refactor(oi): update scraper for new QuikStrike website structure
- Replace direct product URL navigation with fixed heatmap URL and UI product selection - Implement cookie validation with automatic session cleanup - Update login flow to use SSO authentication and new form selectors - Improve data extraction with iframe context and better table parsing - Add multiple fallback selectors for gold price scraping - Enhance error handling, logging, and timeout management
This commit is contained in:
Kunthawat Greethong
1238
OI_OrderFlow_Absorption_XAUUSD.mq5
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1238
OI_OrderFlow_Absorption_XAUUSD.mq5
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File diff suppressed because it is too large
Load Diff
@@ -1,15 +1,10 @@
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# CME Group QuikStrike Login Credentials
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CME_USERNAME=your_username_here
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CME_PASSWORD=your_password_here
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CME_LOGIN_URL=https://login.cmegroup.com/sso/accountstatus/showAuth.action
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# Product Configuration
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# Gold (XAUUSD/COMEX Gold - OG|GC): pid=40
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# Default product for XAUUSD trading
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PRODUCT_URL=https://cmegroup.quikstrike.net/User/QuikStrikeView.aspx?pid=40&viewitemid=IntegratedOpenInterestTool
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# Alternative products:
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# SOFR (3M SOFR): https://cmegroup.quikstrike.net/User/QuikStrikeView.aspx?pid=476&viewitemid=IntegratedOpenInterestTool
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# Silver: https://cmegroup.quikstrike.net/User/QuikStrikeView.aspx?pid=41&viewitemid=IntegratedOpenInterestTool
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# QuikStrike URL (fixed - always same page)
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QUIKSTRIKE_URL=https://www.cmegroup.com/tools-information/quikstrike/open-interest-heatmap.html
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# Gold Price Source (investing.com)
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INVESTING_URL=https://www.investing.com/commodities/gold
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@@ -92,6 +92,7 @@ FuturePrice,4345.50
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Edit `.env` to customize:
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- `PRODUCT_URL` - QuikStrike product page URL (requires login)
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- `CME_LOGIN_URL` - CME login page URL (default: SSO URL)
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- `TOP_N_STRIKES` - Number of top strikes to export (default: 3)
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- `HEADLESS` - Run browser in headless mode (default: false for debugging)
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- `CSV_OUTPUT_PATH` - Output CSV file path
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@@ -10,9 +10,14 @@ load_dotenv()
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# Configuration
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CME_USERNAME = os.getenv("CME_USERNAME")
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CME_PASSWORD = os.getenv("CME_PASSWORD")
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PRODUCT_URL = os.getenv(
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"PRODUCT_URL",
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"https://cmegroup.quikstrike.net/User/QuikStrikeView.aspx?pid=40&viewitemid=IntegratedOpenInterestTool",
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CME_LOGIN_URL = os.getenv(
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"CME_LOGIN_URL", "https://login.cmegroup.com/sso/accountstatus/showAuth.action"
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)
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QUIKSTRIKE_URL = (
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"https://www.cmegroup.com/tools-information/quikstrike/open-interest-heatmap.html"
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)
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QUIKSTRIKE_URL = (
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"https://www.cmegroup.com/tools-information/quikstrike/open-interest-heatmap.html"
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)
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INVESTING_URL = os.getenv("INVESTING_URL", "https://www.investing.com/commodities/gold")
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CSV_OUTPUT_PATH = os.getenv("CSV_OUTPUT_PATH", "./oi_data.csv")
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@@ -44,28 +49,53 @@ def load_cookies(context):
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return False
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def is_logged_in(page):
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page.goto(PRODUCT_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("networkidle", timeout=TIMEOUT_SECONDS * 1000)
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return "login" not in page.url.lower()
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def delete_cookies():
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if os.path.exists(COOKIE_FILE):
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os.remove(COOKIE_FILE)
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logger.info("Cookies deleted")
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def are_cookies_valid(page):
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logger.info("Checking if cookies are valid...")
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page.goto(QUIKSTRIKE_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("domcontentloaded", timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_timeout(3000)
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try:
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frame = page.frame_locator("iframe.cmeIframe").first
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page.wait_for_timeout(5000)
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table_exists = frame.locator("table.grid-thm").count() > 0
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if table_exists:
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logger.info("Cookies are valid - OI table found in iframe")
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else:
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logger.info("Cookies may be expired - no OI table found in iframe")
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return table_exists
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except Exception as e:
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logger.info(f"Cookies expired - error checking iframe: {e}")
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return False
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def login_to_cme(page):
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logger.info("Attempting to login to CME QuikStrike...")
