dividend scanned beta

bot/commands.py

@@ -8,7 +8,7 @@
 from instant_commands import (check_health, get_current_spread_prices, help,
                               test)
 from place_stops import place_stops, process_nuke_command
-from scanner.scanner import scan
+from scanner.scanner import dividend_scan, scan
 from sellbuy import sellbuy
 from spreads import spreads
 from stop_orders import restore_stops, save_stops
@@ -60,7 +60,8 @@ async def tasks(*args, **kwargs):
     'sell': ('Sell ASAP', sellbuy),
     'buy': ('Buy ASAP', sellbuy),
     'dump': ('Dump it', sellbuy),
-    'scan': ('Spread scanner', scan)
+    'scan': ('Spread scanner', scan),
+    'dscan': ('Dividend scanned', dividend_scan)
 }
 
 

bot/scanner/scanner.py

@@ -1,14 +1,15 @@
 from dataclasses import dataclass
 from datetime import datetime, timezone
 from decimal import Decimal
-from typing import Union
+from typing import NamedTuple, Union
 
 from settings import CURRENT_INTEREST_RATE, TCS_RO_TOKEN
 from tinkoff.invest.retrying.aio.client import AsyncRetryingClient
 from tinkoff.invest.retrying.settings import RetryClientSettings
 from tinkoff.invest.schemas import MoneyValue, Quotation, RealExchange
 from tinkoff.invest.utils import quotation_to_decimal
-from tools.get_patch_prepare_data import get_current_prices
+from tools.get_patch_prepare_data import (get_current_prices,
+                                          get_current_prices_by_uid)
 
 
 @dataclass
@@ -47,6 +48,14 @@ class YieldingSpread:
     days: int = 0
 
 
+class DividendSpread(NamedTuple):
+    stock_ticker: str
+    future_ticker: str
+    dividend: float
+    days_till_expiration: int
+    yld: float
+
+
 class SpreadScanner:
     def __init__(self, rate: str = '') -> None:
         if rate and not rate.isnumeric():
@@ -101,7 +110,8 @@ def _build_stock_and_future_lists(self):
             self._stocks.append(StockData(instrument.figi, instrument.ticker))
         for instrument in self._responses['futures']:
             if instrument.basic_asset in self._futures_with_counterparts and (
-                instrument.asset_type == 'TYPE_SECURITY'
+                instrument.asset_type
+                == 'TYPE_SECURITY'
                 # or instrument.asset_type == 'TYPE_COMMODITY'
             ):
                 self._futures.append(
@@ -320,3 +330,86 @@ async def get_api_response(instrument: str):
         RetryClientSettings(use_retry=True, max_retry_attempt=10),
     ) as client:
         return await getattr(client.instruments, instrument)()
+
+
+async def dividend_scan():
+    max_futures_ahead = 3
+    interest_rate = 12
+    percent_threshold = 1
+    shares = await get_api_response('shares')
+    shares = shares.instruments
+    filtered_shares = {
+        share.ticker: share
+        for share in shares
+        if share.api_trade_available_flag is True
+        and share.sell_available_flag is True
+        and quotation_to_decimal(share.min_price_increment) > Decimal('0')
+        and share.short_enabled_flag is True
+    }
+    futures = await get_api_response('futures')
+    futures = futures.instruments
+    filtered_futures = {}
+    for future in futures:
+        if (
+            future.api_trade_available_flag is False
+            or future.buy_available_flag is False
+            or quotation_to_decimal(future.min_price_increment) <= Decimal('0')
+            or future.basic_asset not in filtered_shares.keys()
+            or future.last_trade_date <= datetime.now(tz=timezone.utc)
+        ):
+            continue
+        if future.basic_asset not in filtered_futures:
+            filtered_futures[future.basic_asset] = []
+        filtered_futures[future.basic_asset].append(future)
+
+    for stock_ticker in filtered_futures:
+        filtered_futures[stock_ticker] = sorted(
+            filtered_futures[stock_ticker], key=lambda d: d.expiration_date
+        )[:max_futures_ahead]
+    filtered_shares = {
+        ticker: uid
+        for ticker, uid in filtered_shares.items()
+        if ticker in filtered_futures.keys()
+    }
+    share_prices = get_current_prices_by_uid(list(filtered_shares.values()))
+    future_prices = get_current_prices_by_uid(
+        [d for f in filtered_futures.values() for d in f]
+    )
+    result = []
+    for ticker in filtered_shares:
+        price = share_prices[filtered_shares[ticker].uid]
+        for future in filtered_futures[ticker]:
+            f_price = future_prices[future.uid]
+            days_till_expiration = (
+                future.expiration_date - datetime.now(tz=timezone.utc)
+            ).days
+            honest_stock_price = (
+                price
+                * quotation_to_decimal(future.basic_asset_size)
+                * (
+                    (1 + Decimal(interest_rate / 100))
+                    ** Decimal((days_till_expiration / 365))
+                )
+            )
+            delta = f_price - honest_stock_price
+            if delta < 0:
+                norm_delta = -delta / quotation_to_decimal(
+                    future.basic_asset_size
+                )
+                result.append(
+                    DividendSpread(
+                        ticker,
+                        future.ticker,
+                        round(float(norm_delta), 2),
+                        days_till_expiration,
+                        round(float(norm_delta / price) * 100, 2),
+                    )
+                )
+    ordered = sorted(result, key=lambda s: s.yld, reverse=True)
+    spreads = [
+        f'{s.stock_ticker} - {s.future_ticker}: {s.dividend} RUB, {s.yld}%'
+        f', {s.days_till_expiration} days'
+        for s in ordered
+        if s.yld >= percent_threshold
+    ]
+    return '\n'.join(spreads)

