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Live Option Chain Source Fix #7369

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Merged
Martin-Molinero merged 1 commit into from
Jul 11, 2023
Merged

Live Option Chain Source Fix #7369

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45 changes: 27 additions & 18 deletions Common/Extensions.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -206,35 +206,44 @@ public static List<string> DeserializeList(this string jsonArray)
/// <summary>
/// Helper method to download a provided url as a string
/// </summary>
/// <param name="client">The http client to use</param>
/// <param name="url">The url to download data from</param>
/// <param name="headers">Add custom headers for the request</param>
public static string DownloadData(this string url, Dictionary<string, string> headers = null)
public static string DownloadData(this HttpClient client, string url, Dictionary<string, string> headers = null)
{
using (var client = new HttpClient())
if (headers != null)
{
if (headers != null)
foreach (var kvp in headers)
{
foreach (var kvp in headers)
{
client.DefaultRequestHeaders.Add(kvp.Key, kvp.Value);
}
client.DefaultRequestHeaders.Add(kvp.Key, kvp.Value);
}
try
}
try
{
using (var response = client.GetAsync(url).Result)
{
using (var response = client.GetAsync(url).Result)
using (var content = response.Content)
{
using (var content = response.Content)
{
return content.ReadAsStringAsync().Result;
}
return content.ReadAsStringAsync().Result;
}
}
catch (WebException ex)
{
Log.Error(ex, $"DownloadData(): {Messages.Extensions.DownloadDataFailed(url)}");
return null;
}
}
catch (WebException ex)
{
Log.Error(ex, $"DownloadData(): {Messages.Extensions.DownloadDataFailed(url)}");
return null;
}
}

/// <summary>
/// Helper method to download a provided url as a string
/// </summary>
/// <param name="url">The url to download data from</param>
/// <param name="headers">Add custom headers for the request</param>
public static string DownloadData(this string url, Dictionary<string, string> headers = null)
{
using var client = new HttpClient();
return client.DownloadData(url, headers);
}

/// <summary>
Expand Down
41 changes: 22 additions & 19 deletions Engine/DataFeeds/LiveOptionChainProvider.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -39,7 +39,7 @@ public class LiveOptionChainProvider : BacktestingOptionChainProvider
private static readonly HttpClient _client;
private static readonly DateTime _epoch = new DateTime(1970, 1, 1);

private static readonly RateGate _rateGate = new RateGate(1, TimeSpan.FromSeconds(0.5));
private static RateGate _cmeRateGate;

private const string CMESymbolReplace = "{{SYMBOL}}";
private const string CMEProductCodeReplace = "{{PRODUCT_CODE}}";
Expand Down Expand Up @@ -81,30 +81,25 @@ public LiveOptionChainProvider(IDataCacheProvider dataCacheProvider, IMapFilePro
/// </summary>
/// <param name="symbol">The option or the underlying symbol to get the option chain for.
/// Providing the option allows targetting an option ticker different than the default e.g. SPXW</param>
/// <param name="date">Unused</param>
/// <param name="date">The date to ask for the option contract list for</param>
/// <returns>Option chain</returns>
/// <exception cref="ArgumentException">Option underlying Symbol is not Future or Equity</exception>
public override IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
{
var result = Enumerable.Empty<Symbol>();
HashSet<Symbol> result = null;
try
{
result = base.GetOptionContractList(symbol, date);
result = base.GetOptionContractList(symbol, date).ToHashSet();
}
catch (Exception ex)
{
result = new();
// this shouldn't happen but just in case let's log it
Log.Error(ex);
}

bool yielded = false;
foreach (var optionSymbol in result)
{
yielded = true;
yield return optionSymbol;
}

if (!yielded)
// during warmup we rely on the backtesting provider, but as we get closer to current time let's join the data with our live chain sources
if (date.Date >= DateTime.UtcNow.Date.AddDays(-5) || result.Count == 0)
{
var underlyingSymbol = symbol;
if (symbol.SecurityType.IsOption())
Expand All @@ -116,30 +111,35 @@ public override IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTim
if (underlyingSymbol.SecurityType == SecurityType.Equity || underlyingSymbol.SecurityType == SecurityType.Index)
{
var expectedOptionTicker = underlyingSymbol.Value;
if(underlyingSymbol.SecurityType == SecurityType.Index)
if (underlyingSymbol.SecurityType == SecurityType.Index)
{
expectedOptionTicker = symbol.ID.Symbol;
}

// Source data from TheOCC if we're trading equity or index options
foreach (var optionSymbol in GetEquityIndexOptionContractList(underlyingSymbol, expectedOptionTicker).Where(symbol => !IsContractExpired(symbol, date)))
{
yield return optionSymbol;
result.Add(optionSymbol);
}
}
else if (underlyingSymbol.SecurityType == SecurityType.Future)
{
// We get our data from CME if we're trading future options
foreach (var optionSymbol in GetFutureOptionContractList(underlyingSymbol, date).Where(symbol => !IsContractExpired(symbol, date)))
{
yield return optionSymbol;
result.Add(optionSymbol);
}
}
else
{
throw new ArgumentException("Option Underlying SecurityType is not supported. Supported types are: Equity, Index, Future");
}
}

foreach (var optionSymbol in result)
{
yield return optionSymbol;
}
}

private IEnumerable<Symbol> GetFutureOptionContractList(Symbol futureContractSymbol, DateTime date)
Expand All @@ -148,11 +148,14 @@ private IEnumerable<Symbol> GetFutureOptionContractList(Symbol futureContractSym
var retries = 0;
var maxRetries = 5;

// rate gate will start a timer in the background, so let's avoid it we if don't need it
_cmeRateGate ??= new RateGate(1, TimeSpan.FromSeconds(0.5));

while (++retries <= maxRetries)
{
try
{
_rateGate.WaitToProceed();
_cmeRateGate.WaitToProceed();

var productResponse = _client.GetAsync(CMEProductSlateURL.Replace(CMESymbolReplace, futureContractSymbol.ID.Symbol))
.SynchronouslyAwaitTaskResult();
Expand All @@ -173,7 +176,7 @@ private IEnumerable<Symbol> GetFutureOptionContractList(Symbol futureContractSym

var optionsTradesAndExpiries = CMEOptionsTradeDateAndExpirations.Replace(CMEProductCodeReplace, futureProductId.ToStringInvariant());

_rateGate.WaitToProceed();
_cmeRateGate.WaitToProceed();

var optionsTradesAndExpiriesResponse = _client.GetAsync(optionsTradesAndExpiries).SynchronouslyAwaitTaskResult();
optionsTradesAndExpiriesResponse.EnsureSuccessStatusCode();
Expand Down Expand Up @@ -211,7 +214,7 @@ private IEnumerable<Symbol> GetFutureOptionContractList(Symbol futureContractSym

var futureContractMonthCode = futureContractExpiration.Expiration.Code;

_rateGate.WaitToProceed();
_cmeRateGate.WaitToProceed();

// Subtract one day from now for settlement API since settlement may not be available for today yet
var optionChainQuotesResponseResult = _client.GetAsync(CMEOptionChainQuotesURL
Expand Down Expand Up @@ -331,7 +334,7 @@ private static IEnumerable<Symbol> FindOptionContracts(Symbol underlyingSymbol,
var url = "https://www.quantconnect.com/api/v2/theocc/series-search?symbolType=U&symbol=" + underlyingSymbol.Value;

// download the text file
var fileContent = url.DownloadData();
var fileContent = _client.DownloadData(url);

// read the lines, skipping the headers
var lines = fileContent.Split(new[] { "\r\n" }, StringSplitOptions.None).Skip(7);
Expand Down