Add option chain quote support!
Tyler Goodlet
parent
666228d82e
commit
f9d9d7c1ba
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@ -2,9 +2,10 @@
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Questrade API backend.
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"""
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import time
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import datetime
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from datetime import datetime
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from functools import partial
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import configparser
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from typing import List, Tuple, Dict, Any
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import trio
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from async_generator import asynccontextmanager
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@ -29,6 +30,73 @@ class QuestradeError(Exception):
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"Non-200 OK response code"
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class _API:
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"""Questrade API endpoints exposed as methods and wrapped with an
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http session.
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"""
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def __init__(self, session: asks.Session):
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self._sess = session
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async def _request(self, path: str, params=None) -> dict:
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resp = await self._sess.get(path=f'/{path}', params=params)
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return resproc(resp, log)
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async def accounts(self) -> dict:
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return await self._request('accounts')
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async def time(self) -> dict:
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return await self._request('time')
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async def markets(self) -> dict:
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return await self._request('markets')
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async def search(self, prefix: str) -> dict:
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return await self._request(
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'symbols/search', params={'prefix': prefix})
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async def symbols(self, ids: str = '', names: str = '') -> dict:
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log.debug(f"Symbol lookup for {ids or names}")
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return await self._request(
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'symbols', params={'ids': ids, 'names': names})
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async def quotes(self, ids: str) -> dict:
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return await self._request('markets/quotes', params={'ids': ids})
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async def candles(self, id: str, start: str, end, interval) -> dict:
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return await self._request(f'markets/candles/{id}', params={})
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async def balances(self, id: str) -> dict:
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return await self._request(f'accounts/{id}/balances')
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async def postions(self, id: str) -> dict:
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return await self._request(f'accounts/{id}/positions')
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async def option_contracts(self, symbol_id: str) -> dict:
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"Retrieve all option contract API ids with expiry -> strike prices."
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contracts = await self._request(f'symbols/{symbol_id}/options')
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return contracts['optionChain']
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async def option_quotes(
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self,
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ids: List[int],
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expiry: str,
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option_ids: List[int] = [], # if you don't want them all
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) -> dict:
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"Retrieve option chain quotes for all option ids or by filter(s)."
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filters = [
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{
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"underlyingId": int(symbol_id),
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"expiryDate": str(expiry),
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} for symbol_id in ids
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]
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resp = await self._sess.post(
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path=f'/markets/quotes/options',
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json={'filters': filters, 'optionIds': option_ids}
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)
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return resproc(resp, log)
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class Client:
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"""API client suitable for use as a long running broker daemon or
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single api requests.
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@ -100,7 +168,7 @@ class Client:
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"""
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access_token = self.access_data.get('access_token')
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expires = float(self.access_data.get('expires_at', 0))
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expires_stamp = datetime.datetime.fromtimestamp(
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expires_stamp = datetime.fromtimestamp(
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expires).strftime('%Y-%m-%d %H:%M:%S')
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if not access_token or (expires < time.time()) or force_refresh:
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log.debug(
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@ -147,15 +215,26 @@ class Client:
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data = await self.api.symbols(names=','.join(tickers))
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symbols2ids = {}
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for ticker, symbol in zip(tickers, data['symbols']):
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symbols2ids[symbol['symbol']] = symbol['symbolId']
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symbols2ids[symbol['symbol']] = str(symbol['symbolId'])
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return symbols2ids
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async def quote(self, tickers: [str]):
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"""Return quotes for each ticker in ``tickers``.
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async def symbol_data(self, tickers: List[str]):
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"""Return symbol data for ``tickers``.
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"""
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t2ids = await self.tickers2ids(tickers)
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ids = ','.join(map(str, t2ids.values()))
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ids = ','.join(t2ids.values())
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symbols = {}
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for pkt in (await self.api.symbols(ids=ids))['symbols']:
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symbols[pkt['symbol']] = pkt
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return symbols
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async def quote(self, tickers: [str]):
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"""Return stock quotes for each ticker in ``tickers``.
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"""
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t2ids = await self.tickers2ids(tickers)
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ids = ','.join(t2ids.values())
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results = (await self.api.quotes(ids=ids))['quotes']
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quotes = {quote['symbol']: quote for quote in results}
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@ -167,58 +246,59 @@ class Client:
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return quotes
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async def symbol_data(self, tickers: [str]):
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"""Return symbol data for ``tickers``.
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async def option_contracts(
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self,
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symbol: str
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) -> Tuple[int, Dict[datetime, dict]]:
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"""Return option contract dat for the given symbol.
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The most useful part is the expiries which can be passed to the option
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chain endpoint but specifc contract ids can be pulled here as well.
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"""
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t2ids = await self.tickers2ids(tickers)
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ids = ','.join(map(str, t2ids.values()))
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symbols = {}
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for pkt in (await self.api.symbols(ids=ids))['symbols']:
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symbols[pkt['symbol']] = pkt
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id = int((await self.tickers2ids([symbol]))[symbol])
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contracts = await self.api.option_contracts(id)
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return id, {
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# convert to native datetime objs for sorting
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datetime.fromisoformat(item['expiryDate']):
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item for item in contracts
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}
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return symbols
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async def max_contract_expiry(
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self,
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symbols: List[str]
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) -> Tuple[List[int], datetime]:
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"""Look up all contracts for each symbol in ``symbols`` and return the
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list of symbol ids as well as the maximum possible option contract
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expiry out of the bunch.
