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Move getOptionChain.orats to its own file
See #325.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,121 @@ | ||
| # | ||
| # quantmod: Quantitative Financial Modelling Framework | ||
| # | ||
| # Copyright (C) 2021 Joshua M. Ulrich, Steve Bronder | ||
| # | ||
| # This program is free software: you can redistribute it and/or modify | ||
| # it under the terms of the GNU General Public License as published by | ||
| # the Free Software Foundation, either version 3 of the License, or | ||
| # (at your option) any later version. | ||
| # | ||
| # This program is distributed in the hope that it will be useful, | ||
| # but WITHOUT ANY WARRANTY; without even the implied warranty of | ||
| # MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the | ||
| # GNU General Public License for more details. | ||
| # | ||
| # You should have received a copy of the GNU General Public License | ||
| # along with this program. If not, see <http://www.gnu.org/licenses/>. | ||
| # | ||
|
|
||
| .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)) | ||
| } | ||
| } |