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page.goto(
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"https://www.cmegroup.com/account/login.html", timeout=TIMEOUT_SECONDS * 1000
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)
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page.goto(CME_LOGIN_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("domcontentloaded", timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_timeout(1000)
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try:
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page.fill('input[name="username"]', CME_USERNAME)
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page.fill('input[name="password"]', CME_PASSWORD)
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page.click('button[type="submit"]')
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page.fill("#user", CME_USERNAME)
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page.fill("#pwd", CME_PASSWORD)
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page.click("#loginBtn")
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page.wait_for_load_state("networkidle", timeout=TIMEOUT_SECONDS * 1000)
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logger.info("Waiting for login redirect...")
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page.wait_for_timeout(30000)
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if "login" in page.url.lower():
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logger.error("Login failed - still on login page")
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current_url = page.url.lower()
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logger.info(f"Current URL after login attempt: {current_url}")
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if "login" in current_url or "sso" in current_url:
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logger.error("Login may have failed - still on SSO/login page")
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page.screenshot(path="login_failed.png")
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return False
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@@ -79,20 +109,59 @@ def login_to_cme(page):
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return False
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def select_gold_product(page):
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logger.info("Selecting Gold product...")
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logger.info("Switching to iframe context...")
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frame = page.frame_locator("iframe.cmeIframe").first
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page.wait_for_timeout(5000)
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logger.info("Step 1: Clicking dropdown arrow...")
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frame.locator("#ctl11_hlProductArrow").click()
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page.wait_for_timeout(1000)
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logger.info("Step 2: Clicking Metals...")
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frame.locator('a[groupid="6"]:has-text("Metals")').click()
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page.wait_for_timeout(500)
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logger.info("Step 3: Clicking Precious Metals...")
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frame.locator('a[familyid="6"]:has-text("Precious Metals")').click()
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page.wait_for_timeout(500)
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logger.info("Step 4: Clicking Gold...")
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frame.locator('a[title="Gold"]').click()
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logger.info("Waiting for Gold data to load...")
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page.wait_for_timeout(10000)
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logger.info("Gold product selected")
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def navigate_to_oi_heatmap(page):
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logger.info(f"Navigating to OI Heatmap: {PRODUCT_URL}")
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page.goto(PRODUCT_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("networkidle", timeout=TIMEOUT_SECONDS * 1000)
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logger.info(f"Navigating to QuikStrike: {QUIKSTRIKE_URL}")
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page.goto(QUIKSTRIKE_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("domcontentloaded", timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_timeout(5000)
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select_gold_product(page)
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def extract_oi_data(page):
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logger.info("Extracting OI data from Gold matrix table...")
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logger.info("Switching to iframe context...")
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frame = page.frame_locator("iframe.cmeIframe").first
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page.wait_for_timeout(8000)
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logger.info("Looking for table.grid-thm...")
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call_levels = []
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put_levels = []
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table = page.locator("table.grid-thm").first
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table = frame.locator("table.grid-thm").first
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table.wait_for(state="visible", timeout=10000)
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logger.info("Table found, waiting for data...")
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rows = table.locator("tbody tr").all()
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logger.info(f"Found {len(rows)} rows in table")
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for row in rows:
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try:
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@@ -100,31 +169,36 @@ def extract_oi_data(page):
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if len(cells) < 3:
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continue
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strike_cell = cells[0].text_content().strip()
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if not strike_cell or not strike_cell.replace(".", "").isdigit():
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continue
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strike = float(strike_cell)
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cells_with_data = cells[2:]
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for i in range(0, len(cells_with_data), 2):
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if i + 1 >= len(cells_with_data):
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strike = None
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for cell in cells:
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text = cell.text_content().strip()
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if text and text.replace(".", "").isdigit():
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strike = float(text)
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break
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call_cell = cells_with_data[i]
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put_cell = cells_with_data[i + 1]
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if strike is None:
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continue
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number_cells = row.locator("td.number").all()
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logger.debug(f"Strike {strike}: found {len(number_cells)} number cells")
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for i in range(0, len(number_cells), 2):
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if i + 1 >= len(number_cells):
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break
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call_cell = number_cells[i]
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put_cell = number_cells[i + 1]
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call_text = call_cell.text_content().strip()
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put_text = put_cell.text_content().strip()
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if call_text and call_text.replace(",", "").isdigit():
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if call_text and call_text != "-":
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call_oi = int(call_text.replace(",", ""))
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call_levels.append(
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{"Type": "CALL", "Strike": strike, "OI": call_oi}
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)
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if put_text and put_text.replace(",", "").isdigit():
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if put_text and put_text != "-":
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put_oi = int(put_text.replace(",", ""))
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put_levels.append({"Type": "PUT", "Strike": strike, "OI": put_oi})
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@@ -132,25 +206,27 @@ def extract_oi_data(page):
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logger.warning(f"Error parsing row: {e}")
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continue
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if not call_levels:
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logger.warning("No CALL OI data extracted")
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if not put_levels:
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logger.warning("No PUT OI data extracted")
