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modified_getOptions.R
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modified_getOptions.R
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require(quantmod)
require(lubridate)
require(plyr)
rm(list = ls())
{
`getOptionChain` <-
function(Symbols, Exp=NULL, src="yahoo", ...) {
Call <- paste("getOptionChain",src,sep=".")
if(missing(Exp)) {
do.call(Call, list(Symbols=Symbols, ...))
} else {
do.call(Call, list(Symbols=Symbols, Exp=Exp, ...))
}
}
getOptionChain.yahoo <- function(Symbols, Exp, ...)
{
if(!requireNamespace("jsonlite", quietly=TRUE))
stop("package:",dQuote("jsonlite"),"cannot be loaded.")
NewToOld <- function(x) {
if(is.null(x) || length(x) < 1)
return(NULL)
# clean up colnames, in case there's weirdness in the JSON
names(x) <- tolower(gsub("[[:space:]]", "", names(x)))
# set cleaned up colnames to current output colnames
d <- with(x, data.frame(Strike=strike, Last=lastprice, Chg=change,
Bid=bid, Ask=ask, Vol=volume, OI=openinterest,
row.names=contractsymbol, stringsAsFactors=FALSE))
# remove commas from the numeric data
d[] <- lapply(d, gsub, pattern=",", replacement="", fixed=TRUE)
d[] <- lapply(d, type.convert, as.is=TRUE)
d
}
# Don't check the expiry date if we're looping over dates we just scraped
checkExp <- !hasArg(".expiry.known") || !match.call(expand.dots=TRUE)$.expiry.known
# Construct URL
urlExp <- paste0("https://query2.finance.yahoo.com/v7/finance/options/", Symbols[1])
# Add expiry date to URL
if(!checkExp)
urlExp <- paste0(urlExp, "?&date=", Exp)
# Fetch data (jsonlite::fromJSON will handle connection)
tbl <- jsonlite::fromJSON(urlExp)
# Only return nearest expiry (default served by Yahoo Finance), unless the user specified Exp
if(!missing(Exp) && checkExp) {
all.expiries <- tbl$optionChain$result$expirationDates[[1]]
all.expiries.posix <- .POSIXct(as.numeric(all.expiries), tz="UTC")
# this is a recursive command
if(is.null(Exp)) {
# Return all expiries if Exp = NULL
out <- lapply(all.expiries, getOptionChain.yahoo, Symbols=Symbols, .expiry.known=TRUE)
# Expiry format was "%b %Y", but that's not unique with weeklies. Change
# format to "%b.%d.%Y" ("%Y-%m-%d wouldn't be good, since names should
# start with a letter or dot--naming things is hard).
return(setNames(out, format(all.expiries.posix, "%b.%d.%Y")))
}
else {
# Ensure data exist for user-provided expiry date(s)
if(inherits(Exp, "Date"))
valid.expiries <- as.Date(all.expiries.posix) %in% Exp
else if(inherits(Exp, "POSIXt"))
valid.expiries <- all.expiries.posix %in% Exp
else if(is.character(Exp)) {
expiry.range <- range(unlist(lapply(Exp, .parseISO8601, tz="UTC")))
valid.expiries <- all.expiries.posix >= expiry.range[1] &
all.expiries.posix <= expiry.range[2]
}
if(all(!valid.expiries))
stop("Provided expiry date(s) not found. Available dates are: ",
paste(as.Date(all.expiries.posix), collapse=", "))
expiry.subset <- all.expiries[valid.expiries]
if(length(expiry.subset) == 1)
return(getOptionChain.yahoo(Symbols, expiry.subset, .expiry.known=TRUE))
else {
out <- lapply(expiry.subset, getOptionChain.yahoo, Symbols=Symbols, .expiry.known=TRUE)
# See comment above regarding the output names
return(setNames(out, format(all.expiries.posix[valid.expiries], "%b.%d.%Y")))
}
}
}
dftables <- lapply(tbl$optionChain$result$options[[1]][,c("calls","puts")], `[[`, 1L)
#dftables <- mapply(NewToOld, x=dftables, SIMPLIFY=FALSE)
fix_date <- function(x) {
if(class(x) == "list")
return(NULL)
x$expiration <- .POSIXct(as.numeric(x$expiration), tz="UTC")
x$lastTradeDate <- .POSIXct(as.numeric(x$lastTradeDate), tz="UTC")
x <- x[,sort(names(x))]
return(x)
}
dftables <- lapply(dftables,fix_date)
dftables <- dftables[!sapply(dftables,is.null)]
dftables
}
}
# EXAMPLE to get all expiration in a single data.frame object
get_option_data <- function(tic) {
ds <- getOptionChain.yahoo(tic,NULL)
ds <- lapply(ds, function(ds_i) lapply(1:length(ds_i),
function(i) data.frame(Type = names(ds_i)[i], ds_i[[i]])) )
ds <- lapply(ds, function(ds_i) do.call(plyr::rbind.fill,ds_i) )
ds <- do.call(plyr::rbind.fill,ds)
ds$tic <- tic
ds$Date <- date(ds$lastTradeDate )
ds$Expiration <- date(ds$expiration)
today_date <- as.character(today())
today_date <- paste(strsplit(today_date,"-")[[1]],collapse = "_")
ds$expiration <- date( ds$expiration)
ds$lastTradeDate <- date(ds$lastTradeDate)
ds$tau <- as.numeric(ds$expiration - ds$lastTradeDate)/252
ds$mid <- (ds$ask + ds$bid)/2
ds1 <- ds
# add spot price
S <- get(getSymbols(tic))[,6]
ds2 <- data.frame(lastTradeDate = date(S), Spot = as.numeric(S))
ds12 <- merge(ds1,ds2, by = c("lastTradeDate"))
return(ds12)
}