Published
Edited
Dec 9, 2019
Importers
selectedOptionRolledUp = {
if (!selectedOption) {
return "No trades for this contract. Please pick another...";
}
return d3
.rollups(selectedOption, d => flatMinute(d), d => +d.DT)
.sort((a, b) => d3.ascending(a, b))
.map(x => {
let obj = { ...x[1] };
obj.expiry = new Date(+x.expiry);
return obj;
});
}
textRows = (await (await fetch(fileSelection)).text()).split('\n')
dataCredentials = {
let temp = textRows[0].trim().split(' ');
let symbol = temp[6];
let date = temp[8];
let time = temp[9];
let dt = timeStampParser(date + ' ' + time);
return { Symbol: temp[6], TimeStamped: dt };
}
option_columns = {
return textRows.filter(x => x.startsWith(',,Option Code'))[0].split(',');
}
option_rows = textRows
.filter(x => x.startsWith(`,,${SYMBOL}`))
.map(d3.csvParse)
.map(x => [...x.columns])
// Option Code Volume Open.Int Delta Gamma Theta Vega Rho Impl Vol Theo Price ROC ROR Prob.ITM Prob.Touch Prob.OTM Cov Return Max Cov Return Mark Size BS AS %Change Last LAST LX Open High Low BID BX ASK AX Exp Strike % Change
md`### Option Parsing`
getCall = rowArray => rowArray.split(',').slice(2, strikePosition + 1)
getPut = rowArray => rowArray.split(',').slice(strikePosition - 1, -2)
generate_options_csv = () => option_columns.concat(`${option_rows.join('\n')}`)
md`Do puts and calls share all the same properties??`
new Set(putColumns.filter((x, i) => callColumns.includes(x)))
// buildOptionCode = optionLabel => {
// let option = optionLabel.split(' ');
// let strike = +option[3];
// let optionType = option[option.length - 1];
// let expirationDT = d3.timeParse('%-d %b %y')(
// option[0] + ' ' + option[1] + ' ' + option[2]
// );
// let expiry = d3.timeFormat('%y%m%d')(expirationDT);
// let option_code = '.' + SYMBOL + expiry + optionType + strike;
// // return option_code;
// return option_code;
// }
import { select } from '@jashkenas/inputs'
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Observable is your go-to platform for exploring data and creating expressive data visualizations. Use reactive JavaScript notebooks for prototyping and a collaborative canvas for visual data exploration and dashboard creation.
