pyetrade_option_chains

Exemplar code to download all option chains for a symbol using pyetrade (V1 Etrade API). This simple example code demonstrates how to grab credentials and download all the option chains from a single symbol and convert the etrade API response to common python dictionaries and lists.

Remember to fill in your personalized values for consumer_key and consumer_secret. You need to request user keys for the "production environment" from Etrade. This is a 3-5 day process. The "development environment" keys are only useful if you're developing code and want to test against a dummy environment. See E*TRADE's Getting Started guide.

Pyetrade has a number of pretty standard dependencies, including requests, requests_oauthlib, xmltodict

Install

git clone https://github.com/1rocketdude/pyetrade_option_chains.git
cd pyetrade_option_chains
python3 -m venv venv
source venv/bin/activate
pip install -r requirements.txt

Usage

To download all the option chains for AAPL and save into a JSON file named "AAPL_chains_YYYYMMDD-HHMMSS.json":

• Modify KEYS etrade_option_chains.py
• Run ./etrade_option_chains.py aapl or ./etrade_option_chains.py --sandbox aapl

Note: E*TRADE's sandbox doesn't actually produce correct option chains so this will return an error. The sandbox is still useful for debugging e.g. the OAuth stuff.

The JSON file will have one key called 'quote' which will contain the underlying data. Then each remaining key is a str representing the expiration date. The value will contain a list of all puts and calls as dictionaries.

To recover the python object, use something like:

import json
with open('AAPL_chains_YYYYMMDD-HHMMSS.json', 'rt') as f: aapl = json.load(f)