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Changes to option_chain_fetcher.py

Summary

Completely refactored option_chain_fetcher.py from a trading bot to a data collection tool that fetches SPX option chain data and stores it in a SQLite database.

New Features

1. CLI Parameters

The script now accepts command-line arguments:

  • --max_dte: Maximum days to expiration (required for data fetching)
  • --min_strike: Minimum strike price (required for data fetching)
  • --max_strike: Maximum strike price (required for data fetching)
  • --symbol: Underlying symbol (optional, default: SPX)
  • --db_path: Database file path (optional, default: database/option_chain_data.db)
  • --clear_db: Clear all data from the database and exit (optional flag)

2. Data Collection

  • Fetches all option chains for expirations from 0 to max_dte days
  • Includes both CALL and PUT options for all strikes in the specified range
  • SPX/SPXW Handling: When requesting SPX or SPXW, automatically fetches BOTH:
    • SPX (monthly/quarterly expirations)
    • SPXW (weekly expirations)
  • Underlying Price Tracking: Fetches and stores the underlying symbol price at fetch time
    • For SPX/SPXW options, always fetches SPX price (not SPXW)
    • For other symbols, fetches the actual symbol price
    • Stores bid, ask, and mid prices
  • Retrieves bid/ask quotes using the existing MarketData class
  • Fetches all Greeks (delta, gamma, theta, vega, rho) for each option

3. SQLite Database

  • Stores all data in a SQLite database with proper indexing
  • Default location: database/option_chain_data.db
  • fetch_timestamp field records when each dataset was collected (ISO format)
  • Unique constraint on (fetch_timestamp, symbol) prevents duplicates
  • Indexed by fetch_timestamp and expiration_date for fast queries

4. Database Schema

Table: option_chain_data

  • fetch_timestamp (TEXT) - ISO timestamp when data was fetched
  • symbol (TEXT) - Option symbol
  • expiration_date (TEXT) - Expiration date
  • strike_price (REAL) - Strike price
  • option_type (TEXT) - 'CALL' or 'PUT'
  • bid_price, ask_price, mid_price (REAL) - Quote data
  • delta, gamma, theta, vega, rho (REAL) - Greeks
  • days_to_expiration (INTEGER) - DTE

Table: underlying_prices

  • fetch_timestamp (TEXT) - ISO timestamp when data was fetched
  • symbol (TEXT) - Underlying symbol (e.g., SPX)
  • price (REAL) - Mid price of underlying
  • bid_price (REAL) - Bid price of underlying
  • ask_price (REAL) - Ask price of underlying

Note: For SPX/SPXW options, the underlying price is always recorded as SPX (not SPXW), as both option types reference the same underlying index.

Usage Examples

# Fetch 0-7 DTE options with strikes 5800-6000
python option_chain_fetcher.py --max_dte 7 --min_strike 5800 --max_strike 6000

# Clear all data from the database
python option_chain_fetcher.py --clear_db

# Clear a specific database
python option_chain_fetcher.py --clear_db --db_path my_data.db

Additional Files Created

1. export_to_json.py

Python script to export database to JSON files:

  • One JSON file per expiration date
  • Data organized by strike with CALL/PUT sub-records
  • Extensive CLI filtering options:
    • --start_date, --end_date: Filter by expiration date range
    • --min_strike, --max_strike: Filter by strike range
    • --min_delta, --max_delta: Filter by absolute delta
    • --expiration_date: Export single expiration
    • --fetch_timestamp: Export specific fetch
  • Clean JSON structure ideal for analysis and visualization

Example:

# Export Oct 6-10, strikes 5800-6000, deltas 0.25-0.45
python export_to_json.py \
    --start_date 2025-10-06 \
    --end_date 2025-10-10 \
    --min_strike 5800 \
    --max_strike 6000 \
    --min_delta 0.25 \
    --max_delta 0.45

2. JSON_EXPORT_GUIDE.md

Complete documentation for the JSON export script:

  • JSON structure explanation
  • All CLI parameters
  • Usage examples for various scenarios
  • Code examples in Python and JavaScript
  • Data analysis examples

3. OPTION_CHAIN_USAGE.md

Comprehensive usage guide including:

  • Parameter descriptions
  • Multiple usage examples
  • Database schema documentation
  • Query examples

4. query_option_data.py

Helper script to query the database with multiple modes:

  • list: Show all available fetch timestamps
  • summary: Display statistics for a fetch
  • delta: Query options by delta range
  • expiration: Query options for a specific expiration date

Example:

# Show summary of latest fetch
python query_option_data.py --action summary

# Find CALLs with delta 0.25-0.35
python query_option_data.py --action delta --option_type CALL --min_delta 0.25 --max_delta 0.35

Technical Details

Logging

  • Logs to option_chain_fetcher.log and console
  • INFO level for normal operations
  • WARNING for missing data
  • ERROR with stack traces for failures

Error Handling

  • Gracefully handles missing quotes or Greeks
  • Continues fetching even if some symbols fail
  • Logs warnings for incomplete data

Performance

  • Fetches quotes and Greeks separately with retry logic
  • Maximum 50 attempts per data type with 5-second intervals
  • Stores data in single transaction for consistency

SPX Symbol Handling

  • Automatically detects SPX/SPXW symbols (case-insensitive)
  • Fetches both symbol types in a single run
  • Error handling for each symbol independently (if one fails, the other continues)
  • Combined results in single database with all expirations

Folder Structure

The project now organizes data files in dedicated directories:

spx_option_chain_fetcher/
├── database/              # SQLite database files (gitignored)
│   └── option_chain_data.db
├── json_exports/          # Exported JSON files (gitignored)
│   └── spx_options_*.json
├── *.log                  # Log files (gitignored)
└── ...

Note: Both database/ and json_exports/ directories are automatically created when needed and are excluded from git.

Dependencies

All required dependencies are already in requirements.txt:

  • tastytrade
  • python-dotenv
  • sqlite3 (built-in to Python)

Backward Compatibility

This is a complete refactor. The old trading bot functionality has been removed. If you need the old functionality, retrieve it from git history.