Add orats source for getOptionChain()

R/getOptionChain.R

@@ -103,3 +103,107 @@ getOptionChain.yahoo <- function(Symbols, Exp, ...)
   dftables
 }
 
+.make_orats_option_df <- function(option_df, call_cols, put_cols, extra_cols) {
+  call <- data.frame(
+    Ticker = option_df$ticker,
+    Strike = option_df$strike,
+    Bid = option_df$callBidPrice,
+    Ask = option_df$callAskPrice,
+    Vol = option_df$callVolume,
+    OI = option_df$callOpenInterest)
+  put <- data.frame(
+    Ticker = option_df$ticker,
+    Strike = option_df$strike,
+    Bid = option_df$putBidPrice,
+    Ask = option_df$putAskPrice,
+    Vol = option_df$putVolume,
+    OI = option_df$putOpenInterest)
+  call_extra <- option_df[, c("ticker", "strike", call_cols)]
+  colnames(call_extra) <- gsub("call|Call", "", colnames(call_extra))
+  put_extra <- option_df[, c("ticker", "strike", put_cols)]
+  colnames(put_extra) <- gsub("put|Put", "", colnames(put_extra))
+  extra <- option_df[, extra_cols]
+  return(list(call = call, put = put, call_extra = call_extra, put_extra = put_extra, extra = extra))
+}
+
+
+getOptionChain.orats <- function(Symbols, Exp, api.key, dte, delta) {
+  if(!requireNamespace("jsonlite", quietly=TRUE))
+    stop("package:",dQuote("jsonlite"),"cannot be loaded.")
+
+  if (missing(api.key)) {
+    # Check if they have ORATS_API_KEY defined
+    orats_key <- Sys.getenv("ORATS_API_KEY")
+    if (orats_key == "") {
+      stop(paste0("For the orats API an API key must be provided either",
+       " as a function argument or via an environment variable ORATS_API_KEY"))
+    } else {
+      api.key <- orats_key
+    }
+  }
+  # Construct URL
+  base_url <- "https://api.orats.io/datav2/strikes.json"
+  urlExp <- paste0(base_url, "?token=", api.key,
+                  "&ticker=", paste0(Symbols, collapse=","))
+  if (!missing(dte)) {
+    if (length(dte) > 2) {
+      stop(paste0("Date to Expiry (dte) must be of size 2, but is size (", length(dte), ")"))
+    }
+    urlExp <- paste0(urlExp, "&dte=", paste0(dte, collapse = ","))
+  }
+  if (!missing(delta)) {
+    if (length(delta) > 2) {
+      stop(paste0("Date to Expiry (dte) must be of size 2, but is size (", length(delta), ")"))
+    }
+    urlExp <- paste0(urlExp, "&delta=", paste0(delta, collapse = ","))
+  }
+  # Fetch data (jsonlite::fromJSON will handle connection)
+  tbl <- jsonlite::fromJSON(urlExp)[["data"]]
+  tbl[, "expirDate"] <- as.POSIXct(tbl[, "expirDate"], format = "%Y-%m-%d")
+  tbl[, "tradeDate"] <- as.POSIXct(tbl[, "tradeDate"], format = "%Y-%m-%d")
+  tbl[, "updatedAt"] <- as.POSIXct(tbl[, "updatedAt"], format = "%Y-%m-%dT%H:%M:%SZ")
+  tbl[, "snapShotDate"] <- as.POSIXct(tbl[, "snapShotDate"], format = "%Y-%m-%dT%H:%M:%SZ")
+  tbl[, "quoteDate"] <- as.POSIXct(tbl[, "quoteDate"], format = "%Y-%m-%dT%H:%M:%SZ")
+  tbl_cols <- colnames(tbl)
+  call_cols <- tbl_cols[grep("call|Call", tolower(tbl_cols))]
+  put_cols <- tbl_cols[grep("put|Put", tolower(tbl_cols))]
+  extra_cols <- colnames(tbl)[!(colnames(tbl) %in% c(call_cols, put_cols))]
+  if(!missing(Exp)) {
+    if (is.null(Exp)) {
+      date_expr <- format(tbl[, "expirDate"], format = "%b.%d.%Y")
+      tbl2 <- split(tbl, factor(date_expr, levels = unique(date_expr)))
+      tbl3 <- lapply(tbl2, .make_orats_option_df, call_cols, put_cols, extra_cols)
+      return(tbl3)
+    } else {
+      all.expiries <- tbl$expirDate
+      all.expiries.posix <- .POSIXct(as.numeric(all.expiries), tz="UTC")
+      if(inherits(Exp, "Date")) {
+        valid.expiries <- as.Date(all.expiries.posix) %in% Exp
+      } else if(inherits(Exp, "POSIXt")) {
+        valid.expiries <- all.expiries.posix %in% Exp
+      } else if(is.character(Exp)) {
+        expiry.range <- range(unlist(lapply(Exp, .parseISO8601, tz="UTC")))
+        valid.expiries <- all.expiries.posix >= expiry.range[1] &
+          all.expiries.posix <= expiry.range[2]
+      }
+      if(all(!valid.expiries)) {
+        stop("Provided expiry date(s) [", paste0(Exp, collapse = ","), "] not found. Available dates are: ",
+             paste(as.Date(all.expiries.posix), collapse=", "))
+      }
+      exp_posixct <- as.POSIXct(Exp)
+      tbl_exp <- tbl[tbl$expirDate %in% exp_posixct,]
+      if (length(Exp) == 1) {
+        return(.make_orats_option_df(tbl_exp, call_cols, put_cols, extra_cols))
+      } else {
+        date_expr <- format(tbl_exp[, "expirDate"], format = "%b.%d.%Y")
+        tbl2 <- split(tbl_exp, factor(date_expr, levels = unique(date_expr)))
+        tbl3 <- lapply(tbl2, .make_orats_option_df, call_cols, put_cols, extra_cols)
+        return(tbl3)
+      }
+    }
+  } else {
+    tbl_exp <- tbl[tbl$expirDate == tbl$expirDate[1],]
+    return(.make_orats_option_df(tbl_exp, call_cols, put_cols, extra_cols))
+  }
+}
+

