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OiAnalysis.py
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OiAnalysis.py
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from datetime import datetime, time
from time import sleep
import requests
import xlwings as xw
#Function to add Strike Price sheet in OptionChain.xlsx
def addStrikePriceSheet(wb,strikePrice):
wb = xw.Book('OptionChain.xlsx')
wb.sheets.add(name=str(strikePrice))
#Function add different option strike data in respective option strike sheet
def addOptionDataInSheet(wb,currTime,strikePrice,ceLTP,ceOI,peLTP,peOI):
wb = xw.Book('OptionChain.xlsm')
wb_sheet = wb.sheets['Master']
if wb_sheet.cells(2, 1).value == None:
lastRow = 1
else:
lastRow = wb_sheet.range('A1').end('down').row
print(lastRow)
wb_sheet.cells(lastRow + 1, 1).value = currTime
wb_sheet.cells(lastRow + 1, 2).value = ceLTP
wb_sheet.cells(lastRow + 1, 3).value = ceOI
wb_sheet.cells(lastRow + 1, 4).value = strikePrice
wb_sheet.cells(lastRow + 1, 5).value = peLTP
wb_sheet.cells(lastRow + 1, 6).value = peOI
#Color strike Price
wb_sheet.range(lastRow+1, 4).color = (255, 255, 0)
#Function make excel sheet if not present already
def makeOptionChainFile(opt,currTime):
wb = xw.Book('OptionChain.xlsm')
optionData = opt["filtered"]["data"]
#Create Strike Price worksheet
for optionRow in optionData:
strikePrice = optionRow["CE"]["strikePrice"]
ceLTP = optionRow["CE"]["lastPrice"]
ceOI = 75*optionRow["CE"]["openInterest"]
peLTP = optionRow["PE"]["lastPrice"]
peOI = 75*optionRow["PE"]["openInterest"]
addOptionDataInSheet(wb,currTime,strikePrice,ceLTP,ceOI,peLTP,peOI)
wb.save()
#Function to add data in optionchain.xlsm
def putOptionChainData(opt,currTime):
wb = xw.Book('OptionChain.xlsm')
optionData = opt["filtered"]["data"]
for optionRow in optionData:
strikePrice = optionRow["CE"]["strikePrice"]
ceLTP = optionRow["CE"]["lastPrice"]
ceOI = 75*optionRow["CE"]["openInterest"]
peLTP = optionRow["PE"]["lastPrice"]
peOI = 75*optionRow["PE"]["openInterest"]
addOptionDataInSheet(wb,currTime,strikePrice,ceLTP,ceOI,peLTP,peOI)
wb.save()
#Function to add 5 min data inside OiAnalysis.xlsx
def putInExcel5Min(currTraded, futOI, tradedVolCon, callOI, putOI,currTime):
wb =xw.Book('OiAnalysis.xlsx')
wb_sheet = wb.sheets[0]
lastRow = wb_sheet.range('A1').end('down').row
last_time = wb_sheet.cells(lastRow, 1).value
last_timee = last_time.split('-')
time_range = last_timee[1] + "-" + currTime
last_traded_price = wb_sheet.cells(lastRow, 2).value
changeInLTP = currTraded - last_traded_price
last_Fut_OI = wb_sheet.cells(lastRow,5).value
changeInFutOI = futOI - last_Fut_OI
last_Call_OI = wb_sheet.cells(lastRow, 7).value
changeInCallOI = callOI - last_Call_OI
last_Put_OI = wb_sheet.cells(lastRow,9).value
changeInPutOI = putOI - last_Put_OI
OiInter = ""
signal = ""
redFill = (255,204,203)
greenFill = (144,238,144)
if changeInLTP > 0 and changeInFutOI > 0:
OiInter = "Long Buildup"
elif changeInLTP < 0 and changeInFutOI > 0:
OiInter = "Short Buildup"
elif changeInLTP < 0 and changeInFutOI < 0:
OiInter = "Long Unwinding"
elif changeInLTP > 0 and changeInFutOI < 0:
OiInter = "Short Covering"
if changeInLTP>0 and changeInFutOI>0 and changeInPutOI>0 and changeInCallOI<0:
signal = "Buy"
elif changeInLTP<0 and changeInFutOI>0 and changeInPutOI<0 and changeInCallOI>0:
signal = "Sell"
elif changeInLTP<0 and changeInFutOI<0 and changeInPutOI<0 and changeInCallOI>0:
signal = "Sell"
