python 2.7 code that reads csv files saved from thinkorswim and applies a scan criteria to it

TOS-csv-spreadfinder.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: store header, go to 3
        #state 3: eating lines until empty line, then end date, reset key and opts
        Log(str(line),  900)
        Log(str(state), 900)
        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:
                header = line
                state = 3
        elif state == 3:
            if len(line) == 0:
                optd[key] = opts
                opts = {}
                key = ""
                state = 1
            else:
                if line[2] != "<empty>":
                    puts    = {}
                    calls   = {}
                    strike  = ""
                    exp     = ""
                    isCalls = True
                    #Make a dictionary based on the header instead of
                    #by csv position.  Things that come before "Strike" will get
                    #added to calls, after get added to puts
                    for i in range(0,len(header)):
                        if len(header[i]) == 0:
                            pass
                        elif header[i] == "Exp":
                            exp = line[i]
                        elif header[i] == "Strike":
                            strike  = line[i]
                            isCalls = False
                        elif isCalls:
                            calls[header[i]] = line[i]
                        else:
                            puts[header[i]] = line[i]
                            
    #            ['', '', '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
                    try:
                        st = float(strike)
                        cm = float(calls["Mark"])
                        cp = float(calls["Prob.ITM"].replace("%",""))
                        co = int(calls["Open.Int"].replace(",", ""))
                        cv = int(calls["Volume"].replace(",", ""))
                        if (co > cv): cv = co
                        pm = float(puts["Mark"])
                        pp = float(puts["Prob.ITM"].replace("%",""))
                        po = int(puts["Open.Int"].replace(",", ""))
                        pv = int(puts["Volume"].replace(",", ""))
                        if (po > pv): pv = po
                        opts[st] = { 
                            "strike"   : st, 
                            "callmark" : cm, 
                            "probcall" : cp,
                            "callvol"  : cv, 
                            "putmark"  : pm, 
                            "probput"  : pp,
                            "putvol"   : pv
                        }
                    except:
                        print "conversion error"
    optseries = optd.keys()
    optseries.sort()
    #look for call spreads of probability 65% or greater
    for key in optseries:
        m = re.match("\d* ... ..  \((\d*)\)", key)
        daysout = int(m.group(1))
        if daysout > 75:
            Log(key, 9)
            Log("Option date too far away (%d days)\n" % daysout, 9)
            continue
        Log (key, 1)
        strikes = optd[key]
        strikeskeys = strikes.keys()
        strikeskeys.sort()
        #look for call spreads at $1
        for strikekey in strikeskeys:
            info = strikes[strikekey]
            prob = info["probcall"]
            vol  = info["callvol"]
            mark = info["callmark"]
            Log(info, 9)
            if strikekey < underlying: 
                Log("%.02f strike is ITM" % strikekey, 3)
            elif vol < volumefilter:
                Log("%.02f fails volume test" % strikekey, 3)
            elif (prob > 35.0) or (prob < 5.0):
                Log("%.02f fails probability test" % strikekey, 3)
            else:
                #use integers to avoid float weirdness
                Log("Looking for matches for strike %f" % strikekey, 3)
                st = int(strikekey*100.0)
                for sk2 in strikeskeys:
                    st2 = int(sk2*100.0)
                    Log("Looking for $1 spread for %d, checking %d"%(st, st2), 9)
                    if st2 == st + 100:
                        info2 = strikes[sk2]
                        targetprice = (float(prob) / 100.0)
                        price = mark - info2["callmark"]
                        if price < targetprice:
                            Log("%s rejected: %0.2f/%0.2f call (%0.2f/%0.2f), ITM probability %.02f%%, profit %.02f is too low" % (symbol, strikekey, sk2, mark, info2["callmark"], prob, price), 2)
                        elif info2["callvol"] < volumefilter:
                            Log("%s rejected: %0.2f/%0.2f call (%0.2f/%0.2f), ITM probability %.02f%%, volume %d of further spread too low " % (symbol, strikekey, sk2, mark, info2["callmark"], prob, info2["callvol"]), 2)
                        else:
                            Log("%s candidate: %0.2f/%0.2f call (%0.2f/%0.2f), probability %.02f%%" % (symbol, strikekey, sk2, mark, info2["callmark"], prob), 1)
                        break
                        
        #look for put spreads at $1
        for strikekey in strikeskeys:
            info = strikes[strikekey]
            prob = info["probput"]
            vol  = info["putvol"]
            mark = info["putmark"]
            Log(info, 9)
            if strikekey > underlying: 
                Log("%.02f strike is ITM" % strikekey, 3)
            elif vol < volumefilter:
                Log("%.02f fails volume test" % strikekey, 3)
            elif (prob > 35.0) or (prob < 5.0):
                Log("%.02f fails probability test" % strikekey, 3)
            else:
                #use integers to avoid float weirdness
                Log("Looking for matches for strike %f" % strikekey, 3)
                st = int(strikekey*100.0)
                for sk2 in strikeskeys:
                    st2 = int(sk2*100.0)
                    Log("Looking for $1 spread for %d, checking %d"%(st, st2), 9)
                    if st2 == st - 100:
                        info2 = strikes[sk2]
                        targetprice = (float(prob) / 100.0)
                        price = mark - info2["putmark"]
                        if price < targetprice:
                            Log("%s rejected: %0.2f/%0.2f put (%0.2f/%0.2f), ITM probability %.02f%%, profit %.02f is too low" % (symbol, strikekey, sk2, mark, info2["putmark"], prob, price), 2)
                        elif info2["putmark"] < volumefilter:
                            Log("%s rejected: %0.2f/%0.2f put (%0.2f/%0.2f), ITM probability %.02f%%, volume %d of further spread too low " % (symbol, strikekey, sk2, mark, info2["putmark"], prob, info2["putvol"]), 2)
                        else:
                            Log("%s candidate: %0.2f/%0.2f put (%0.2f/%0.2f), probability %.02f%%" % (symbol, strikekey, sk2, mark, info2["putmark"], prob), 1)
                        break
        Log("", 1) #line break
            
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)