ExpiryFlow

A fullstack platform for downloading, visualizing, and backtesting historical F&O options data from Dhan. Built for systematic options strategy research.

Features

• Data Download — Fetch historical OHLCV data for expired option contracts (rolling options) from Dhan API with rate limiting, chunked downloads, and duplicate detection
• ATM Straddle Visualization — Intraday combined CE+PE premium chart and table with date/expiry selectors, spot overlay toggle
• Dynamic Straddle Backtester — Backtest ATM straddle rolling strategy with bar-by-bar equity curve, drawdown, trade log, daily P&L, and full metrics
• Editable Commissions — Slab-based turnover commission structure with configurable lot sizes per symbol
• IST Timestamps — All data stored in IST for natural market-hours queries

Stack

• Backend: FastAPI, SQLite (config/commissions), DuckDB (market data), httpx
• Frontend: React, Vite, TypeScript, ShadCN UI, Zustand, TradingView Lightweight Charts
• Data: DuckDB for high-performance time-series storage and backtesting

Setup

Backend

cd backend
pip install -r requirements.txt
fastapi dev main.py

Runs on http://localhost:8000

Frontend

cd frontend
npm install
npm run dev

Runs on http://localhost:5173

Usage

1. Open http://localhost:5173
2. Enter your Dhan Client ID, API Key, and API Secret
3. Login with your PIN and TOTP code
4. Dashboard — Download historical options data (multi-expiry, multi-strike, date chunking)
5. Straddle — Visualize intraday ATM straddle premium with interactive chart
6. Backtest — Run dynamic straddle strategy backtests with configurable capital, lot sizing, and commission slabs
7. Commissions — Edit turnover-based commission slabs and lot sizes

Pages

Route	Description
/dashboard	Download controls, progress tracking, download history
/straddle	ATM straddle intraday chart + data table
/backtest	Dynamic straddle backtester with equity/drawdown curves
/commissions	Editable commission slabs and lot sizes

Project Structure

backend/
  main.py              # FastAPI app entrypoint
  config.py            # Underlying metadata, lot sizes, margin/commission constants
  database.py          # SQLite setup + seed defaults
  duckdb_manager.py    # DuckDB schema + migrations
  models.py            # ORM models (ApiConfig, Session, CommissionSlab, LotSize)
  schemas.py           # Pydantic request/response models
  dependencies.py      # Rate limiter, auth deps
  routers/
    auth_router.py     # Login, session, logout
    config_router.py   # API config CRUD
    download_router.py # Download jobs + active/history
    straddle_router.py # ATM straddle data queries
    backtest_router.py # Backtest execution
    commissions_router.py # Commission slabs + lot sizes CRUD
    health_router.py   # Health check, underlyings metadata
  services/
    dhan_auth_service.py   # Dhan OAuth
    dhan_data_service.py   # Dhan rolling options API (IST timestamps)
    download_service.py    # Job orchestration, duplicate detection
    backtest_service.py    # Dynamic straddle backtesting engine
    session_service.py     # Session validation

frontend/
  src/
    api/               # Backend API clients (auth, config, downloads, straddle, backtest)
    store/             # Zustand state (auth, config, download with localStorage persistence)
    pages/             # Dashboard, Straddle, Backtest, Commissions, Setup, Login
    components/        # Download controls/progress, global download indicator, UI
    layouts/           # Auth & Dashboard layouts with navigation

Backtester Strategy

The dynamic straddle backtester implements:

• Entry: Sell ATM CE + PE at market open (nearest strike to spot)
• Roll: If spot moves to a new ATM strike, exit current straddle and sell new ATM
• Exit: Close all positions at last bar of each day (no overnight carry)
• Sizing: Fixed lots, fixed money allocation, or fixed % of capital
• Commissions: Slab-based (brokerage, STT, exchange txn, GST, SEBI, stamp duty)
• Margin: 11.33% of spot x lot_size x lots

Commission Structure (Default — F&O Options)

Component	Slab 1 (≤1L)	Slab 2 (≤10L)	Slab 3 (≤1Cr)
Brokerage	₹20/order	₹20/order	₹20/order
STT (sell)	0.1%	0.1%	0.1%
Exchange Txn	0.03553%	0.03553%	0.03553%
GST	18%	18%	18%
SEBI	₹10/Cr	₹10/Cr	₹10/Cr
Stamp Duty (buy)	0.004%	0.003%	0.003%

GST base = brokerage + exchange txn + SEBI charges

License

MIT