# OptionChainAnalytics
Analytics for processing option chain and options time series data
Core python dependencies:
python = ">=3.8,<3.11"
numba = ">=0.59.0"
numpy = ">=1.26.4"
Core packages dependencies
vanilla_option_pricers = ">=1.0.1"
qis = ">=2.0.68"
<strong>OptionChainAnalytics: Option Chain Analytics</strong>
Module option_chain_analytics implements generic features for operations with option chains
# Implemented dataclass analytics
### Expiry Slices <a name="eslice"></a>
[Expiry Slice](#eslice) in ```option_chain.py```
Contains call and put options dataframes per each expiry
Option chain core data and anlytics object. Generally, option chain is
a table of trading data (strikes, bids, asks, sizes, deltas, etc)
for puts and calls. These tables are indexed by contract ids and the tables are arranged by maturities.
We term these tables as expiry slices.
implements request such as ```get_atm_vol``` , ```get_atm_option_strike``` , ```get_atm_call_id``` ,
```get_atm_call_id``` , ```get_atm_put_id```,
```get_call_delta_strike```, ```get_put_delta_strike```
### **Option Chain** <a name="chain"></a>
[SlicesChain](#chain) in ```option_chain.py```
Dataclass
### **Slices Chain** <a name="chain"></a>
[SlicesChain](#chain) in ```option_chain.py```
### **OptionsDataDFs(ChainTs)** <a name="chainTs"></a>
[ChainTs](#chain_ts) in ```chain_ts.py```
dataclass containing time series of options data ```chain_ts: pd.DataFrame```
and spot data ```spot_data: pd.DataFrame```
it implements query ```get_time_slice(timestamp)``` which returns data to
create option chain dataclass
### **OptionsDataDFs(ChainTs)** <a name="chainTs"></a>
```python
def create_chain[test.py](..%2F..%2F..%2Fmisc%2Fderibit_websocket_Nova%2Ftest.py)_from_from_options_dfs(options_data_dfs: OptionsDataDFs,
value_time: pd.Timestamp,
) -> Optional[SlicesChain]:
```
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"description": "# OptionChainAnalytics\n Analytics for processing option chain and options time series data\n\n\nCore python dependencies:\n\n python = \">=3.8,<3.11\"\n numba = \">=0.59.0\"\n numpy = \">=1.26.4\"\n\nCore packages dependencies\n\n vanilla_option_pricers = \">=1.0.1\"\n qis = \">=2.0.68\"\n\n\n\n<strong>OptionChainAnalytics: Option Chain Analytics</strong>\n\nModule option_chain_analytics implements generic features for operations with option chains\n\n# Implemented dataclass analytics\n\n\n### Expiry Slices <a name=\"eslice\"></a>\n\n[Expiry Slice](#eslice) in ```option_chain.py```\n\nContains call and put options dataframes per each expiry\n\nOption chain core data and anlytics object. Generally, option chain is\na table of trading data (strikes, bids, asks, sizes, deltas, etc)\nfor puts and calls. These tables are indexed by contract ids and the tables are arranged by maturities. \nWe term these tables as expiry slices.\n\nimplements request such as ```get_atm_vol``` , ```get_atm_option_strike``` , ```get_atm_call_id``` , \n```get_atm_call_id``` , ```get_atm_put_id```,\n```get_call_delta_strike```, ```get_put_delta_strike``` \n\n### **Option Chain** <a name=\"chain\"></a>\n\n[SlicesChain](#chain) in ```option_chain.py```\n\nDataclass \n\n### **Slices Chain** <a name=\"chain\"></a>\n\n[SlicesChain](#chain) in ```option_chain.py```\n\n### **OptionsDataDFs(ChainTs)** <a name=\"chainTs\"></a>\n\n[ChainTs](#chain_ts) in ```chain_ts.py```\n\n\ndataclass containing time series of options data ```chain_ts: pd.DataFrame```\nand spot data ```spot_data: pd.DataFrame```\n\nit implements query ```get_time_slice(timestamp)``` which returns data to \ncreate option chain dataclass\n\n\n### **OptionsDataDFs(ChainTs)** <a name=\"chainTs\"></a>\n\n```python \ndef create_chain[test.py](..%2F..%2F..%2Fmisc%2Fderibit_websocket_Nova%2Ftest.py)_from_from_options_dfs(options_data_dfs: OptionsDataDFs,\n value_time: pd.Timestamp,\n ) -> Optional[SlicesChain]:\n```\n\n\n\n\n\n",
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