386 lines
15 KiB
Python
386 lines
15 KiB
Python
"""Market data access layer with caching support."""
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from __future__ import annotations
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import asyncio
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import logging
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import math
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from datetime import datetime, timezone
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from typing import Any
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from app.core.calculations import option_row_greeks
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from app.services.cache import CacheService
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from app.strategies.engine import StrategySelectionEngine
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logger = logging.getLogger(__name__)
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try:
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import yfinance as yf
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except ImportError: # pragma: no cover - optional dependency
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yf = None
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class DataService:
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"""Fetches portfolio and market data, using Redis when available."""
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def __init__(self, cache: CacheService, default_symbol: str = "GLD") -> None:
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self.cache = cache
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self.default_symbol = default_symbol
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async def get_portfolio(self, symbol: str | None = None) -> dict[str, Any]:
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ticker = (symbol or self.default_symbol).upper()
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cache_key = f"portfolio:{ticker}"
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cached = await self.cache.get_json(cache_key)
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if cached and isinstance(cached, dict):
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return cached
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quote = await self.get_quote(ticker)
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portfolio = {
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"symbol": ticker,
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"spot_price": quote["price"],
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"portfolio_value": round(quote["price"] * 1000, 2),
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"loan_amount": 600_000.0,
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"ltv_ratio": round(600_000.0 / max(quote["price"] * 1000, 1), 4),
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"source": quote["source"],
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}
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await self.cache.set_json(cache_key, portfolio)
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return portfolio
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async def get_quote(self, symbol: str) -> dict[str, Any]:
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normalized_symbol = symbol.upper()
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cache_key = f"quote:{normalized_symbol}"
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cached = await self.cache.get_json(cache_key)
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if cached and isinstance(cached, dict):
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normalized_cached = self._normalize_quote_payload(cached, normalized_symbol)
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if normalized_cached != cached:
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await self.cache.set_json(cache_key, normalized_cached)
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return normalized_cached
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quote = self._normalize_quote_payload(await self._fetch_quote(normalized_symbol), normalized_symbol)
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await self.cache.set_json(cache_key, quote)
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return quote
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async def get_option_expirations(self, symbol: str | None = None) -> dict[str, Any]:
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ticker_symbol = (symbol or self.default_symbol).upper()
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cache_key = f"options:{ticker_symbol}:expirations"
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cached = await self.cache.get_json(cache_key)
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if cached and isinstance(cached, dict):
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return cached
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quote = await self.get_quote(ticker_symbol)
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if yf is None:
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payload = self._fallback_option_expirations(
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ticker_symbol,
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quote,
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source="fallback",
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error="yfinance is not installed",
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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try:
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ticker = yf.Ticker(ticker_symbol)
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expirations = await asyncio.to_thread(lambda: list(ticker.options or []))
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if not expirations:
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payload = self._fallback_option_expirations(
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ticker_symbol,
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quote,
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source="fallback",
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error="No option expirations returned by yfinance",
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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payload = {
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"symbol": ticker_symbol,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"expirations": expirations,
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"underlying_price": quote["price"],
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"source": "yfinance",
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}
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await self.cache.set_json(cache_key, payload)
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return payload
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except Exception as exc: # pragma: no cover - network dependent
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logger.warning("Failed to fetch option expirations for %s from yfinance: %s", ticker_symbol, exc)
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payload = self._fallback_option_expirations(
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ticker_symbol,
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quote,
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source="fallback",
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error=str(exc),
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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async def get_options_chain_for_expiry(
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self, symbol: str | None = None, expiry: str | None = None
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) -> dict[str, Any]:
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ticker_symbol = (symbol or self.default_symbol).upper()
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expirations_data = await self.get_option_expirations(ticker_symbol)
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expirations = list(expirations_data.get("expirations") or [])
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target_expiry = expiry or (expirations[0] if expirations else None)
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quote = await self.get_quote(ticker_symbol)
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if not target_expiry:
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return self._fallback_options_chain(
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ticker_symbol,
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quote,
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expirations=expirations,
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selected_expiry=None,
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source=expirations_data.get("source", quote.get("source", "fallback")),
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error=expirations_data.get("error"),
