Add deribit client

Author: lsbardel

quantflow/cli/commands/__init__.py

@@ -1,4 +1,5 @@
 from .base import QuantContext, quant_group
+from .crypto import crypto
 from .fred import fred
 from .stocks import stocks
 from .vault import vault
@@ -12,5 +13,6 @@ def quantflow() -> None:
 
 
 quantflow.add_command(vault)
+quantflow.add_command(crypto)
 quantflow.add_command(stocks)
 quantflow.add_command(fred)

quantflow/cli/commands/base.py

@@ -77,3 +77,23 @@ def quant_group() -> Any:
         invoke_without_command=True,
         add_help_option=False,
     )
+
+
+class options:
+    length = click.option(
+        "-l",
+        "--length",
+        type=int,
+        default=100,
+        show_default=True,
+        help="Number of data points",
+    )
+    height = click.option(
+        "-h",
+        "--height",
+        type=int,
+        default=20,
+        show_default=True,
+        help="Chart height",
+    )
+    chart = click.option("-c", "--chart", is_flag=True, help="Display chart")

quantflow/cli/commands/crypto.py

@@ -0,0 +1,41 @@
+from __future__ import annotations
+
+import asyncio
+
+import click
+import pandas as pd
+from asciichartpy import plot
+from ccy.cli.console import df_to_rich
+
+from quantflow.data.deribit import Deribit
+
+from .base import QuantContext, options, quant_group
+
+
+@quant_group()
+def crypto() -> None:
+    """Crypto currencies commands"""
+    ctx = QuantContext.current()
+    if ctx.invoked_subcommand is None:
+        ctx.set_as_section()
+
+
+@crypto.command()
+@click.argument("currency")
+@options.length
+@options.height
+@options.chart
+def volatility(currency: str, length: int, height: int, chart: bool) -> None:
+    """Provides information about historical volatility for given cryptocurrency"""
+    ctx = QuantContext.current()
+    df = asyncio.run(get_volatility(ctx, currency))
+    if chart:
+        data = df["volatility"].tolist()[:length]
+        ctx.qf.print(plot(data, {"height": height}))
+    else:
+        ctx.qf.print(df_to_rich(df))
+
+
+async def get_volatility(ctx: QuantContext, currency: str) -> pd.DataFrame:
+    async with Deribit() as client:
+        return await client.get_volatility(params=dict(currency=currency))

quantflow/cli/commands/fred.py

@@ -1,7 +1,6 @@
 from __future__ import annotations
 
 import asyncio
-from typing import TYPE_CHECKING
 
 import click
 import pandas as pd
@@ -12,13 +11,10 @@
 
 from quantflow.data.fred import Fred
 
-from .base import QuantContext, quant_group
+from .base import QuantContext, options, quant_group
 
 FREQUENCIES = tuple(Fred.freq)
 
-if TYPE_CHECKING:
-    pass
-
 
 @quant_group()
 def fred() -> None:
@@ -44,29 +40,37 @@ def subcategories(category_id: str | None = None) -> None:
 
 @fred.command()
 @click.argument("category-id")
-def series(category_id: str) -> None:
+@click.option("-j", "--json", is_flag=True, help="Output as JSON")
+def series(category_id: str, json: bool = False) -> None:
     """List series for a Fred category"""
     ctx = QuantContext.current()
     try:
         data = asyncio.run(get_series(ctx, category_id))
     except HttpResponseError as e:
         ctx.qf.error(e)
     else:
-        ctx.qf.print(data)
-        # df = pd.DataFrame(data["categories"], columns=["id", "name"])
-        # app.print(df_to_rich(df))
+        if json:
+            ctx.qf.print(data)
+        else:
+            df = pd.DataFrame(
+                data["seriess"],
+                columns=[
+                    "id",
+                    "popularity",
+                    "title",
+                    "frequency",
+                    "observation_start",
+                    "observation_end",
+                ],
+            ).sort_values("popularity", ascending=False)
+            ctx.qf.print(df_to_rich(df))
 
 
 @fred.command()
 @click.argument("series-id")
-@click.option(
-    "-l",
-    "--length",
-    type=int,
-    default=100,
-    show_default=True,
-    help="Number of data points",
-)
+@options.length
+@options.height
+@options.chart
 @click.option(
     "-f",
     "--frequency",
@@ -75,53 +79,19 @@ def series(category_id: str) -> None:
     show_default=True,
     help="Frequency of data",
 )
-def data(series_id: str, length: int, frequency: str) -> None:
+def data(series_id: str, length: int, height: int, chart: bool, frequency: str) -> None:
     """Display a series data"""
     ctx = QuantContext.current()
     try:
         df = asyncio.run(get_serie_data(ctx, series_id, length, frequency))
     except HttpResponseError as e:
         ctx.qf.error(e)
     else:
-        ctx.qf.print(df_to_rich(df))
-
-
-@fred.command()
-@click.argument("series-id")
-@click.option(
-    "-h",
-    "--height",
-    type=int,
-    default=20,
-    show_default=True,
-    help="Chart height",
-)
-@click.option(
-    "-l",
-    "--length",
-    type=int,
-    default=100,
-    show_default=True,
-    help="Number of data points",
-)
-@click.option(
-    "-f",
-    "--frequency",
-    type=click.Choice(FREQUENCIES),
-    default="w",
-    show_default=True,
-    help="Frequency of data",
-)
-def chart(series_id: str, height: int, length: int, frequency: str) -> None:
-    """Chart a serie"""
-    ctx = QuantContext.current()
-    try:
-        df = asyncio.run(get_serie_data(ctx, series_id, length, frequency))
-    except HttpResponseError as e:
-        ctx.qf.error(e)
-    else:
-        data = list(reversed(df["value"].tolist()[:length]))
-        ctx.qf.print(plot(data, {"height": height}))
+        if chart:
+            data = list(reversed(df["value"].tolist()[:length]))
+            ctx.qf.print(plot(data, {"height": height}))
+        else:
+            ctx.qf.print(df_to_rich(df))
 
 
 async def get_subcategories(ctx: QuantContext, category_id: str | None) -> dict:

quantflow/data/deribit.py

@@ -0,0 +1,24 @@
+from typing import Any
+
+import pandas as pd
+from fluid.utils.http_client import AioHttpClient, HttpResponse
+
+
+class Deribit(AioHttpClient):
+    url = "https://www.deribit.com/api/v2"
+
+    async def get_book_summary_by_instrument(self, **kw: Any) -> Any:
+        return await self.get_path("public/get_book_summary_by_instrument", **kw)
+
+    async def get_volatility(self, **kw: Any) -> pd.DataFrame:
+        kw.update(callback=self.to_df)
+        return await self.get_path("public/get_historical_volatility", **kw)
+
+    async def get_path(self, path: str, **kw: Any) -> dict:
+        return await self.get(f"{self.url}/{path}", **kw)
+
+    async def to_df(self, response: HttpResponse) -> pd.DataFrame:
+        data = await response.json()
+        df = pd.DataFrame(data["result"], columns=["timestamp", "volatility"])
+        df["timestamp"] = pd.to_datetime(df["timestamp"], unit="ms")
+        return df