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trades = await asyncio.gather(*trades) trades = list(filter(lambda x: x['symbol'] != None, trades)) total_volume = {} total_edge = {} total_dex = {} total_gex = {} otm_total_flow = {} total_flow = {} for contract in trades: for time, volume in contract['volume'].items(): key = time.strftime("%Y-%m-%d %H:%M:%S") if key in total_volume: total_volume[key] += volume else: total_volume[key] = volume for time, edge in contract['net_edge'].items(): key = time.strftime("%Y-%m-%d %H:%M:%S") if key in total_edge: total_edge[key] += round(edge, 4) else: total_edge[key] = round(edge, 4) for time, dex in contract['dex'].items(): key = time.strftime("%Y-%m-%d %H:%M:%S") if key in total_dex: total_dex[key] += dex else: total_dex[key] = dex for time, gex in contract['gex'].items(): key = time.strftime("%Y-%m-%d %H:%M:%S") if key in total_gex: total_gex[key] += gex else: total_gex[key] = gex for time, flow in contract['flow'].items(): key = time.strftime("%Y-%m-%d %H:%M:%S") if key in total_flow: total_flow[key] += flow else: total_flow[key] = flow net_values.set_index('timestamp', inplace=True) net_values['timestamp'] = net_values.index net_values['cumulative_edge'] = net_values['edge'].cumsum() net_values['flow'] = pd.DataFrame(total_flow.values(), columns=['flow']) net_values['dex'] = pd.DataFrame(total_dex.values(), columns=['dex']) return {'total_volume': total_volume, 'total_edge': total_edge, 'total_dex': total_dex, 'total_gex': total_gex, 'otm_total_flow': otm_total_flow, 'total_flow': total_flow, 'underlying': underlying_prices, }
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