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)
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cache_key = f"options:{ticker_symbol}:{target_expiry}"
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cached = await self.cache.get_json(cache_key)
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if cached and isinstance(cached, dict):
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return cached
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if yf is None:
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payload = self._fallback_options_chain(
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ticker_symbol,
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quote,
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expirations=expirations,
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selected_expiry=target_expiry,
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source="fallback",
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error="yfinance is not installed",
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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try:
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ticker = yf.Ticker(ticker_symbol)
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chain = await asyncio.to_thread(ticker.option_chain, target_expiry)
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calls = self._normalize_option_rows(chain.calls, ticker_symbol, target_expiry, "call", quote["price"])
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puts = self._normalize_option_rows(chain.puts, ticker_symbol, target_expiry, "put", quote["price"])
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if not calls and not puts:
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payload = self._fallback_options_chain(
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ticker_symbol,
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quote,
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expirations=expirations,
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selected_expiry=target_expiry,
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source="fallback",
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error="No option contracts returned by yfinance",
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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payload = {
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"symbol": ticker_symbol,
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"selected_expiry": target_expiry,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"expirations": expirations,
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"calls": calls,
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"puts": puts,
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"rows": sorted(calls + puts, key=lambda row: (row["strike"], row["type"])),
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"underlying_price": quote["price"],
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"source": "yfinance",
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}
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await self.cache.set_json(cache_key, payload)
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return payload
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except Exception as exc: # pragma: no cover - network dependent
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logger.warning(
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"Failed to fetch options chain for %s %s from yfinance: %s", ticker_symbol, target_expiry, exc
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)
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payload = self._fallback_options_chain(
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ticker_symbol,
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quote,
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expirations=expirations,
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selected_expiry=target_expiry,
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source="fallback",
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error=str(exc),
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)
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await self.cache.set_json(cache_key, payload)
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return payload
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async def get_options_chain(self, symbol: str | None = None) -> dict[str, Any]:
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ticker_symbol = (symbol or self.default_symbol).upper()
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expirations_data = await self.get_option_expirations(ticker_symbol)
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expirations = list(expirations_data.get("expirations") or [])
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if not expirations:
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quote = await self.get_quote(ticker_symbol)
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return self._fallback_options_chain(
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ticker_symbol,
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quote,
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expirations=[],
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selected_expiry=None,
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source=expirations_data.get("source", quote.get("source", "fallback")),
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error=expirations_data.get("error"),
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)
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return await self.get_options_chain_for_expiry(ticker_symbol, expirations[0])
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async def get_strategies(self, symbol: str | None = None) -> dict[str, Any]:
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ticker = (symbol or self.default_symbol).upper()
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quote = await self.get_quote(ticker)
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engine = StrategySelectionEngine(spot_price=quote["price"] if ticker != "GLD" else 460.0)
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return {
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"symbol": ticker,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"paper_parameters": {
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"portfolio_value": engine.portfolio_value,
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"loan_amount": engine.loan_amount,
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"margin_call_threshold": engine.margin_call_threshold,
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"spot_price": engine.spot_price,
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"volatility": engine.volatility,
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"risk_free_rate": engine.risk_free_rate,
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},
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"strategies": engine.compare_all_strategies(),
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"recommendations": {
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profile: engine.recommend(profile) # type: ignore[arg-type]
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for profile in ("conservative", "balanced", "cost_sensitive")
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},
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"sensitivity_analysis": engine.sensitivity_analysis(),
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}
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async def _fetch_quote(self, symbol: str) -> dict[str, Any]:
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if yf is None:
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return self._fallback_quote(symbol, source="fallback")
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try:
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ticker = yf.Ticker(symbol)
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history = await asyncio.to_thread(ticker.history, period="5d", interval="1d")
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if history.empty:
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return self._fallback_quote(symbol, source="fallback")
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closes = history["Close"]
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last = float(closes.iloc[-1])
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previous = float(closes.iloc[-2]) if len(closes) > 1 else last
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change = round(last - previous, 4)
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change_percent = round((change / previous) * 100, 4) if previous else 0.0
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return {
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"symbol": symbol,
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"price": round(last, 4),
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"quote_unit": "share",
