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[Feature] Options Chains From YFinance (#6468)
* add yfinance to options chains * Explicit None --------- Co-authored-by: Igor Radovanovic <[email protected]>
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159
openbb_platform/providers/yfinance/openbb_yfinance/models/options_chains.py
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,159 @@ | ||
| """YFinance Options Chains Model.""" | ||
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| # pylint: disable=unused-argument | ||
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| import asyncio | ||
| from datetime import datetime | ||
| from typing import Any, Dict, List, Optional | ||
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| 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 | ||
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| class YFinanceOptionsChainsQueryParams(OptionsChainsQueryParams): | ||
| """YFinance Options Chains Query Parameters.""" | ||
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| class YFinanceOptionsChainsData(OptionsChainsData): | ||
| """YFinance Options Chains Data.""" | ||
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| __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.", | ||
| ) | ||
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| class YFinanceOptionsChainsFetcher( | ||
| Fetcher[YFinanceOptionsChainsQueryParams, List[YFinanceOptionsChainsData]] | ||
| ): | ||
| """YFinance Options Chains Fetcher.""" | ||
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| @staticmethod | ||
| def transform_query(params: Dict[str, Any]) -> YFinanceOptionsChainsQueryParams: | ||
| """Transform the query.""" | ||
| return YFinanceOptionsChainsQueryParams(**params) | ||
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| @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")) | ||
|
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| 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") | ||
| ) | ||
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| await asyncio.gather( | ||
| *[get_chain(ticker, expiration, tz) for expiration in expirations] | ||
| ) | ||
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| if not chains_output: | ||
| raise EmptyDataError(f"No data was returned for {symbol}") | ||
| return {"underlying": underlying_output, "chains": chains_output} | ||
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| @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, | ||
| ) |
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