Merge pull request #24 from westonplatter/historicals

Historical Data - options

examples/historical_option_data_example.py

@@ -0,0 +1,51 @@
+import configparser
+from fast_arrow import (
+    Client,
+    Stock,
+    Option,
+    OptionChain,
+    OptionMarketdata
+)
+
+#
+# get the authentication configs
+#
+config_file = "config.debug.ini"
+config = configparser.ConfigParser()
+config.read(config_file)
+username = config['account']['username']
+password = config['account']['password']
+
+#
+# instantiate and authetnicate client
+#
+client = Client(username=username, password=password)
+client.authenticate()
+
+#
+# get TLT options
+#
+symbol = "TLT"
+stock = Stock.fetch(client, symbol)
+
+stock_id = stock["id"]
+oc = OptionChain.fetch(client, stock_id, symbol)
+oc_id = oc["id"]
+next_2_eds = oc['expiration_dates'][0:1]
+ops = Option.in_chain(client, oc_id, expiration_dates=next_2_eds)
+
+#
+# get TLT in the middle of the current TLT trading range
+#
+urls = [op["url"] for op in ops]
+import math
+middle = math.floor(len(urls)/2)
+diff = math.floor(len(urls) * 0.7)
+lower_end = middle - diff
+higher_end = middle + diff
+urls_subset = urls[lower_end:higher_end]
+
+#
+# get historical data for TLT options
+#
+hd = OptionMarketdata.historical_quotes_by_urls(client, urls_subset, span="year")

examples/option_chain_example.py

@@ -51,6 +51,7 @@
 #
 ops = Option.in_chain(client, option_chain_id, expiration_dates=next_3_expiration_dates)
 
+
 #
 # merge in market data fro TLT option instruments
 #

fast_arrow/resources/option.py

@@ -27,6 +27,9 @@ def fetch_by_ids(cls, client, ids):
             results.extend(data["results"])
         return results
 
+    @classmethod
+    def fetch_by_id(cls, bearer, _id):
+        return cls.fetch_by_ids(bearer, [_id])
 
     # deprecate me
     @classmethod

fast_arrow/resources/option_marketdata.py

@@ -8,41 +8,65 @@ def quote_by_instrument_id(cls, client, _id):
         return cls.quotes_by_instrument_ids(client, [_id])[0]
 
 
-    @classmethod
-    def quote_by_instrument_url(cls, client, url):
-        return cls.quotes_by_instrument_urls(client, [url])[0]
-
-
     @classmethod
     def quotes_by_instrument_ids(cls, client, ids):
-        """
-        create instrument urls, fetch, return results
-        """
         base_url = "https://api.robinhood.com/options/instruments/"
         id_urls = ["{}{}/".format(base_url, _id) for _id in ids]
         return cls.quotes_by_instrument_urls(client, id_urls)
 
 
+    @classmethod
+    def quote_by_instrument_url(cls, client, url):
+        return cls.quotes_by_instrument_urls(client, [url])[0]
+
+
     @classmethod
     def quotes_by_instrument_urls(cls, client, urls):
-        """
-        fetch and return results
-        note - data requests are batched to limit urls to 50 per http request
-        """
         results = []
-
-        for _urls in chunked_list(urls, 25):
+        for _urls in chunked_list(urls, 50):
             url = "https://api.robinhood.com/marketdata/options/"
             params = {"instruments": ",".join(_urls)}
             data = client.get(url, params=params)
-
             if data and "results" in data:
-
                 partial_results = data["results"]
-
                 while ("next" in data and data["next"]):
                     data = get(data["next"], bearer=bearer)
                     partial_results.extend(data["results"])
-
                 results.extend(partial_results)
         return results
+
+
+    @classmethod
+    def historical_quote_by_id(cls, client, _id, span="year"):
+        return cls.historical_quotes_by_ids(client, [_id], span)[0]
+
+
+    @classmethod
+    def historical_quotes_by_ids(cls, client, ids, span="year"):
+        base_url = "https://api.robinhood.com/options/instruments/"
+        urls = ["{}{}/".format(base_url, _id) for _id in ids]
+        return cls.historical_quotes_by_urls(client, urls)
+
+
+    @classmethod
+    def historical_quote_by_url(cls, client, url, span="year"):
+        return cls.historical_quotes_by_urls(client, [url], span)[0]
+
+
+    @classmethod
+    def historical_quotes_by_urls(cls, client, urls, span="year"):
+        possible_intervals = {
+            "day": "5minute",
+            "week": "10minute",
+            "year": "day",
+            "5year": "week" }
+        assert span in possible_intervals.keys()
+        interval = possible_intervals[span]
+        results = []
+        request_url = "https://api.robinhood.com/marketdata/options/historicals/"
+        for _urls in chunked_list(urls, 5):
+            params = { "span": span, "interval": interval, "instruments": ",".join(_urls) }
+            data = client.get(request_url, params=params)
+            if data and data["results"]:
+                results.extend(data["results"])
+        return results

setup.py

@@ -37,7 +37,7 @@ def run_tests(self):
     'vcrpy']
 
 setup(name='fast_arrow',
-    version='0.2.0',
+    version='0.2.1',
     description='API client for Robinhood',
     long_description=long_description,
     long_description_content_type="text/markdown",