elif changeInLTP>0 and changeInFutOI<0 and changeInPutOI>0 and changeInCallOI<0:
signal = "Buy"
#color filling start
if changeInLTP>0:
wb_sheet.range(lastRow + 1, 3).color = greenFill
elif changeInLTP<0:
wb_sheet.range(lastRow + 1, 3).color = redFill
if changeInFutOI>0:
wb_sheet.range(lastRow + 1, 6).color = greenFill
elif changeInFutOI<0:
wb_sheet.range(lastRow + 1, 6).color = redFill
if changeInCallOI>0:
wb_sheet.range(lastRow + 1, 8).color = greenFill
elif changeInCallOI<0:
wb_sheet.range(lastRow + 1, 8).color = redFill
if changeInPutOI>0:
wb_sheet.range(lastRow + 1, 10).color = greenFill
elif changeInPutOI<0:
wb_sheet.range(lastRow + 1, 10).color = redFill
if signal=="Buy":
wb_sheet.range(lastRow + 1, 12).color = greenFill
elif signal=="Sell":
wb_sheet.range(lastRow + 1, 12).color = redFill
wb_sheet.cells(lastRow+1, 1).value = time_range
wb_sheet.cells(lastRow+1, 2).value = currTraded
wb_sheet.cells(lastRow+1, 3).value = changeInLTP
wb_sheet.cells(lastRow+1, 4).value = tradedVolCon
wb_sheet.cells(lastRow+1, 5).value = futOI
wb_sheet.cells(lastRow+1, 6).value = changeInFutOI
wb_sheet.cells(lastRow+1, 7).value = callOI
wb_sheet.cells(lastRow+1, 8).value = changeInCallOI
wb_sheet.cells(lastRow+1, 9).value = putOI
wb_sheet.cells(lastRow+1, 10).value = changeInPutOI
wb_sheet.cells(lastRow + 1, 11).value = OiInter
wb_sheet.cells(lastRow + 1, 12).value = signal
wb.save()
print(time_range," ",currTraded," ",changeInLTP," ",OiInter," ",signal)
#Function to add 15 min data inside OiAnalysis.xlsx
def putInExcel15Min(currTraded, futOI, tradedVolCon, callOI, putOI,currTime):
wb = xw.Book('OiAnalysis.xlsx')
wb_sheet = wb.sheets[1]
lastRow = wb_sheet.range('A1').end('down').row
last_time = wb_sheet.cells(lastRow, 1).value
last_timee = last_time.split('-')
time_range = last_timee[1] + "-" + currTime
last_traded_price = wb_sheet.cells(lastRow, 2).value
changeInLTP = currTraded - last_traded_price
last_Fut_OI = wb_sheet.cells(lastRow, 5).value
changeInFutOI = futOI - last_Fut_OI
last_Call_OI = wb_sheet.cells(lastRow, 7).value
changeInCallOI = callOI - last_Call_OI
last_Put_OI = wb_sheet.cells(lastRow, 9).value
changeInPutOI = putOI - last_Put_OI
OiInter = ""
signal = ""
redFill = (255, 204, 203)
greenFill = (144, 238, 144)
if changeInLTP > 0 and changeInFutOI > 0:
OiInter = "Long Buildup"
elif changeInLTP < 0 and changeInFutOI > 0:
OiInter = "Short Buildup"
elif changeInLTP < 0 and changeInFutOI < 0:
OiInter = "Long Unwinding"
elif changeInLTP > 0 and changeInFutOI < 0:
OiInter = "Short Covering"
if changeInLTP > 0 and changeInFutOI > 0 and changeInPutOI > 0 and changeInCallOI < 0:
signal = "Buy"
elif changeInLTP < 0 and changeInFutOI > 0 and changeInPutOI < 0 and changeInCallOI > 0:
signal = "Sell"
elif changeInLTP < 0 and changeInFutOI < 0 and changeInPutOI < 0 and changeInCallOI > 0:
signal = "Sell"
elif changeInLTP > 0 and changeInFutOI < 0 and changeInPutOI > 0 and changeInCallOI < 0:
signal = "Buy"
# color filling start
if changeInLTP > 0:
wb_sheet.range(lastRow + 1, 3).color = greenFill
elif changeInLTP < 0:
wb_sheet.range(lastRow + 1, 3).color = redFill
if changeInFutOI > 0:
wb_sheet.range(lastRow + 1, 6).color = greenFill
elif changeInFutOI < 0:
wb_sheet.range(lastRow + 1, 6).color = redFill
if changeInCallOI > 0:
wb_sheet.range(lastRow + 1, 8).color = greenFill
elif changeInCallOI < 0:
wb_sheet.range(lastRow + 1, 8).color = redFill
if changeInPutOI > 0:
wb_sheet.range(lastRow + 1, 10).color = greenFill
elif changeInPutOI < 0:
