load necessary data

Author: uberdeveloper

notebooks/OptionsBacktesting.ipynb

@@ -41,20 +41,9 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 24,
+   "execution_count": 25,
    "metadata": {},
-   "outputs": [
-    {
-     "data": {
-      "text/plain": [
-       "10225"
-      ]
-     },
-     "execution_count": 24,
-     "metadata": {},
-     "output_type": "execute_result"
-    }
-   ],
+   "outputs": [],
    "source": [
     "def itm(price, opt='C', step=100):\n",
     "    \"\"\"\n",
@@ -83,20 +72,50 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 10,
+   "execution_count": 75,
    "metadata": {},
    "outputs": [],
    "source": [
     "nifty = pd.read_csv('/home/machine/Downloads/NIFTY 50_Data.csv',\n",
-    "                   parse_dates=['Date'])"
+    "                   parse_dates=['Date'])\n",
+    "der = pd.read_hdf('/media/machine/4E1EA2D152455460/data/output/fno_2019.h5')\n",
+    "der['exp_day'] = der.expiry_dt.dt.day\n",
+    "\n",
+    "# Difference between expiry date and date\n",
+    "der['day_diff'] = (der['expiry_dt'] - der['timestamp']).dt.days\n"
    ]
   },
   {
    "cell_type": "code",
-   "execution_count": null,
+   "execution_count": 89,
    "metadata": {},
-   "outputs": [],
-   "source": []
+   "outputs": [
+    {
+     "data": {
+      "text/plain": [
+       "2   2019-01-31\n",
+       "1   2019-02-28\n",
+       "3   2019-03-28\n",
+       "0   2019-04-25\n",
+       "4   2019-05-30\n",
+       "5   2019-06-27\n",
+       "dtype: datetime64[ns]"
+      ]
+     },
+     "execution_count": 89,
+     "metadata": {},
+     "output_type": "execute_result"
+    }
+   ],
+   "source": [
+    "# Change your symbol here\n",
+    "symbol = 'NIFTY'\n",
+    "# Keep nifty data with monthly options only\n",
+    "# This hack is incomplete and should be correctly configured\n",
+    "q = '(symbol==\"{sym}\") & (instrument==\"OPTIDX\") & (exp_day > 24) & (day_diff<31)'\n",
+    "df = der.query(q.format(sym=symbol))\n",
+    "pd.Series(df.expiry_dt.unique()).sort_values()"
+   ]
   }
  ],
  "metadata": {