[Feature] Options Chains From YFinance

openbb_platform/extensions/derivatives/integration/test_derivatives_api.py

@@ -27,6 +27,7 @@ def headers():
  ({"provider": "intrinio", "symbol": "AAPL", "date": "2023-01-25"}),
  ({"provider": "cboe", "symbol": "AAPL", "use_cache": False}),
  ({"provider": "tradier", "symbol": "AAPL"}),
+ ({"provider": "yfinance", "symbol": "AAPL"}),
  (
  {
  "provider": "tmx",

openbb_platform/extensions/derivatives/integration/test_derivatives_python.py

@@ -23,6 +23,7 @@ def obb(pytestconfig):
  ({"provider": "intrinio", "symbol": "AAPL", "date": "2023-01-25"}),
  ({"provider": "cboe", "symbol": "AAPL", "use_cache": False}),
  ({"provider": "tradier", "symbol": "AAPL"}),
+ ({"provider": "yfinance", "symbol": "AAPL"}),
  (
  {
  "provider": "tmx",

openbb_platform/openbb/assets/reference.json

@@ -1199,7 +1199,7 @@
  },
  {
  "name": "provider",
- "type": "Literal['intrinio']",
+ "type": "Literal['intrinio', 'yfinance']",
  "description": "The provider to use for the query, by default None. If None, the provider specified in defaults is selected or 'intrinio' if there is no default.",
  "default": "intrinio",
  "optional": true
@@ -1214,7 +1214,8 @@
  "optional": true,
  "choices": null
  }
- ]
+ ],
+ "yfinance": []
  },
  "returns": {
  "OBBject": [
@@ -1225,7 +1226,7 @@
  },
  {
  "name": "provider",
- "type": "Optional[Literal['intrinio']]",
+ "type": "Optional[Literal['intrinio', 'yfinance']]",
  "description": "Provider name."
  },
  {
@@ -1601,6 +1602,32 @@
  "optional": true,
  "choices": null
  }
+ ],
+ "yfinance": [
+ {
+ "name": "dte",
+ "type": "int",
+ "description": "Days to expiration.",
+ "default": null,
+ "optional": true,
+ "choices": null
+ },
+ {
+ "name": "in_the_money",
+ "type": "bool",
+ "description": "Whether the option is in the money.",
+ "default": null,
+ "optional": true,
+ "choices": null
+ },
+ {
+ "name": "last_trade_timestamp",
+ "type": "datetime",
+ "description": "Timestamp for when the option was last traded.",
+ "default": null,
+ "optional": true,
+ "choices": null
+ }
  ]
  },
  "model": "OptionsChains"

openbb_platform/openbb/package/derivatives_options.py

@@ -25,7 +25,7 @@ def chains(
  self,
  symbol: Annotated[str, OpenBBField(description="Symbol to get data for.")],
  provider: Annotated[
- Optional[Literal["intrinio"]],
+ Optional[Literal["intrinio", "yfinance"]],
  OpenBBField(
  description="The provider to use for the query, by default None.\n If None, the provider specified in defaults is selected or 'intrinio' if there is\n no default."
  ),
@@ -38,7 +38,7 @@ def chains(
  ----------
  symbol : str
  Symbol to get data for.
- provider : Optional[Literal['intrinio']]
+ provider : Optional[Literal['intrinio', 'yfinance']]
  The provider to use for the query, by default None.
  If None, the provider specified in defaults is selected or 'intrinio' if there is
  no default.
@@ -50,7 +50,7 @@ def chains(
  OBBject
  results : List[OptionsChains]
  Serializable results.
- provider : Optional[Literal['intrinio']]
+ provider : Optional[Literal['intrinio', 'yfinance']]
  Provider name.
  warnings : Optional[List[Warning_]]
  List of warnings.
@@ -149,6 +149,12 @@ def chains(
  Rho of the option.
  exercise_style : Optional[str]
  The exercise style of the option, American or European. (provider: intrinio)
+ dte : Optional[int]
+ Days to expiration. (provider: yfinance)
+ in_the_money : Optional[bool]
+ Whether the option is in the money. (provider: yfinance)
+ last_trade_timestamp : Optional[datetime]
+ Timestamp for when the option was last traded. (provider: yfinance)
 
