option filter

Author: tigersk

tigeropen/common/consts/__init__.py

@@ -12,6 +12,7 @@
 from .quote_keys import QuoteChangeKey, QuoteKeyType
 
 OPEN_API_SERVICE_VERSION = "2.0"
+OPEN_API_SERVICE_VERSION_V3 = "3.0"
 
 THREAD_LOCAL = threading.local()
 

tigeropen/common/util/string_utils.py

@@ -6,6 +6,8 @@
 """
 import re
 
+CAMEL_PATTERN = re.compile(r'([a-z]|\d)([A-Z])')
+
 
 def add_start_end(key, start_marker, end_marker):
     if key.find(start_marker) < 0:
@@ -16,8 +18,4 @@ def add_start_end(key, start_marker, end_marker):
 
 
 def camel_to_underline(hunp_str):
-    p = re.compile(r'([a-z]|\d)([A-Z])')
-    sub = re.sub(p, r'\1_\2', hunp_str).lower()
-    return sub
-
-
+    return re.sub(CAMEL_PATTERN, r'\1_\2', hunp_str).lower()

tigeropen/examples/quote_client_demo.py

@@ -8,6 +8,7 @@
 import pandas as pd
 from tigeropen.common.consts import Market, QuoteRight, FinancialReportPeriodType, Valuation, \
     Income, Balance, CashFlow, BalanceSheetRatio, Growth, Leverage, Profitability, IndustryLevel
+from tigeropen.quote.domain.filter import OptionFilter
 
 from tigeropen.quote.quote_client import QuoteClient
 
@@ -66,6 +67,19 @@ def get_option_quote():
     ticks = openapi_client.get_option_trade_ticks(['AAPL  190104P00134000'])
     print(ticks)
 
+    # option chain filter
+    option_filter = OptionFilter(implied_volatility_min=0.5, implied_volatility_max=0.9, delta_min=0, delta_max=1,
+                                 open_interest_min=100, gamma_min=0.005, theta_max=-0.05, in_the_money=True)
+    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', option_filter=option_filter)
+    print(chains)
+    # or
+    chains = openapi_client.get_option_chain('AAPL', '2023-01-20', implied_volatility_min=0.5, open_interest_min=200,
+                                             vega_min=0.1, rho_max=0.9)
+    # convert expiry date to US/Eastern
+    chains['expiry_date'] = pd.to_datetime(chains['expiry'], unit='ms').dt.tz_localize('UTC').dt.tz_convert('US/Eastern')
+    print(chains)
+
+
 
 def get_future_quote():
     exchanges = openapi_client.get_future_exchanges()

tigeropen/quote/domain/filter.py

@@ -0,0 +1,58 @@
+# -*- coding: utf-8 -*-
+# 
+# @Date    : 2021/11/15
+# @Author  : sukai
+
+GREEKS = ['delta', 'gamma', 'theta', 'vega', 'rho']
+
+
+class OptionFilter:
+    def __init__(self, implied_volatility_min=None, implied_volatility_max=None, open_interest_min=None,
+                 open_interest_max=None, delta_min=None, delta_max=None, gamma_min=None, gamma_max=None,
+                 theta_min=None, theta_max=None, vega_min=None, vega_max=None, rho_min=None, rho_max=None,
+                 in_the_money=None):
+        """
+        option filter
+        :param implied_volatility_min:
+        :param implied_volatility_max:
+        :param open_interest_min:
+        :param open_interest_max:
+        :param delta_min:
+        :param delta_max:
+        :param gamma_min:
+        :param gamma_max:
+        :param theta_min:
+        :param theta_max:
+        :param vega_min:
+        :param vega_max:
+        :param rho_min:
+        :param rho_max:
+        :param in_the_money:
+        """
+        self.implied_volatility_min = implied_volatility_min
+        self.implied_volatility_max = implied_volatility_max
+        self.open_interest_min = open_interest_min
+        self.open_interest_max = open_interest_max
+        self.delta_min = delta_min
+        self.delta_max = delta_max
+        self.gamma_min = gamma_min
+        self.gamma_max = gamma_max
+        self.theta_min = theta_min
+        self.theta_max = theta_max
+        self.vega_min = vega_min
+        self.vega_max = vega_max
+        self.rho_min = rho_min
+        self.rho_max = rho_max
+        self.in_the_money = in_the_money
+
+    def to_dict(self):
+        return {'greeks': self._get_greeks(),
+                'implied_volatility': self._min_max('implied_volatility'),
+                'open_interest': self._min_max('open_interest'),
+                'in_the_money': self.in_the_money}
+
+    def _get_greeks(self):
+        return {greek: self._min_max(greek) for greek in GREEKS}
+
+    def _min_max(self, k):
+        return {'min': getattr(self, k + '_min'), 'max': getattr(self, k + '_max')}

