/deribit_data_collector

A library that can be used to download the entire BTC and ETH option chain data on Deribit.

Primary LanguagePython

Deribit Options Downloader

A package which can download all current BTC and ETH option chain data on Deribit.

Example

>>> import deribit_data as dm
>>> btc_data = dm.Options("BTC")


# Get realised historical volatility
>>> df = btc_data.get_hist_vol(save_csv=False)
>>> df.tail()
date                    btc_hist_vol
2020-05-13 21:00:00     95.228999
2020-05-13 22:00:00     95.501434
2020-05-13 23:00:00     95.553333
2020-05-14 00:00:00     95.572422
2020-05-14 01:00:00     95.564853


# Get all option prices and relevant statistics - this should take less than 30 seconds.

>>> df = btc_data.collect_data(save_csv=False)
>>> df[['instrument_name', 'last_price', 'mark_iv', 'open_interest']].head()
      instrument_name	    last_price  mark_iv     open_interest
    0	BTC-22MAY20-9250-P	 0.0460	     77.72	     138.8
    1	BTC-22MAY20-12000-C	 0.0050	     112.28          110.6
    2	BTC-26JUN20-8000-C	 0.1825	     90.26	     771.0
    3	BTC-14MAY20-8875-C	 0.0410	     90.65	     24.7
    4	BTC-25SEP20-9000-P	 0.1770	     83.37	     266.9

External Dependencies

  • pandas==1.0.3
  • numpy==1.17.3