  Examples
  --------
@@ -165,7 +171,7 @@ def chains(
  "provider": self._get_provider(
  provider,
  "/derivatives/options/chains",
- ("intrinio",),
+ ("intrinio", "yfinance"),
  )
  },
  standard_params={

openbb_platform/providers/yfinance/openbb_yfinance/__init__.py

@@ -27,6 +27,7 @@
 from openbb_yfinance.models.key_executives import YFinanceKeyExecutivesFetcher
 from openbb_yfinance.models.key_metrics import YFinanceKeyMetricsFetcher
 from openbb_yfinance.models.losers import YFLosersFetcher
+from openbb_yfinance.models.options_chains import YFinanceOptionsChainsFetcher
 from openbb_yfinance.models.price_target_consensus import (
  YFinancePriceTargetConsensusFetcher,
 )
@@ -69,6 +70,7 @@
  "KeyExecutives": YFinanceKeyExecutivesFetcher,
  "KeyMetrics": YFinanceKeyMetricsFetcher,
  "MarketIndices": YFinanceIndexHistoricalFetcher,
+ "OptionsChains": YFinanceOptionsChainsFetcher,
  "PriceTargetConsensus": YFinancePriceTargetConsensusFetcher,
  "ShareStatistics": YFinanceShareStatisticsFetcher,
  },