wb_sheet.range(lastRow + 1, 10).color = redFill
if signal == "Buy":
wb_sheet.range(lastRow + 1, 12).color = greenFill
elif signal == "Sell":
wb_sheet.range(lastRow + 1, 12).color = redFill
wb_sheet.cells(lastRow + 1, 1).value = time_range
wb_sheet.cells(lastRow + 1, 2).value = currTraded
wb_sheet.cells(lastRow + 1, 3).value = changeInLTP
wb_sheet.cells(lastRow + 1, 4).value = tradedVolCon
wb_sheet.cells(lastRow + 1, 5).value = futOI
wb_sheet.cells(lastRow + 1, 6).value = changeInFutOI
wb_sheet.cells(lastRow + 1, 7).value = callOI
wb_sheet.cells(lastRow + 1, 8).value = changeInCallOI
wb_sheet.cells(lastRow + 1, 9).value = putOI
wb_sheet.cells(lastRow + 1, 10).value = changeInPutOI
wb_sheet.cells(lastRow + 1, 11).value = OiInter
wb_sheet.cells(lastRow + 1, 12).value = signal
wb.save()
def enterInExcel(currTime,isFifteenMin):
try:
url1 = "https://www1.nseindia.com/live_market/dynaContent/live_watch/get_quote/ajaxFOGetQuoteJSON.jsp?underlying=NIFTY&instrument=FUTIDX&expiry=24SEP2020&type=SELECT&strike=11500.00"
referer = "https://www1.nseindia.com/live_market/dynaContent/live_watch/get_quote/GetQuoteFO.jsp?underlying=NIFTY&instrument=OPTIDX&expiry=17SEP2020&type=CE&strike=11500.00"
headers = {
'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/85.0.4183.102 Safari/537.36',
'Accept-Language': 'en-US,en;q=0.9', 'Accept-Encoding': 'gzip, deflate, br', 'referer': referer}
cookies = {
'bm_sv': '808AA9DAA6889DCF6CB5A9AB14BF290F~t420SFeAK8epqchwzNEdgzJGSy4pjs8Mco4O/d7w5qW4TxShiDJYDHoeSAe60uaZMH2n5wjH3v0NnmtPWrKZosEZDfOSHts34ur4GGAPsGGL3LHYVPU/IbcIDhNf6MXF8oqWfpyJ0FXh74VTcL2NhnLG6DlsLun9OrT/+t9vHpY='}
session = requests.session()
for cook in cookies:
session.cookies.set(cook, cookies[cook])
fut = session.get(url1, headers=headers).json()
url2 = "https://www.nseindia.com/api/option-chain-indices?symbol=NIFTY"
session = requests.session()
for cook in cookies:
session.cookies.set(cook, cookies[cook])
opt = session.get(url2, headers=headers).json()
# Future OI
lastTraded = float((fut["data"][0]["lastPrice"]).replace(',', ''))
futOI = int((fut["data"][0]["openInterest"]).replace(',', ''))
tradedVolCon = int((fut["data"][0]["numberOfContractsTraded"]).replace(',', ''))
# Option OI
callOI = opt["filtered"]["CE"]["totOI"]
putOI = opt["filtered"]["PE"]["totOI"]
putInExcel5Min(lastTraded, futOI, tradedVolCon, callOI, putOI,currTime)
putOptionChainData(opt,currTime)
if isFifteenMin:
putInExcel15Min(lastTraded, futOI, tradedVolCon, callOI, putOI,currTime)
except Exception as e:
print(e)
def putInExcelIni(lastTraded, futOI, tradedVolCon, callOI, putOI,currTime):
wb = xw.Book('OiAnalysis.xlsx')
sht5min = wb.sheets[0]
sht15min = wb.sheets[1]
sht5min.cells(1, 1).value = "Time"
sht5min.cells(1, 2).value = "LTP"
sht5min.cells(1, 3).value = "Change in LTP"
sht5min.cells(1, 4).value = "Traded Volume(Contract)"
sht5min.cells(1, 5).value = "Future OI"
sht5min.cells(1, 6).value = "Change Future OI"
sht5min.cells(1, 7).value = "Call OI"
sht5min.cells(1, 8).value = "Change Call OI"
sht5min.cells(1, 9).value = "Put OI"
sht5min.cells(1, 10).value = "Change Put OI"
sht5min.cells(1, 11).value = "OI Interpretation"
sht5min.cells(1, 12).value = "Buy/Sell"
sht5min.range('A1:L1').color = (255,255,0)
sht5min.cells(2, 1).value = "00:00-"+currTime
sht5min.cells(2, 2).value = lastTraded
sht5min.cells(2, 3).value = 0
sht5min.cells(2, 4).value = tradedVolCon
sht5min.cells(2, 5).value = futOI
sht5min.cells(2, 6).value = 0
sht5min.cells(2, 7).value = callOI