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logger.info(
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f"Extracted {len(call_levels)} CALL levels, {len(put_levels)} PUT levels"
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)
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call_df = (
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pd.DataFrame(call_levels).nlargest(TOP_N_STRIKES, "OI")
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if call_levels
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else pd.DataFrame()
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)
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put_df = (
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pd.DataFrame(put_levels).nlargest(TOP_N_STRIKES, "OI")
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if put_levels
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else pd.DataFrame()
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)
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if call_levels:
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call_df = pd.DataFrame(call_levels)
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call_df = call_df.groupby("Strike", as_index=False).agg({"OI": "max"})
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call_df = call_df.nlargest(TOP_N_STRIKES, "OI")
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else:
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call_df = pd.DataFrame()
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if put_levels:
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put_df = pd.DataFrame(put_levels)
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put_df = put_df.groupby("Strike", as_index=False).agg({"OI": "max"})
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put_df = put_df.nlargest(TOP_N_STRIKES, "OI")
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else:
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put_df = pd.DataFrame()
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result_df = pd.concat([call_df, put_df], ignore_index=True)
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logger.info(f"Extracted {len(result_df)} OI levels")
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logger.info(f"Final top {TOP_N_STRIKES} unique strikes for CALL and PUT extracted")
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return result_df
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@@ -158,29 +234,39 @@ def scrape_investing_gold_price(page):
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logger.info(f"Scraping gold price from: {INVESTING_URL}")
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try:
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page.goto(INVESTING_URL, timeout=TIMEOUT_SECONDS * 1000)
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page.wait_for_load_state("domcontentloaded", timeout=TIMEOUT_SECONDS * 1000)
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page.goto(INVESTING_URL, timeout=60000, wait_until="domcontentloaded")
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logger.info(f"Page loaded, title: {page.title()}")
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price_locator = page.locator('div[data-test="instrument-price-last"]')
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page.wait_for_timeout(5000)
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logger.info("Waited for JavaScript to render")
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if price_locator.count() > 0:
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price_text = price_locator.text_content().strip()
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price_text = price_text.replace(",", "")
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price = float(price_text)
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logger.info(f"Extracted gold price: {price}")
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return price
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else:
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logger.warning("Price element not found, trying alternative selector")
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alt_locator = page.locator(".text-5xl\\/9")
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if alt_locator.count() > 0:
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price_text = alt_locator.text_content().strip()
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price_text = price_text.replace(",", "")
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price = float(price_text)
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logger.info(f"Extracted gold price (alt): {price}")
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return price
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selectors = [
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'div[data-test="instrument-price-last"]',
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".text-5xl\\/9.font-bold.text-\\[#232526\\]",
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'[data-test="instrument-price-last"]',
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".text-5xl\\/9",
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]
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logger.warning("Could not extract gold price")
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return 0.0
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price = 0.0
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for selector in selectors:
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try:
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locator = page.locator(selector)
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if locator.count() > 0:
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locator.first.wait_for(state="visible", timeout=10000)
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price_text = locator.first.text_content().strip()
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if price_text:
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price_text = price_text.replace(",", "")
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price = float(price_text)
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logger.info(f"Extracted gold price ({selector}): {price}")
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break
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except Exception as e:
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logger.debug(f"Selector {selector} failed: {e}")
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continue
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if price == 0.0:
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logger.warning("Could not extract gold price, all selectors failed")
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return price
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except Exception as e:
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logger.error(f"Error scraping gold price: {e}")
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@@ -212,13 +298,20 @@ def run_scraper():
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context = browser.new_context()
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page = context.new_page()
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loaded_cookies = load_cookies(context)
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page2 = context.new_page()
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cookies_loaded = load_cookies(context)
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cookies_valid = False
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if loaded_cookies and is_logged_in(page2):
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logger.info("Using existing session (cookies)")
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if cookies_loaded:
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cookies_valid = are_cookies_valid(page)
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if cookies_valid:
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logger.info("Using cached session")
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else:
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logger.info("No valid session found, logging in...")
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if cookies_loaded:
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logger.info("Cookies expired, deleting and re-logging in...")
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delete_cookies()
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logger.info("Logging in to CME...")
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if not login_to_cme(page):
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browser.close()
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if attempt < RETRY_ATTEMPTS - 1:
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@@ -229,14 +322,15 @@ def run_scraper():
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else:
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logger.error("All login attempts failed")
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return
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save_cookies(context)
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navigate_to_oi_heatmap(page)
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oi_data = extract_oi_data(page)
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save_cookies(context)
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if not oi_data.empty:
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logger.info("Extracting gold price from investing.com...")
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future_price = scrape_investing_gold_price(page)
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logger.info(f"Gold price extracted: {future_price}")
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export_to_csv(oi_data, future_price)
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else:
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Reference in New Issue
Block a user