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This routine is a bit slow doing all the contract lookups (a request
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per symbol) and thus the return values should be cached for use with
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``option_chains()``.
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"""
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batch = {}
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for symbol in symbols:
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id, contracts = await self.option_contracts(symbol)
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batch[id] = max(contracts)
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class _API:
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"""Questrade API endpoints exposed as methods and wrapped with an
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http session.
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"""
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def __init__(self, session: asks.Session):
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self._sess = session
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return tuple(batch.keys()), max(batch.values())
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async def _request(self, path: str, params=None) -> dict:
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resp = await self._sess.get(path=f'/{path}', params=params)
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return resproc(resp, log)
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async def option_chains(
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self,
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symbol_ids: List[int],
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max_expiry: str # iso format datetime (microseconds)
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) -> Dict[str, Dict[str, Dict[str, Any]]]:
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"""Return option chain snap quote for each ticker in ``symbols``.
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"""
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quotes = (await self.api.option_quotes(
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ids=symbol_ids,
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expiry=max_expiry.isoformat(timespec='microseconds')
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))['optionQuotes']
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async def accounts(self) -> dict:
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return await self._request('accounts')
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batch = {}
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for quote in quotes:
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batch.setdefault(quote['underlying'], {})[quote['symbol']] = quote
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async def time(self) -> dict:
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return await self._request('time')
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async def markets(self) -> dict:
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return await self._request('markets')
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async def search(self, prefix: str) -> dict:
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return await self._request(
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'symbols/search', params={'prefix': prefix})
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async def symbols(self, ids: str = '', names: str = '') -> dict:
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log.debug(f"Symbol lookup for {ids or names}")
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return await self._request(
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'symbols', params={'ids': ids, 'names': names})
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async def quotes(self, ids: str) -> dict:
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return await self._request('markets/quotes', params={'ids': ids})
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async def candles(self, id: str, start: str, end, interval) -> dict:
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return await self._request(f'markets/candles/{id}', params={})
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async def balances(self, id: str) -> dict:
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return await self._request(f'accounts/{id}/balances')
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async def postions(self, id: str) -> dict:
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return await self._request(f'accounts/{id}/positions')
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return batch
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async def token_refresher(client):
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@ -286,13 +366,18 @@ async def get_client() -> Client:
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write_conf(client)
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async def quoter(client: Client, tickers: [str]):
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async def quoter(client: Client, tickers: List[str]):
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"""Quoter context.
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Yeah so fun times..QT has this symbol to ``int`` id lookup system that you
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have to use to get any quotes. That means we try to be smart and maintain
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a cache of this map lazily as requests from in for new tickers/symbols.
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Most of the closure variables here are to deal with that.
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"""
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t2ids = {}
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ids = ''
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def filter_symbols(quotes_dict):
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def filter_symbols(quotes_dict: dict):
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nonlocal t2ids
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for symbol, quote in quotes_dict.items():
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if quote['low52w'] is None:
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@ -311,6 +396,7 @@ async def quoter(client: Client, tickers: [str]):
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# update ticker ids cache
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log.debug(f"Tickers set changed {new - current}")
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t2ids = await client.tickers2ids(tickers)
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# re-save symbol -> ids cache
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ids = ','.join(map(str, t2ids.values()))
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try:
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@ -323,6 +409,12 @@ async def quoter(client: Client, tickers: [str]):
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quotes_resp = await client.api.quotes(ids=ids)
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except BrokerError as qterr:
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if "Access token is invalid" in str(qterr.args[0]):
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# TODO: this will crash when run from a sub-actor since
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# STDIN can't be acquired. The right way to handle this
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# is to make a request to the parent actor (i.e.
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# spawner of this) to call this
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# `client.ensure_access()` locally thus blocking until
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# the user provides an API key on the "client side"
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await client.ensure_access(force_refresh=True)
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else:
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raise
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@ -340,7 +432,7 @@ async def quoter(client: Client, tickers: [str]):
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first_quotes_dict = await get_quote(tickers)
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filter_symbols(first_quotes_dict)
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# re-save symbol ids cache
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# re-save symbol -> ids cache
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ids = ','.join(map(str, t2ids.values()))
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return get_quote
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@ -357,6 +449,7 @@ _qt_keys = {
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'askPrice': 'ask',
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'bidPrice': 'bid',
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'lastTradeSize': 'size',
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'lastTradeTime': ('time', datetime.fromisoformat),
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'bidSize': 'bsize',
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'askSize': 'asize',
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'VWAP': ('VWAP', partial(round, ndigits=3)),
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@ -371,7 +464,6 @@ _qt_keys = {
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# 'high52w': 'high52w',
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# "lastTradePriceTrHrs": 7.99,
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# "lastTradeTick": "Equal",
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# "lastTradeTime": "2018-01-30T18:28:23.434000-05:00",
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# "symbolId": 3575753,
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# "tier": "",
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# 'isHalted': 'halted', # as subscript 'h'
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@ -389,7 +481,7 @@ def format_quote(
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quote: dict,
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symbol_data: dict,
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keymap: dict = _qt_keys,
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) -> (dict, dict):
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) -> Tuple[dict, dict]:
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"""Remap a list of quote dicts ``quotes`` using the mapping of old keys
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-> new keys ``keymap`` returning 2 dicts: one with raw data and the other
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for display.
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