sht5min.cells(2, 8).value = 0
sht5min.cells(2, 9).value = putOI
sht5min.cells(2, 10).value = 0
sht15min.cells(1, 1).value = "Time"
sht15min.cells(1, 2).value = "LTP"
sht15min.cells(1, 3).value = "Change in LTP"
sht15min.cells(1, 4).value = "Traded Volume(Contract)"
sht15min.cells(1, 5).value = "Future OI"
sht15min.cells(1, 6).value = "Change Future OI"
sht15min.cells(1, 7).value = "Call OI"
sht15min.cells(1, 8).value = "Change Call OI"
sht15min.cells(1, 9).value = "Put OI"
sht15min.cells(1, 10).value = "Change Put OI"
sht15min.cells(1, 11).value = "OI Interpretation"
sht15min.cells(1, 12).value = "Buy/Sell"
sht15min.range('A1:L1').color = (255, 255, 0)
sht15min.cells(2, 1).value = "00:00-"+currTime
sht15min.cells(2, 2).value = lastTraded
sht15min.cells(2, 3).value = 0
sht15min.cells(2, 4).value = tradedVolCon
sht15min.cells(2, 5).value = futOI
sht15min.cells(2, 6).value = 0
sht15min.cells(2, 7).value = callOI
sht15min.cells(2, 8).value = 0
sht15min.cells(2, 9).value = putOI
sht15min.cells(2, 10).value = 0
wb.save()
def initializeFiles(currTime):
try:
url1 = "https://www1.nseindia.com/live_market/dynaContent/live_watch/get_quote/ajaxFOGetQuoteJSON.jsp?underlying=NIFTY&instrument=FUTIDX&expiry=24SEP2020&type=SELECT&strike=11500.00"
referer = "https://www1.nseindia.com/live_market/dynaContent/live_watch/get_quote/GetQuoteFO.jsp?underlying=NIFTY&instrument=OPTIDX&expiry=17SEP2020&type=CE&strike=11500.00"
headers = {
'User-Agent': 'Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/85.0.4183.102 Safari/537.36',
'Accept-Language': 'en-US,en;q=0.9', 'Accept-Encoding': 'gzip, deflate, br', 'referer': referer}
cookies = {
'bm_sv': '808AA9DAA6889DCF6CB5A9AB14BF290F~t420SFeAK8epqchwzNEdgzJGSy4pjs8Mco4O/d7w5qW4TxShiDJYDHoeSAe60uaZMH2n5wjH3v0NnmtPWrKZosEZDfOSHts34ur4GGAPsGGL3LHYVPU/IbcIDhNf6MXF8oqWfpyJ0FXh74VTcL2NhnLG6DlsLun9OrT/+t9vHpY='}
session = requests.session()
for cook in cookies:
session.cookies.set(cook, cookies[cook])
fut = session.get(url1, headers=headers).json()
url2 = "https://www.nseindia.com/api/option-chain-indices?symbol=NIFTY"
session = requests.session()
for cook in cookies:
session.cookies.set(cook, cookies[cook])
opt = session.get(url2, headers=headers).json()
# Future OI
lastTraded = float((fut["data"][0]["lastPrice"]).replace(',', ''))
futOI = int((fut["data"][0]["openInterest"]).replace(',', ''))
tradedVolCon = int((fut["data"][0]["numberOfContractsTraded"]).replace(',', ''))
# Option OI
callOI = opt["filtered"]["CE"]["totOI"]
putOI = opt["filtered"]["PE"]["totOI"]
putInExcelIni(lastTraded, futOI, tradedVolCon, callOI, putOI,currTime)
makeOptionChainFile(opt,currTime)
return True
except Exception as e:
print(e)
return False
if __name__ == '__main__':
success = False
wb = xw.Book()
wb.save('OiAnalysis.xlsx')
wb.sheets.add(name='FiftMin')
wb.sheets.add(name='FiveMin')
for sheet in wb.sheets:
if 'Sheet' in sheet.name:
sheet.delete()
# This loop runs from 9:15 AM to 3:30 PM till Market hours
while(1):
t1 = datetime.now()
currTime = str(t1.hour)+":"+str(t1.minute)
if(time(9,15)<=datetime.now().time()<=time(9,17,30) and not(success)):
success = initializeFiles(currTime)
isFifMin=1
while(time(9,20)<=datetime.now().time()<=time(15,31)):
t1 = datetime.now()
currTime = str(t1.hour) + ":" + str(t1.minute)
isFifMin+=1
isFifteenMin = False
if isFifMin==3:
isFifteenMin = True
isFifMin=0
enterInExcel(currTime,isFifteenMin)
t1 = datetime.now()
while(t1.minute%5 !=0 or t1.second !=0):
t1 = datetime.now()
sleep(1)
sleep(1)