python 2.7 code for parsing CSV files saved from thinkorswim

TOS-csv-optvol.py

#!/usr/bin/python

import csv, json, sys, re, os
import glob


try:
    loglevel = int(os.environ["LOGLEVEL"])
except:
    loglevel = 1
    
def Log(s, level=1):
    if level <= loglevel:
        print s

def CheckFile(filename = None, volumefilter = 100):
    optcsv = []
    f = open(filename, "r")
        
    for line in csv.reader(f):
        optcsv.append(line)
    f.close()
    
    symbol = ""
    optd = {}
    key = ""
    opts = {}
    underlying = 0.0
    state=0
    for line in optcsv:
        #state 0: looking for first line for quote symbol
        #state 10: looking for "UNDERLYING"
        #state 11: eating underlying header
        #state 12: taking underlying
        #state 1: looking for a date line with a () days to exp
        #state 2: eat header
        #state 3: eating lines until empty line, then end date, reset key and opts
        Log(str(line),  20)
        Log(str(state), 20)
        if state == 0:
            m = re.match(".*option quote for (\w*) on ", line[0])
            if m != None:
                symbol = m.group(1)
                Log("\nScanning " + symbol, level = 1)
                state = 10
        elif state == 10:
            if len(line)>0 and line[0].rfind ("UNDERLYING") != -1:
                state = 11
        elif state == 11:
            state = 12
        elif state == 12:
            underlying = float(line[0])
            Log("Quote " + str(underlying), level = 1)
            state = 1
        elif state == 1:
            if len(line)>0:
                m = re.match("\d* ... ..  \((\d*)\)", line[0])
                if m != None:
                    key = line[0]
                    state = 2
        elif state == 2:
            if len(line) == 0:
                state = 1
            else:
                state = 3
        elif state == 3:
            if len(line) == 0:
                optd[key] = opts
                opts = {}
                key = ""
                state = 1
            else:
    #            ['', '', 'Mark', 'Volume', 'Open.Int', 'Prob.ITM', 'Delta', 'BID', 'BX', 'ASK', 'AX', 'Exp', 'Strike', 'BID', 'BX', 'ASK', 'AX', 'Mark', 'Volume', 'Open.Int', 'Prob.ITM', 'Delta', '', '']
    #             0    1   2        3         4          5            6        7      8    9      10    11     12        13     14     15    16    17       18       19           20          21     22   23
                if line[2] != "<empty>":
                    probcall = line[5].replace("%","")
                    probput  = line[20].replace("%","")
                    try:
                        opts[float(line[12])] = { 
                            "strike" : float(line[12]), 
                            "callmark" : float(line[2]), 
                            "probcall" : float(probcall),
                            "callvol"  : int(line[4].replace(',','')), 
                            "putmark"  : float(line[17]), 
                            "probput"  : float(probput),
                            "putvol"   : int(line[19].replace(',',''))
                        }
                    except:
                        pass
    
    for key in optd.keys():
        m = re.match("\d* ... ..  \((\d*)\)", key)
        #skip if over 75 days out
        if int(m.group(1)) > 75:
            continue
        print key
        strikes = optd[key]
        strikeskeys = strikes.keys()
        strikeskeys.sort()
        format = "%-10s %-10s %-10s %-10s %-10s"
        print format % ("strike", "put mark", "put vol", "call mark", "call vol")
        for strikekey in strikeskeys:
            info = strikes[strikekey]
            if info["callvol"] >= volumefilter or info["putvol"] >= volumefilter:
                print format % (strikekey, info["putmark"], info ["putvol"], info["callmark"], info["callvol"]) 
        print "\n\n\n"

if len(sys.argv) == 1:
    scandir = os.path.abspath(os.path.expanduser("~/Desktop"))
else:
    scandir = os.path.abspath(os.path.expanduser(sys.argv[1]))

files = glob.glob(scandir+"/*.csv")
for f in files:
    CheckFile(f)