionary like:
for key,value in dict.items():
pass
Thanx a ton , the dictionary solution was beautiful . The function is giving proper output , only thing havnt tested during market hours . Even though ive specified the threaded=true argument i'm worried the connection might close in realtime as the Greek calculator function requires a few seconds .
while True: def on_ticks(ws, ticks): print("i am from while True -> on ticks: feed_data module called!") plt.style.use('fivethirtyeight') index = count() def animate(i): x.append(next(index)) y1.append(ATMdelta(ticks,strikes_list)) plt.cla() plt.plot(x, y1, label='Channel 1') plt.legend(loc='upper left') plt.tight_layout() ani = FuncAnimation(plt.gcf(), animate, interval=1000) plt.tight_layout() plt.show()
def ATMdelta(ticks,strikes_list): Calculates the greek ----------------------------------------------------------------------------- i also want to display the live graph of delta .... should the plotting function also be inside helper function or should it be within on_ticks
Nothing should be inside on_ticks except receiving ticks or the helper function. On_ticks is just to receive ticks. All the required calculation should be done in helper thread. I wish your system works properly during market hours.
connection closed . not working for 2nd tick onwards .ill have to run the helper function (which processes the popped tick from the queue )on another thread . . i saw this solution on a multithreading discussion thread ... can u show me how the while true: loop will look like ? for eg. should i create the new_thread for helper func outside the on_tick function within the while loop ? plz help im noob
for key,value in dict.items():
pass
https://kite.trade/forum/discussion/6650/live-option-chain
for tick in ticks:
if tick['instruement_token']==10135554:
_17000_CE_ltp=tick['last_price']
def on_ticks(ws, ticks):
print("i am from while True -> on ticks: feed_data module called!")
plt.style.use('fivethirtyeight')
index = count()
def animate(i):
x.append(next(index))
y1.append(ATMdelta(ticks,strikes_list))
plt.cla()
plt.plot(x, y1, label='Channel 1')
plt.legend(loc='upper left')
plt.tight_layout()
ani = FuncAnimation(plt.gcf(), animate, interval=1000)
plt.tight_layout()
plt.show()
def ATMdelta(ticks,strikes_list):
Calculates the greek
-----------------------------------------------------------------------------
i also want to display the live graph of delta .... should the plotting function also be inside helper function or should it be within on_ticks