Add option chain quote support!

piker/brokers/questrade.py

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