bot/tools/get_patch_prepare_data.py

@@ -90,6 +90,16 @@ def get_current_prices(assets):
     return assets
 
 
+def get_current_prices_by_uid(assets):
+    uids = [asset.uid for asset in assets]
+    with RetryingClient(TCS_RO_TOKEN, RETRY_SETTINGS) as client:
+        response = client.market_data.get_last_prices(instrument_id=uids)
+    return {
+        item.instrument_uid: quotation_to_decimal(item.price)
+        for item in response.last_prices
+    }
+
+
 def get_portfolio_positions():
     with RetryingClient(TCS_RO_TOKEN, RETRY_SETTINGS) as client:
         response = client.operations.get_portfolio(account_id=TCS_ACCOUNT_ID)

setup.cfg

@@ -9,4 +9,4 @@ exclude =
     conftest.py
 per-file-ignores =
     */settings.py:E501
-max-complexity = 5
+max-complexity = 8

tests/bot_tests/spread_yield_tests/conftest.py

@@ -33,7 +33,7 @@ def futures_response():
                     2022, 9, 1, 20, 59, 59, tzinfo=datetime.timezone.utc
                 ),
                 last_trade_date=datetime.datetime(
-                    2023, 6, 15, 20, 59, 59, tzinfo=datetime.timezone.utc
+                    2033, 6, 15, 20, 59, 59, tzinfo=datetime.timezone.utc
                 ),
                 futures_type='DELIVERY_TYPE_PHYSICAL_DELIVERY',
                 asset_type='TYPE_SECURITY',
@@ -43,7 +43,7 @@ def futures_response():
                 country_of_risk_name='Российская Федерация',
                 sector='SECTOR_TELECOM',
                 expiration_date=datetime.datetime(
-                    2023, 6, 16, 0, 0, tzinfo=datetime.timezone.utc
+                    2033, 6, 16, 0, 0, tzinfo=datetime.timezone.utc
                 ),
                 trading_status=STS.SECURITY_TRADING_STATUS_NORMAL_TRADING,
                 otc_flag=False,
@@ -190,7 +190,7 @@ def futures_response():
                 country_of_risk_name='Российская Федерация',
                 sector='SECTOR_MATERIALS',
                 expiration_date=datetime.datetime(
-                    2022, 12, 16, 0, 0, tzinfo=datetime.timezone.utc
+                    2033, 12, 16, 0, 0, tzinfo=datetime.timezone.utc
                 ),
                 trading_status=STS.SECURITY_TRADING_STATUS_NOT_AVAILABLE_FOR_TRADING,
                 otc_flag=False,
@@ -239,7 +239,7 @@ def futures_response():
                 country_of_risk_name='Российская Федерация',
                 sector='SECTOR_CONSUMER',
                 expiration_date=datetime.datetime(
-                    2023, 3, 17, 0, 0, tzinfo=datetime.timezone.utc
+                    2033, 3, 17, 0, 0, tzinfo=datetime.timezone.utc
                 ),
                 trading_status=STS.SECURITY_TRADING_STATUS_NOT_AVAILABLE_FOR_TRADING,
                 otc_flag=False,

trademan/requirements.txt

@@ -1,6 +1,6 @@
 django==2.2.19
-tinkoff-investments==0.2.0b36
+tinkoff-investments==0.2.0b54
 python-dotenv==0.21.0
-protobuf==3.20.1
+protobuf==3.20.2
 djangorestframework==3.12.4
 pytest-django==4.5.2