man/getOptionChain.Rd

@@ -6,15 +6,17 @@ Function to download option chain data from
 data providers.
 }
 \usage{
-getOptionChain(Symbols, Exp = NULL, src="yahoo", ...)
+getOptionChain(Symbols, Exp = NULL, src="yahoo", \dots)
 }
 \arguments{
-  \item{Symbols}{ The name of the underlying symbol. }
+  \item{Symbols}{ The name of the underlying symbol. Source \sQuote{yahoo} only 
+   allows for a single ticker while source \sQuote{orats} can return multiple tickers.}
   \item{Exp}{ One or more expiration dates, NULL, or an ISO-8601 style string.
     If \code{Exp} is missing, only the front month contract will be returned.
  }
-  \item{src}{ Source of data.  Currently only \sQuote{yahoo} is provided. }
-  \item{\dots}{ Additional parameters. }
+  \item{src}{ Source of data.  One of \sQuote{yahoo} or \sQuote{orats} with
+    a default of \sQuote{yahoo}.}
+  \item{\dots}{ Additional parameters.}
 }
 \details{
 This function is a wrapper to data-provider specific
@@ -32,8 +34,16 @@ If \code{Exp} is set to \code{NULL}, all expirations
 will be returned. Not explicitly setting will only
 return the front month.
 }
+<<<<<<< HEAD
 \references{ \url{https://finance.yahoo.com} }
 \author{ Jeffrey A. Ryan, Joshua M. Ulrich }
+=======
+\references{
+ \url{http://finance.yahoo.com},
+ \url{https://docs.orats.io/datav2-api-guide/data.html#strikes}
+}
+\author{ Jeffrey A. Ryan, Joshua M. Ulrich, Steve Bronder }
+>>>>>>> Adds orats source for getOptionChain()
 \examples{
 \dontrun{
 # Only the front-month expiry
@@ -42,6 +52,11 @@ AAPL.OPT <- getOptionChain("AAPL")
 AAPL.OPTS <- getOptionChain("AAPL", NULL)
 # All 2015 and 2016 expiries
 AAPL.2015 <- getOptionChain("AAPL", "2015/2016")
+# Using orats backend
+NFLX.AAPL.2021 <- getOptionChain(c("NFLX", "AAPL"), "2021", src = "orats", 
+  api.key = Sys.getenv("ORATS_API_KEY"))
 }
 }
+\seealso{\code{\link{getOptionChain.orats}}}
 \keyword{ utilities }% __ONLY ONE__ keyword per line
+

man/getOptionChain.orats.Rd

@@ -0,0 +1,62 @@
+\name{getOptionChain.orats}
+\alias{getOptionChain.orats}
+\title{ Download Option Chain Data from orats }
+\description{
+Function to download option chain data from orats.
+}
+\usage{
+getOptionChain.orats(Symbols, Exp, api.key, dte, delta)
+}
+\arguments{
+  \item{Symbols}{ The name of the underlying symbol. Source \sQuote{yahoo} only 
+   allows for a single ticker while source \sQuote{orats} can return multiple tickers.}
+  \item{Exp}{ One or more expiration dates, NULL, or an ISO-8601 style string.
+    If \code{Exp} is missing, only the front month contract will be returned.
+ }
+  \item{api.key}{ A character vector for the key given with an account for 
+   accessing the orats API. If missing, the function will look for an
+   environment variable \code{ORATS_API_KEY} containing the API key.}
+  \item{dte}{ A vector of two integers giving
+   a range of expiry dates to subset the results by.}
+  \item{delta}{A vector of two integers giving
+   a range deltas to subset the results by.}
+}
+\details{
+This function is a wrapper to data-provider specific
+APIs.  By default the data is sourced from yahoo.
+}
+\value{
+
+For orats, returns A named list containing five data.frames, one
+each for calls and puts that follows a similar form to the return 
+from yahoo, but does not have a Last price and instead has a
+Ticker column for multiple ticker requests. The *_extra data.frames
+contain additional information from the \sQuote{orats} API end point
+whose definitions are available at the URL in the references.
+If more than one expiration was requested, The results will be returned as
+a list within list of length \code{length(Exp)}.
+Each element of this list will be named with the expiration
+month, day, and year (\%b.\%d.\%Y).
+
+If \code{Exp} is set to \code{NULL}, all expirations
+will be returned. Not explicitly setting will only
+return the front month.
+}
+\references{
+ \url{https://docs.orats.io/datav2-api-guide/data.html#strikes}
+}
+\author{Steve Bronder }
+\examples{
+\dontrun{
+# Only the front-month expiry
+AAPL.OPT <- getOptionChain("AAPL", 
+  api.key = Sys.getenv("ORATS_API_KEY"))
+# All expiries
+AAPL.OPTS <- getOptionChain("AAPL", NULL,
+  api.key = Sys.getenv("ORATS_API_KEY"))
+# All 2015 and 2016 expiries
+AAPL.2015 <- getOptionChain("AAPL", "2015/2016", 
+  api.key = Sys.getenv("ORATS_API_KEY"))
+}
+}
+\keyword{ utilities }% __ONLY ONE__ keyword per line