expiry-sim-data-generator

expiry-sim-data-generator

Code to convert data from "NF BNF options data (1min) backup" telegram group for generating dataset in a format that's suited for Expiry Replay Simulator that we're building.

Special thanks to the person running the group for providing access to those datasets.

Usage

1. Please join the group and manually download the files that the admin shares after each expiry and put them all in a folder.
2. In the code we use experiments/weekly and experiments/monthly folders, but feel free to use anything of your choice.
3. If you do use a different path, you might want to update the path references in main.go file.
4. Then run go run . from the root of the repo. I'm assuming you've Go installed and have run go mod download already.
5. You should be able to find the required data under data/ directory of the current folder.

Data Format

We generate 1 minute, 3 minute, 5 minute and 15 minute OHLC data from the source (1 min) dataset. This ensures we can instanly show / replay the data as needed on the UI as per the user's requirement.

The directory structure of the output is as follows:

+-data/
  |
  +-2021-12-23/ // date of the expiry
  | |
  | +-symbols.json // contains the list of symbol under this expiry
  | |
  | +-NIFTYWK15100PE_1min.json // contains the entire expiry data in 1 minute OHLC,OI,VOL format
  | |
  | +-NIFTYWK15100PE_3min.json // contains the entire expiry data in 3 minute OHLC,OI,VOL format
  | |
  | +-NIFTYWK15100PE_5min.json // contains the entire expiry data in 5 minute OHLC,OI,VOL format
  | |
  | +-... <additional files>
  |
  +-expiries.json // contains the list of expiries for each of the underlying (NIFTY, BANKNIFTY)
  |
  +-... <additional files>

License

https://www.apache.org/licenses/LICENSE-2.0