Create app.py

app.py

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+import streamlit as st
+import requests
+import pandas as pd
+import altair as alt
+
+# Function to fetch data from the API
+def fetch_data(url, headers):
+    response = requests.get(url, headers=headers)
+    if response.status_code == 200:
+        return response.json()['data']
+    else:
+        st.error("Failed to fetch data")
+        return []
+
+# Altair chart for combined volume and average price
+def create_chart(df, option_type, strike):
+    # Ensure datetime is correctly parsed and localized
+    df['tape_time'] = pd.to_datetime(df['tape_time']).dt.tz_localize(None)
+
+    # Volume chart with custom colors for bid, ask, and mid volumes
+    volume_chart = alt.Chart(df).transform_fold(
+        fold=['bid_volume', 'ask_volume', 'mid_volume'],
+        as_=['Volume Type', 'Volume']
+    ).mark_bar().encode(
+        x='tape_time:T',
+        y=alt.Y('Volume:Q', title='Volume'),
+        color=alt.Color('Volume Type:N', scale=alt.Scale(domain=['bid_volume', 'ask_volume', 'mid_volume'], range=['#ee5365', '#1fb386', '#2448fb'])),
+        tooltip=['tape_time:T', 'bid_volume:Q', 'ask_volume:Q', 'mid_volume:Q']
+    ).properties(
+        width=300,
+        height=300
+    )
+
+    # Average price line chart
+    price_chart = alt.Chart(df).mark_line(color='#ffa421').encode(
+        x='tape_time:T',
+        y=alt.Y('avg_price:Q', title='Average Price', scale=alt.Scale(zero=False)),
+        tooltip=['tape_time:T', 'avg_price:Q']
+    )
+
+    # Implied Volatility High line chart
+    iv_high_chart = alt.Chart(df).mark_line(color='purple').encode(
+        x='tape_time:T',
+        y=alt.Y('iv_high:Q', title='IV High', scale=alt.Scale(zero=False)),
+        tooltip=['tape_time:T', 'iv_high:Q']
+    )
+
+    # Combine the charts
+    combined_chart = alt.layer(volume_chart, price_chart, iv_high_chart).resolve_scale(
+        y='independent'
+    ).properties(
+        title=f"{option_type} Option Chart for Strike {strike}",
+        width=600,
+        height=300
+    )
+
+    return combined_chart
+
+
+# Streamlit UI
+st.title('Stacked Market Data Chart for Calls and Puts')
+
+
+with st.form(key='data_form'):
+    index = st.text_input('Index (e.g., SPXW)', value='SPXW')
+    expiry = st.date_input('Expiry Date')
+    atm_strike = st.number_input('ATM Strike (e.g., 52350)', value=52350)
+    submit_button = st.form_submit_button('Load Charts')
+
+if submit_button:
+    headers = {
+    "Accept": "application/json",
+    "Accept-Encoding": "gzip, deflate, br, zstd",
+    "Accept-Language": "en-IN,en-DE;q=0.9,en;q=0.8,de-DE;q=0.7,de;q=0.6,en-US;q=0.5,en-GB;q=0.4,ga;q=0.3",
+    "Authorization": "Bearer Qo2zhp0Xf3qI88x81tEvgizT_fH29PlLqhrnRcMHP8gvZ_5OCjWl_r23GdbBzolL",
+    "Content-Type": "application/json",
+    "Origin": "https://unusualwhales.com",
+    "Referer": "https://unusualwhales.com/",
+    "Sec-Ch-Ua": '"Chromium";v="122", "Not(A:Brand";v="24", "Google Chrome";v="122"',
+    "Sec-Ch-Ua-Mobile": "?0",
+    "Sec-Ch-Ua-Platform": '"Windows"',
+    "Sec-Fetch-Dest": "empty",
+    "Sec-Fetch-Mode": "cors",
+    "Sec-Fetch-Site": "same-site",
+    "User-Agent": "Mozilla/5.0 (Windows NT 10.0; Win64; x64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/122.0.0.0 Safari/537.36",
+    "Uw-Path": "/flow/option_chains",
+    "Uw-Sh": "8lgba0upqzOp4J3C"
+    }
+
+
+    # Generate strikes in descending order
+    strikes = sorted((atm_strike + i * 5 for i in range(-5, 6)), reverse=True)
+    expiry_str = expiry.strftime('%y%m%d')
+
+    # Create columns for calls and puts side by side
+    col_call, col_put = st.columns(2)
+
+    for strike in strikes:
+        modified_strike = f"0{strike}000"
+        # Fetch and plot for call options
+        call_url = f"https://phx.unusualwhales.com/api/chain_aggregates/{index}{expiry_str}C{modified_strike}/intraday?grouping_minutes=5&market_day_timeframe=1"
+        call_data = fetch_data(call_url, headers)
+        if call_data:
+            df_call = pd.DataFrame(call_data)
+            call_chart = create_chart(df_call, 'Call', strike)
+            with col_call:
+                st.altair_chart(call_chart, use_container_width=True)
+
+        # Fetch and plot for put options
+        put_url = f"https://phx.unusualwhales.com/api/chain_aggregates/{index}{expiry_str}P{modified_strike}/intraday?grouping_minutes=5&market_day_timeframe=1"
+        put_data = fetch_data(put_url, headers)
+        if put_data:
+            df_put = pd.DataFrame(put_data)
+            put_chart = create_chart(df_put, 'Put', strike)
+            with col_put:
+                st.altair_chart(put_chart, use_container_width=True)
+