new ver

genesis-volatility · Jul 12, 2023 · e9b95cd · e9b95cd
1 parent 1cd3f6d
commit e9b95cd
Show file tree

Hide file tree

Showing 5 changed files with 88 additions and 3 deletions.
diff --git a/docs/source/conf.py b/docs/source/conf.py
@@ -23,7 +23,7 @@
 author = "Denys Halenok"
 
 # The full version, including alpha/beta/rc tags
-release = "0.5.7"
+release = "0.5.8"
 
 # -- General configuration ---------------------------------------------------
 

diff --git a/gvol/__init__.py b/gvol/__init__.py
@@ -1,4 +1,4 @@
 __all__ = ("__version__", "GVol")
-__version__ = "0.5.7"
+__version__ = "0.5.8"
 
 from gvol.client import GVol
diff --git a/gvol/client.py b/gvol/client.py
@@ -1519,7 +1519,46 @@ def options_cumulative_net_volumes(
             variable_values={"symbol":symbol, "exchange":exchange, "days":days, "showActiveExpirations":showActiveExpirations, "tradeType":tradeType}
         )
 
+    def options_cumulative_net_volumes_hist(
+        self,  symbol: types.BTCOrETHEnumType, exchange: types.ExchangeDeribit, dateStart: types.String, dateEnd: types.String, showActiveExpirations: types.Boolean, tradeType: types.TradeTypeEnum
+    ) -> Dict:
+        """
+        This endpoint returns the cumulative net volumes of trades for the date range selected (dateStart/dateEnd).
+
+        For calculating the "net" volume (aka the volume traded with the sign of the initiator) we use our proprietary algorithm composed from several heuristics which use the orderbook previous of the trade at millisecond granularity. You can read more about this here Gvol Direction.
+
+        The endpoint is completed with some useful filters, such as:
+        - tradeType = ALL/block/onScreen
+        - showActiveExpirations:
+        - true = endpoint returns only trades for active expirations
+        - false = endpoint returns all the trades even for expired expirations.
 
+        Args:
+            {
+            "symbol": "BTC",
+            "dateStart": "2023-06-01",
+            "dateEnd": "2023-06-04",
+            "exchange": "deribit",
+            "trade": "all",
+            "showActiveExpirations": true
+            }
+            
+        Returns:
+            {
+            "date": "1685923200000",
+            "strike": 48000,
+            "cumulative": 1.9,
+            "cumulativeGamma": 0,
+            "cumulativeVega": 7.92,
+            "cumulativeDelta": 0.03,
+            "indexPrice": 27125.03
+            }
+        """
+        return self._client.execute(
+            gql(queries.options_cumulative_net_volumes_hist),
+            variable_values={"symbol":symbol, "exchange":exchange, "dateStart":dateStart, "dateEnd":dateEnd, "showActiveExpirations":showActiveExpirations, "tradeType":tradeType}
+        )
+
     def options_cumulative_net_positioning(
         self,  symbol: types.BTCOrETHEnumType, exchange: types.ExchangeDeribit, dateStart: types.String
     ) -> Dict:
@@ -1547,3 +1586,37 @@ def options_cumulative_net_positioning(
             gql(queries.options_cumulative_net_positioning),
             variable_values={"symbol":symbol, "exchange":exchange, "dateStart":dateStart}   
         )
+
+    def options_cumulative_net_positioning_hist(
+        self,  symbol: types.BTCOrETHEnumType, exchange: types.ExchangeDeribit, dateStart: types.String, dateEnd: types.String
+    ) -> Dict:
+        """
+        This endpoint returns the cumulative net oi for the date range selected (dateStart/dateEnd)
+
+        The cumulative net oi is the incremental change in the open interest according to the trades flow using our proprietary "taker detection".
+
+        When a strike is positive means that has been bought from traders, when is negative has been sold.
+
+        To the other side of positioning, there are the dealers with their inventory.
+
+        For not losing information cutting some open interest forming process it's strongly adviced to start from 1st November 2022.
+
+        Args:
+        {
+        "symbol": "BTC",
+        "exchange": "deribit",
+        "dateStart": "2023-03-01"
+        "dateEnd": "2023-04-01"
+        }
+            
+        Returns:
+            {
+                "date": "1677628800000",
+                "strike": 5000,
+                "netInv": 0,
+                "indexPrice": 23134
+            }
+        """
+        return self._client.execute(
+            gql(queries.options_cumulative_net_positioning_hist),
+            variable_values={"symbol":symbol, "exchange":exchange, "dateStart":dateStart, "dateEnd":dateEnd}      
diff --git a/gvol/queries.py b/gvol/queries.py
@@ -1387,11 +1387,23 @@
  {date strike cumulative indexPrice}}
 """
 
+options_cumulative_net_volumes_hist = """
+query HistoricalNetVolumeApi($symbol: SymbolEnumType, $dateStart: String, $dateEnd: String $exchange: ExchangeEnumType, $trade: TradeEnumType, $showActiveExpirations: Boolean)
+{HistoricalNetVolumeApi(symbol: $symbol, dateStart: $dateStart, dateEnd: $dateEnd exchange: $exchange, trade: $trade, showActiveExpirations: $showActiveExpirations) 
+{date strike cumulative cumulativeGamma cumulativeVega cumulativeDelta indexPrice} }
+"""
+
 options_cumulative_net_positioning = """
 query NetPositioning( $symbol: SymbolEnumType, $exchange: ExchangeEnumType, $dateStart: String) 
 {genericNetPositioningGvolDirection(symbol: $symbol, exchange: $exchange, dateStart: $dateStart) 
 { date
    strike
    netInv
    indexPrice}}
+"""
+
+options_cumulative_net_positioning_hist = """
+query HistoricalNetPositioningApi($symbol: SymbolEnumType, $dateStart: String, $dateEnd: String $exchange: ExchangeEnumType)
+{HistoricalNetPositioningApi(symbol: $symbol, dateStart: $dateStart, dateEnd: $dateEnd exchange: $exchange) 
+{date strike netInv indexPrice } }
 """
diff --git a/pyproject.toml b/pyproject.toml
@@ -1,6 +1,6 @@
 [tool.poetry]
 name = "gvol"
-version = "0.5.7"
+version = "0.5.8"
 description = "GVol is a Python library to access the GVol API"
 authors = ["Denys Halenok <[email protected]>"]