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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,310 @@ | ||
| // Copyright 2023 Teal.Finance/Rainbow contributors | ||
| // This file is part of Teal.Finance/Rainbow, | ||
| // a screener for DeFi options under the MIT License. | ||
| // SPDX-License-Identifier: MIT | ||
|
|
||
| package lyrav2 | ||
|
|
||
| import ( | ||
| "strconv" | ||
| "strings" | ||
| "time" | ||
|
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| "github.com/teal-finance/emo" | ||
| "github.com/teal-finance/garcon" | ||
| "github.com/teal-finance/rainbow/pkg/rainbow" | ||
| ) | ||
|
|
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| var log = emo.NewZone(name) | ||
|
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| const ( | ||
| //https://api.lyra.finance/public/get_instruments?currency=BTC&instrument_type=option&expired=false | ||
| baseURL = "https://api.lyra.finance/public/" | ||
| uiURL = "https://www.lyra.finance/options/" | ||
| name = "Lyrav2" | ||
| ) | ||
|
|
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| type Provider struct { | ||
| ar garcon.AdaptiveRate | ||
| } | ||
|
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| func (Provider) Name() string { | ||
| return name | ||
| } | ||
|
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| // adaptiveMinSleepTime to rate limit the lyra API. | ||
| // source: https://v2-docs.lyra.finance/reference/rate-limits | ||
| const adaptiveMinSleepTime = 25 * time.Millisecond | ||
|
|
||
| // Hour at which the options expires = 8:00 UTC. | ||
| const Hour = 8 | ||
|
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| // maxBytesToRead prevents wasting memory/CPU when receiving an abnormally huge response from Aevo API. | ||
| // we put the same param as Deribit | ||
| const maxBytesToRead = 2_000_000 | ||
|
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| func (p Provider) Options() ([]rainbow.Option, error) { | ||
| if p.ar.Name == "" { | ||
| p.ar = garcon.NewAdaptiveRate(name, adaptiveMinSleepTime) | ||
| } | ||
|
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| result, err := p.query() | ||
| if err != nil { | ||
| return nil, err | ||
| } | ||
| r := result.Instruments //[0:3] | ||
|
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| options, err := p.fillOptions(r) | ||
| if err != nil { | ||
| return nil, log.Error("filloptions", err).Err() | ||
| } | ||
| return options, nil | ||
| } | ||
|
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| func (p Provider) query() (GetInstrumentsResults, error) { | ||
| const url = baseURL + "get_instruments?currency=BTC&instrument_type=option&expired=false" | ||
| log.Info(name + " " + url) | ||
|
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| var results GetInstrumentsResults | ||
| err := p.ar.Get("", url, &results, maxBytesToRead) | ||
| if err != nil { | ||
| return GetInstrumentsResults{}, log.Error("query", url, err).Err() | ||
| } | ||
|
|
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| return results, nil | ||
| } | ||
|
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| func (p Provider) fillOptions(instruments []Instrument) ([]rainbow.Option, error) { | ||
| url := "" | ||
| var ticker GetTickerResult | ||
| var err error | ||
| options := []rainbow.Option{} | ||
| var s, iv, index, OpenInterest float64 | ||
| var bidSize, bidPrice, askSize, askPrice float64 | ||
| //askiv := 0.0 | ||
| //bidiv := 0.0 | ||
| optionType := "" | ||
| for _, i := range instruments { | ||
| if !strings.Contains(i.InstrumentName, "20240112") { | ||
| continue | ||
| } | ||
| url = baseURL + "get_ticker?instrument_name=" + i.InstrumentName | ||
| err = p.ar.Get("", url, &ticker, maxBytesToRead) | ||
| if err != nil { | ||
| return nil, log.Error("Get Ticker", i.InstrumentName, err).Err() | ||
| } | ||
|