tigeropen/quote/quote_client.py

@@ -10,7 +10,7 @@
 
 import delorean
 
-from tigeropen.common.consts import Market, Language, QuoteRight, BarPeriod
+from tigeropen.common.consts import Market, Language, QuoteRight, BarPeriod, OPEN_API_SERVICE_VERSION_V3
 from tigeropen.common.consts import THREAD_LOCAL, SecurityType, CorporateActionType, IndustryLevel
 from tigeropen.common.consts.service_types import GRAB_QUOTE_PERMISSION
 from tigeropen.common.consts.service_types import MARKET_STATE, ALL_SYMBOLS, ALL_SYMBOL_NAMES, BRIEF, \
@@ -31,10 +31,11 @@
 from tigeropen.fundamental.response.financial_report_response import FinancialReportResponse
 from tigeropen.fundamental.response.industry_response import IndustryListResponse, IndustryStocksResponse, \
     StockIndustryResponse
+from tigeropen.quote.domain.filter import OptionFilter
 from tigeropen.quote.request import OpenApiRequest
 from tigeropen.quote.request.model import MarketParams, MultipleQuoteParams, MultipleContractParams, \
     FutureQuoteParams, FutureExchangeParams, FutureTypeParams, FutureTradingTimeParams, SingleContractParams, \
-    SingleOptionQuoteParams, DepthQuoteParams
+    SingleOptionQuoteParams, DepthQuoteParams, OptionChainParams
 from tigeropen.quote.response.future_briefs_response import FutureBriefsResponse
 from tigeropen.quote.response.future_contract_response import FutureContractResponse
 from tigeropen.quote.response.future_exchange_response import FutureExchangeResponse
@@ -508,35 +509,40 @@ def get_option_expirations(self, symbols):
 
         return None
 
-    def get_option_chain(self, symbol, expiry):
-        """
-        获取美股期权链
-        :param symbol: 股票代码
-        :param expiry: 过期日 ( 类似 '2021-06-18' 或者 1560484800000 )
-        :return: pandas.DataFrame，各 column 含义如下：
-            identifier: 期权代码
-            symbol: 期权对应的正股代码
-            expiry: 期权到期日，毫秒级别的时间戳
-            strike: 行权价
-            put_call: 期权的方向
-            multiplier: 乘数
-            ask_price: 卖价
-            ask_size: 卖量
-            bid_price: 买价
-            bid_size: 买量
-            pre_close: 前收价
-            latest_price: 最新价
-            volume: 成交量
-            open_interest: 未平仓数量
-        """
-        params = MultipleContractParams()
+    def get_option_chain(self, symbol, expiry, option_filter=None, **kwargs):
+        """
+        query option chain with filter
+        :param symbol: underlying stock symbol
+        :param expiry: expiration date ( like '2021-06-18' or 1560484800000 )
+        :param option_filter: option filter conditions, tigeropen.quote.domain.filter.OptionFilter
+        :param kwargs: optional. specify option_filter parameters directly without option_filer,
+                        like: open_interest_min=100, delta_min=0.1
+        :return: pandas.DataFrame，the columns are as follows：
+            identifier: option identifier
+            symbol: underlying stock symbol
+            expiry: option expiration date. timestamp in millisecond, like 1560484800000
+            strike: strike price
+            put_call: option direction. 'CALL' or 'PUT'
+            multiplier: option multiplier
+            ask_price:
+            ask_size:
+            bid_price:
+            bid_size:
+            pre_close:
+            latest_price:
+            volume:
+            open_interest:
+        """
+        params = OptionChainParams()
         param = SingleContractParams()
         param.symbol = symbol
         if isinstance(expiry, str) and re.match('[0-9]{4}-[0-9]{2}-[0-9]{2}', expiry):
             param.expiry = int(delorean.parse(expiry, timezone=eastern, dayfirst=False).datetime.timestamp() * 1000)
         else:
             param.expiry = expiry
         params.contracts = [param]
+        params.option_filter = option_filter if option_filter else OptionFilter(**kwargs)
+        params.version = OPEN_API_SERVICE_VERSION_V3
         request = OpenApiRequest(OPTION_CHAIN, biz_model=params)
         response_content = self.__fetch_data(request)
         if response_content:

