implied-vol-plot

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implied-vol-plot

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Real-time BTC implied volatility skew charts powered by LedgerX websocket data, Redis Pub/Sub, RedisTimeSeries, and Bokeh.

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// repository documentation

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# Live BTC Implied Volatility Charts
Using LedgerX public websocket API we're able to demonstrate using Redis as a multipurpose datastore.
Using a server side Lua script to check the received updates counter we can appropriately publish PUBSUB messages to the
listening [Bokeh](https://docs.bokeh.org/en/latest/) app and store the bid/ask prices to a 
[RedisTimeSeries](https://oss.redislabs.com/redistimeseries/) data type atomically.

The Bokeh app displays the implied volatility calculated from the best bid and offer prices received over websocket.
We're using the Black-Scholes formula implemented by the [vollib](http://vollib.org/) library.

We get the price of bitcoin from polling the coinbase API every 3 seconds.

This allows traders to do further analysis and find opportunities in possible mispricings in the volatility component of
the options pricing model.

![architectural diagram](https://i.imgur.com/Yy6aSqQ.png)

When you run `ledgerx_ws.py` a websocket connection is opened with LedgerX and sends data from the incoming messages to a Lua script on the Redis instance that adds new data to a [Time Series structure](https://oss.redis.com/redistimeseries/) and atomically publishes the data to subscribers:

```
redis.call('SETNX', KEYS[1], 0)
local prev_clock = redis.call('GETSET', KEYS[1], ARGV[1])
local clock = tonumber(ARGV[1])
prev_clock = tonumber(prev_clock)
if(clock > prev_clock) then
    redis.call('PUBLISH', ARGV[2], ARGV[5])
    redis.call('TS.ADD', KEYS[2], '*', ARGV[3], 'ON_DUPLICATE', 'LAST')
    redis.call('TS.ADD', KEYS[3], '*', ARGV[4], 'ON_DUPLICATE', 'LAST')
    return 1
else
    return 0
end
```
The subscribers listening to the Redis PUBSUB channel are charts generated by a [Bokeh server app](https://docs.bokeh.org/en/latest/docs/user_guide/server.html).

### Data Access
In this app we record bid ask prices to Time Series structures with keys formatted like so: `<contract_id>:[bid|ask]` ie., `22227599:ask`

you can access the time series data with the `TS.RANGE` command from the redis-cli ([docs](https://oss.redis.com/redistimeseries/commands/)):
```
127.0.0.1:6379> TS.RANGE "22227599:ask" - +
1) 1) (integer) 1639378065269
   2) 65500
2) 1) (integer) 1639378209405
   2) 65500
3) 1) (integer) 1639378219445
   2) 65500
```
To subscribe to the live data being stored to the time series structs, simply subscribe to this wildcard channel: `*.1`, like so:

```
127.0.0.1:6379> PSUBSCRIBE *.1
Reading messages... (press Ctrl-C to quit)
1) "psubscribe"
2) "*.1"
3) (integer) 1
1) "pmessage"
2) "*.1"
3) "22229255.1"
4) "{\"bid\": 14600, \"ask\": 55900, \"contract_type\": 1, \"clock\": 46971, \"bid_size\": 2, \"type\": \"book_top\", \"contract_id\": 22229255, \"ask_size\": 1}"
1) "pmessage"
2) "*.1"
3) "22230741.1"
4) "{\"bid\": 300000, \"ask\": 387100, \"contract_type\": 1, \"clock\": 316717, \"bid_size\": 10, \"type\": \"book_top\", \"contract_id\": 22230741, \"ask_size\": 5}"
```
The subscriber will recieve JSON encoded messages with the contract id, best bid, ask and top of the book order sizes.

## Setup

1) Install [Redis](https://redis.io/) and [RedisTimeSeries](https://oss.redislabs.com/redistimeseries/)
2) Clone the repository and install the dependencies in requirements.txt (`pip -r requirements.txt` in a venv w/ python=3.7)
3) Create a LedgerX api key (https://app.ledgerx.com/profile/api-keys) and copy to a file in root of project named "secret"
4) Run `ledgerx_ws.py` (the script consuming the websocket stream from LedgerX) and then in another terminal window run 
`bokeh serve --show iv_app.py` from the project root to start up the Bokeh server application and open a web browser to
the local URL (http://localhost:5006/iv_app by default).

There are pre-cache files `contracts.pkl` and `id_table.json` which are loaded so no authenticated requests are needed.
There is a small shell script `clear_cache.sh` that simple deletes these files, the app will automatically create them
if missing, but will require a `secret` file with your LedgerX API key on the first line.

![screenshot of vol chart](https://i.imgur.com/PZv0VeH.png)

### Docker Install (WIP)
Install docker: https://docs.docker.com/engine/install/

Run the command `sysctl vm.overcommit_memory=1` to avoid background save failure under low memory condition

Install docker-compose: https://docs.docker.com/compose/install/

If you don't configure docker to be used without sudo you'll have to add sudo in front of any docker command

To build image: `sudo docker build -t iv_app:dev .`

To run image interactively, mapping port 5006 from the container to 5006 on your local machine:
`sudo docker run -it -p 5006:5006 -w "/implied-vol-plot" -v "$(pwd):/implied-vol-plot" iv_app:dev bash`

To run it in the background in detached mode:
`sudo docker run -d -p 5006:5006 -w "/implied-vol-plot" -v "$(pwd):/implied-vol-plot" iv_app:dev`

Docker-compose:

To start services: `docker-compose up` #can add -d flag to run in background
To stop services: `docker-compose down`
To run a specific service interactively: `docker-compose exec <name-of-service-in-docker-compose-yaml> sh`

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