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| if i.Details.OptionType == "C" { | ||
| optionType = "CALL" | ||
| } else if i.Details.OptionType == "P" { | ||
| optionType = "PUT" | ||
| } else { | ||
| log.Warn("Unknown option type") | ||
| optionType = "???" | ||
| } | ||
| s, err = strconv.ParseFloat(i.Details.Strike, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
|
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| iv, err = strconv.ParseFloat(ticker.Result.OptionPricing.Iv, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| index, err = strconv.ParseFloat(ticker.Result.IndexPrice, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| OpenInterest, err = strconv.ParseFloat(ticker.Result.Stats.OpenInterest, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| bidPrice, err = strconv.ParseFloat(ticker.Result.BestBidPrice, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| bidSize, err = strconv.ParseFloat(ticker.Result.BestBidAmount, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| askPrice, err = strconv.ParseFloat(ticker.Result.BestAskPrice, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| askSize, err = strconv.ParseFloat(ticker.Result.BestAskAmount, 64) | ||
| if err != nil { | ||
| return []rainbow.Option{}, log.Error("conversion failure", s, err).Err() | ||
| } | ||
| infos := strings.Split(i.InstrumentName, "-") | ||
|
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| expiry := time.Unix(int64(i.Details.Expiry), 0).UTC().Format("2006-01-02 15:04:05") | ||
|
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| options = append(options, rainbow.Option{ | ||
| Name: i.InstrumentName, | ||
| Type: strings.ToUpper(optionType), | ||
| Asset: ticker.Result.BaseCurrency, | ||
| UnderlyingAsset: ticker.Result.BaseCurrency, | ||
| Strike: s, | ||
| Expiry: expiry, | ||
| ExpiryTime: i.Details.Expiry, | ||
| ExchangeType: "DEX", | ||
| Chain: "Ethereum", | ||
| Layer: "L2", | ||
| LayerName: "Lyra", | ||
| Provider: name, | ||
| UnderlyingQuote: ticker.Result.QuoteCurrency, | ||
| QuoteCurrency: "USD", | ||
| URL: uiURL + "btc?drawer=false&buy=true&expiry=" + infos[1] + "&option=" + i.InstrumentName, | ||
| Bid: []rainbow.Order{{ | ||
| Price: bidPrice, | ||
| Size: bidSize, | ||
| }}, | ||
| //BidIV:, | ||
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| Ask: []rainbow.Order{{ | ||
| Price: askPrice, | ||
| Size: askSize, | ||
| }}, | ||
| //AskIV:, | ||
| MarketIV: iv * 100, | ||
| // TODO greeks | ||
| // Greeks: | ||
| OpenInterest: OpenInterest * index, | ||
| ProtocolID: i.InstrumentName, | ||
| }) | ||
| } | ||
| //spew.Dump(options) | ||
|
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| return options, nil | ||
| } | ||
|
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| /* | ||
| func bidAsksToOrders(orders [][]string) ([]rainbow.Order, error) { | ||
| if len(orders) == 0 { | ||
| return []rainbow.Order{}, nil | ||
| } | ||
| convertedOrders := []rainbow.Order{} | ||
| p := 0.0 // price | ||
| s := 0.0 // size | ||
| // i:=0.0 iv | ||
| var err error | ||
| for _, o := range orders { | ||
| p, err = convert(o[0]) | ||
| if err != nil { | ||
| return nil, log.Error("bidAsksToOrders", err).Err() | ||
| } | ||
| s, err = convert(o[1]) | ||
| if err != nil { | ||
| return nil, log.Error("bidAsksToOrders", err).Err() | ||
| } | ||
| convertedOrders = append(convertedOrders, rainbow.Order{ | ||
| Price: p, | ||
| Size: s, | ||
| }) | ||
| // i,err=convert(o[2]) | ||
| } | ||
| return convertedOrders, nil | ||
| } | ||
| func translateGreeks(g greeks) (rainbow.TheGreeks, error) { | ||
| // TODO | ||
| return rainbow.TheGreeks{}, nil | ||
| } | ||
| */ | ||
|
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| type GetInstrumentsResults struct { | ||
| Instruments []Instrument `json:"result"` | ||
| ID string `json:"id"` | ||
| } | ||
|
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| type Instrument struct { | ||