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"change": change,
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"change_percent": change_percent,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"source": "yfinance",
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}
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except Exception as exc: # pragma: no cover - network dependent
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logger.warning("Failed to fetch %s from yfinance: %s", symbol, exc)
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return self._fallback_quote(symbol, source="fallback")
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def _fallback_option_expirations(
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self,
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symbol: str,
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quote: dict[str, Any],
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*,
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source: str,
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error: str | None = None,
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) -> dict[str, Any]:
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payload = {
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"symbol": symbol,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"expirations": [],
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"underlying_price": quote["price"],
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"source": source,
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}
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if error:
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payload["error"] = error
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return payload
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def _fallback_options_chain(
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self,
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symbol: str,
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quote: dict[str, Any],
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*,
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expirations: list[str],
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selected_expiry: str | None,
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source: str,
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error: str | None = None,
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) -> dict[str, Any]:
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options_chain = {
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"symbol": symbol,
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"selected_expiry": selected_expiry,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"expirations": expirations,
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"calls": [],
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"puts": [],
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"rows": [],
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"underlying_price": quote["price"],
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"source": source,
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}
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if error:
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options_chain["error"] = error
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return options_chain
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def _normalize_option_rows(
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self,
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frame: Any,
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symbol: str,
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expiry: str,
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option_type: str,
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underlying_price: float,
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) -> list[dict[str, Any]]:
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if frame is None or getattr(frame, "empty", True):
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return []
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rows: list[dict[str, Any]] = []
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for item in frame.to_dict(orient="records"):
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strike = self._safe_float(item.get("strike"))
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if strike <= 0:
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continue
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bid = self._safe_float(item.get("bid"))
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ask = self._safe_float(item.get("ask"))
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last_price = self._safe_float(item.get("lastPrice"))
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implied_volatility = self._safe_float(item.get("impliedVolatility"))
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contract_symbol = str(item.get("contractSymbol") or "").strip()
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row = {
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"contractSymbol": contract_symbol,
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"symbol": contract_symbol or f"{symbol} {expiry} {option_type.upper()} {strike:.2f}",
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"strike": strike,
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"bid": bid,
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"ask": ask,
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"premium": last_price or self._midpoint(bid, ask),
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"lastPrice": last_price,
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"impliedVolatility": implied_volatility,
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"expiry": expiry,
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"type": option_type,
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"openInterest": int(self._safe_float(item.get("openInterest"))),
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"volume": int(self._safe_float(item.get("volume"))),
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}
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row.update(option_row_greeks(row, underlying_price))
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rows.append(row)
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return rows
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@staticmethod
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def _safe_float(value: Any) -> float:
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try:
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result = float(value)
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except (TypeError, ValueError):
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return 0.0
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return 0.0 if math.isnan(result) else result
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@staticmethod
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def _midpoint(bid: float, ask: float) -> float:
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if bid > 0 and ask > 0:
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return round((bid + ask) / 2, 4)
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return max(bid, ask, 0.0)
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@staticmethod
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def _normalize_quote_payload(payload: dict[str, Any], symbol: str) -> dict[str, Any]:
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normalized = dict(payload)
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normalized_symbol = symbol.upper()
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normalized["symbol"] = str(normalized.get("symbol", normalized_symbol)).upper()
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if normalized["symbol"] == "GLD" and not normalized.get("quote_unit"):
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normalized["quote_unit"] = "share"
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return normalized
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@staticmethod
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def _fallback_quote(symbol: str, source: str) -> dict[str, Any]:
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return {
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"symbol": symbol,
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"price": 215.0,
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"quote_unit": "share",
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"change": 0.0,
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"change_percent": 0.0,
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"updated_at": datetime.now(timezone.utc).isoformat(),
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"source": source,
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}
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