tigeropen/quote/request/model.py

@@ -708,3 +708,36 @@ def to_openapi_dict(self):
         if self.market:
             params['market'] = self.market
         return params
+
+
+class OptionChainParams(BaseParams):
+    def __init__(self):
+        super(OptionChainParams, self).__init__()
+        self._contracts = None
+        self._option_filter = None
+
+    @property
+    def contracts(self):
+        return self._contracts
+
+    @contracts.setter
+    def contracts(self, value):
+        self._contracts = value
+
+    @property
+    def option_filter(self):
+        return self._option_filter
+
+    @option_filter.setter
+    def option_filter(self, value):
+        self._option_filter = value
+
+    def to_openapi_dict(self):
+        params = {'option_basic': list(), 'option_filter': dict()}
+
+        if self.contracts:
+            for contract in self.contracts:
+                params['option_basic'].append(contract.to_openapi_dict())
+        if self.option_filter:
+            params['option_filter'] = self.option_filter.to_dict()
+        return params

tigeropen/quote/response/option_chains_response.py

@@ -7,12 +7,9 @@
 import pandas as pd
 
 from tigeropen.common.response import TigerResponse
+from tigeropen.common.util import string_utils
 
-COLUMNS = ['identifier', 'symbol', 'expiry', 'strike', 'put_call', 'multiplier', 'ask_price', 'ask_size', 'bid_price',
-           'bid_size', 'pre_close', 'latest_price', 'volume', 'open_interest']
-CHAIN_FIELD_MAPPINGS = {'askPrice': 'ask_price', 'askSize': 'ask_size', 'bidPrice': 'bid_price', 'bidSize': 'bid_size',
-                        'latestPrice': 'latest_price', 'openInterest': 'open_interest', 'preClose': 'pre_close',
-                        'right': 'put_call'}
+CHAIN_FIELD_MAPPINGS = {'right': 'put_call'}
 
 
 class OptionChainsResponse(TigerResponse):
@@ -25,7 +22,6 @@ def parse_response_content(self, response_content):
         response = super(OptionChainsResponse, self).parse_response_content(response_content)
         if 'is_success' in response:
             self._is_success = response['is_success']
-
         if self.data and isinstance(self.data, list):
             chain_data = []
             for item in self.data:
@@ -41,8 +37,6 @@ def parse_response_content(self, response_content):
                                     continue
                                 if key == 'right':
                                     value = value.upper()
-                                tag = CHAIN_FIELD_MAPPINGS[key] if key in CHAIN_FIELD_MAPPINGS else key
-                                item_values[tag] = value
-                            chain_data.append([item_values.get(tag) for tag in COLUMNS])
-
-            self.chain = pd.DataFrame(chain_data, columns=COLUMNS)
+                                item_values[CHAIN_FIELD_MAPPINGS.get(key, string_utils.camel_to_underline(key))] = value
+                            chain_data.append(item_values)
+            self.chain = pd.DataFrame(chain_data)