UpdateDealBook.py

import pandas as pd
from datetime import datetime
import PandasConfig
from CalculateDelta import get_option_delta
from GetVN30F1M import get_vn30f1m_data

def update_book(prev_day, prev_month, prev_year, curr_day, curr_month, curr_year):
    file_name = "DealBook"+"_"+str(prev_year)+"_"+str(prev_month)+"_"+str(prev_day)+".csv"
    deal_book = pd.read_csv(file_name, parse_dates = ['Open Date', 'Expiry Date'], thousands = ',', dtype = {'Strike':float})

    curr_date_str = str(curr_year)+"-"+str(curr_month)+"-"+str(curr_day)
    spot = get_vn30f1m_data(curr_date_str, "VN30F1M")["price_closed"][0]
    option_list = []

    for idx, row in deal_book.iterrows():
        option_type = deal_book.iloc[idx]["Type"]
        open_date = deal_book.iloc[idx]["Open Date"]
        maturity_date = deal_book.iloc[idx]["Expiry Date"]
        strike = deal_book.iloc[idx]["Strike"]
        no_contracts = deal_book.iloc[idx]["No. Contracts"]
        iv = deal_book.iloc[idx]["Implied Vol"]
        rf = deal_book.iloc[idx]["Risk Free Rate"]
        new_delta = get_option_delta(strike, spot, maturity_date, curr_date_str, rf, iv, option_type)
        updated_option = {
             "Type": option_type,
             "Open Date": open_date,
             "Expiry Date": maturity_date,
             "Strike": strike,
             "No. Contracts": no_contracts,
             "Implied Vol": iv,
             "Risk Free Rate": rf,
             "Delta": round(-new_delta*no_contracts)}
        option_list.append(updated_option)
    #print(pd.DataFrame(option_list))
    updated_file_name = "DealBook"+"_"+str(curr_year)+"_"+str(curr_month)+"_"+str(curr_day)+".csv"
    pd.DataFrame(option_list).to_csv(updated_file_name, index=False)

update_book(29,10,2024, 30,10,2024)
#deal_book = pd.read_csv(file_name, parse_dates = ['Open Date', 'Expiry Date'], thousands = ',', dtype = {'Strike':float})
#deal_data.to_csv('test.csv', date_format='%Y/%m/%d', index=False)