openbb_platform/providers/yfinance/openbb_yfinance/models/options_chains.py

@@ -0,0 +1,159 @@
+"""YFinance Options Chains Model."""
+
+# pylint: disable=unused-argument
+
+import asyncio
+from datetime import datetime
+from typing import Any, Dict, List, Optional
+
+import yfinance as yf
+from openbb_core.provider.abstract.annotated_result import AnnotatedResult
+from openbb_core.provider.abstract.fetcher import Fetcher
+from openbb_core.provider.standard_models.options_chains import (
+ OptionsChainsData,
+ OptionsChainsQueryParams,
+)
+from openbb_core.provider.utils.errors import EmptyDataError
+from pandas import concat
+from pydantic import Field
+from pytz import timezone
+
+
+class YFinanceOptionsChainsQueryParams(OptionsChainsQueryParams):
+ """YFinance Options Chains Query Parameters."""
+
+
+class YFinanceOptionsChainsData(OptionsChainsData):
+ """YFinance Options Chains Data."""
+
+ __alias_dict__ = {
+ "contract_symbol": "contractSymbol",
+ "last_trade_timestamp": "lastTradeDate",
+ "last_trade_price": "lastPrice",
+ "change_percent": "percentChange",
+ "open_interest": "openInterest",
+ "implied_volatility": "impliedVolatility",
+ "in_the_money": "inTheMoney",
+ }
+ dte: Optional[int] = Field(
+ default=None,
+ description="Days to expiration.",
+ )
+ in_the_money: Optional[bool] = Field(
+ default=None,
+ description="Whether the option is in the money.",
+ )
+ last_trade_timestamp: Optional[datetime] = Field(
+ default=None,
+ description="Timestamp for when the option was last traded.",
+ )
+
+
+class YFinanceOptionsChainsFetcher(
+ Fetcher[YFinanceOptionsChainsQueryParams, List[YFinanceOptionsChainsData]]
+):
+ """YFinance Options Chains Fetcher."""
+
+ @staticmethod
+ def transform_query(params: Dict[str, Any]) -> YFinanceOptionsChainsQueryParams:
+ """Transform the query."""
+ return YFinanceOptionsChainsQueryParams(**params)
+
+ @staticmethod
+ async def aextract_data(
+ query: YFinanceOptionsChainsQueryParams,
+ credentials: Optional[Dict[str, str]],
+ **kwargs: Any,
+ ) -> Dict:
+ """Extract the raw data from YFinance."""
+ symbol = query.symbol.upper()
+ ticker = yf.Ticker(symbol)
+ expirations = list(ticker.options)
+ if not expirations or len(expirations) == 0:
+ raise ValueError(f"No options found for {symbol}")
+ chains_output: List = []
+ underlying = ticker.option_chain(expirations[0])[2]
+ underlying_output: Dict = {
+ "symbol": symbol,
+ "name": underlying.get("longName"),
+ "exchange": underlying.get("fullExchangeName"),
+ "exchange_tz": underlying.get("exchangeTimezoneName"),
+ "currency": underlying.get("currency"),
+ "bid": underlying.get("bid"),
+ "bid_size": underlying.get("bidSize"),
+ "ask": underlying.get("ask"),
+ "ask_size": underlying.get("askSize"),
+ "last_price": underlying.get(
+ "postMarketPrice", underlying.get("regularMarketPrice")
+ ),
+ "open": underlying.get("regularMarketOpen", None),
+ "high": underlying.get("regularMarketDayHigh", None),
+ "low": underlying.get("regularMarketDayLow", None),
+ "close": underlying.get("regularMarketPrice", None),
+ "prev_close": underlying.get("regularMarketPreviousClose", None),
+ "change": underlying.get("regularMarketChange", None),
+ "change_percent": underlying.get("regularMarketChangePercent", None),
+ "volume": underlying.get("regularMarketVolume", None),
+ "dividend_yield": float(underlying.get("dividendYield", 0)) / 100,
+ "dividend_yield_ttm": underlying.get("trailingAnnualDividendYield", None),
+ "year_high": underlying.get("fiftyTwoWeekHigh", None),
+ "year_low": underlying.get("fiftyTwoWeekLow", None),
+ "ma_50": underlying.get("fiftyDayAverage", None),
+ "ma_200": underlying.get("twoHundredDayAverage", None),
+ "volume_avg_10d": underlying.get("averageDailyVolume10Day", None),
+ "volume_avg_3m": underlying.get("averageDailyVolume3Month", None),
+ "market_cap": underlying.get("marketCap", None),
+ "shares_outstanding": underlying.get("sharesOutstanding", None),
+ }
+ tz = timezone(underlying_output.get("exchange_tz", "UTC"))
+
+ async def get_chain(ticker, expiration, tz):
+ """Get the data for one expiration."""
+ exp = datetime.strptime(expiration, "%Y-%m-%d").date()
+ now = datetime.now().date()
+ dte = (exp - now).days
+ calls = ticker.option_chain(expiration, tz=tz)[0]
+ calls["option_type"] = "call"
+ calls["expiration"] = expiration
+ puts = ticker.option_chain(expiration, tz=tz)[1]
+ puts["option_type"] = "put"
+ puts["expiration"] = expiration
+ chain = concat([calls, puts])
+ chain = (
+ chain.set_index(["strike", "option_type", "contractSymbol"])
+ .sort_index()
+ .reset_index()
+ )
+ chain["dte"] = dte
+ chain["percentChange"] = chain["percentChange"] / 100
+ for col in ["currency", "contractSize"]:
+ if col in chain.columns:
+ chain = chain.drop(col, axis=1)
+ if len(chain) > 0:
+ chains_output.extend(
+ chain.fillna("N/A").replace("N/A", None).to_dict("records")
+ )
+
+ await asyncio.gather(
+ *[get_chain(ticker, expiration, tz) for expiration in expirations]
+ )
+
+ if not chains_output:
+ raise EmptyDataError(f"No data was returned for {symbol}")
+ return {"underlying": underlying_output, "chains": chains_output}
+
+ @staticmethod
+ def transform_data(
+ query: YFinanceOptionsChainsQueryParams,
+ data: Dict,
+ **kwargs: Any,
+ ) -> List[YFinanceOptionsChainsData]:
+ """Transform the data."""
+ if not data:
+ raise EmptyDataError()
+ metadata = data.get("underlying", {})
+ records = data.get("chains", [])
+ return AnnotatedResult(
+ result=[YFinanceOptionsChainsData.model_validate(r) for r in records],
+ metadata=metadata,
+ )