| InstrumentType string `json:"instrument_type"` | ||
| InstrumentName string `json:"instrument_name"` | ||
| ScheduledActivation int `json:"scheduled_activation"` | ||
| ScheduledDeactivation int `json:"scheduled_deactivation"` | ||
| IsActive bool `json:"is_active"` | ||
| TickSize string `json:"tick_size"` | ||
| MinimumAmount string `json:"minimum_amount"` | ||
| MaximumAmount string `json:"maximum_amount"` | ||
| AmountStep string `json:"amount_step"` | ||
| MarkPriceFeeRateCap string `json:"mark_price_fee_rate_cap"` | ||
| MakerFeeRate string `json:"maker_fee_rate"` | ||
| TakerFeeRate string `json:"taker_fee_rate"` | ||
| BaseFee string `json:"base_fee"` | ||
| BaseCurrency string `json:"base_currency"` | ||
| QuoteCurrency string `json:"quote_currency"` | ||
| Details OptionDetails `json:"option_details"` | ||
| PerpDetails interface{} `json:"perp_details"` | ||
| BaseAssetAddress string `json:"base_asset_address"` | ||
| BaseAssetSubID string `json:"base_asset_sub_id"` | ||
| } | ||
| type OptionDetails struct { | ||
| Index string `json:"index"` | ||
| Expiry int `json:"expiry"` | ||
| Strike string `json:"strike"` | ||
| OptionType string `json:"option_type"` | ||
| SettlementPrice interface{} `json:"settlement_price"` | ||
| } | ||
|
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| // https://v2-docs.lyra.finance/reference/post_public-get-ticker | ||
| type GetTickerResult struct { | ||
| Result struct { | ||
| InstrumentType string `json:"instrument_type"` | ||
| InstrumentName string `json:"instrument_name"` | ||
| ScheduledActivation int `json:"scheduled_activation"` | ||
| ScheduledDeactivation int `json:"scheduled_deactivation"` | ||
| IsActive bool `json:"is_active"` | ||
| TickSize string `json:"tick_size"` | ||
| MinimumAmount string `json:"minimum_amount"` | ||
| MaximumAmount string `json:"maximum_amount"` | ||
| AmountStep string `json:"amount_step"` | ||
| MarkPriceFeeRateCap string `json:"mark_price_fee_rate_cap"` | ||
| MakerFeeRate string `json:"maker_fee_rate"` | ||
| TakerFeeRate string `json:"taker_fee_rate"` | ||
| BaseFee string `json:"base_fee"` | ||
| BaseCurrency string `json:"base_currency"` | ||
| QuoteCurrency string `json:"quote_currency"` | ||
| Details OptionDetails `json:"option_details"` | ||
| PerpDetails interface{} `json:"perp_details"` | ||
| BaseAssetAddress string `json:"base_asset_address"` | ||
| BaseAssetSubID string `json:"base_asset_sub_id"` | ||
| BestAskAmount string `json:"best_ask_amount"` | ||
| BestAskPrice string `json:"best_ask_price"` | ||
| BestBidAmount string `json:"best_bid_amount"` | ||
| BestBidPrice string `json:"best_bid_price"` | ||
| OptionPricing struct { | ||
| Delta string `json:"delta"` | ||
| Theta string `json:"theta"` | ||
| Gamma string `json:"gamma"` | ||
| Vega string `json:"vega"` | ||
| Iv string `json:"iv"` | ||
| Rho string `json:"rho"` | ||
| MarkPrice string `json:"mark_price"` | ||
| ForwardPrice string `json:"forward_price"` | ||
| BidIv string `json:"bid_iv"` | ||
| AskIv string `json:"ask_iv"` | ||
| } `json:"option_pricing"` | ||
| IndexPrice string `json:"index_price"` | ||
| MarkPrice string `json:"mark_price"` | ||
| Stats InstrumentStats `json:"stats"` | ||
| Timestamp int64 `json:"timestamp"` | ||
| MinPrice string `json:"min_price"` | ||
| MaxPrice string `json:"max_price"` | ||
| } `json:"result"` | ||
| ID string `json:"id"` | ||
| } | ||
|
|
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| type InstrumentStats struct { | ||
| ContractVolume string `json:"contract_volume"` | ||
| NumTrades string `json:"num_trades"` | ||
| OpenInterest string `json:"open_interest"` | ||
| High string `json:"high"` | ||
| Low string `json:"low"` | ||
| PercentChange string `json:"percent_change"` | ||
| UsdChange string `json:"usd_change"` | ||
| } |
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