Getting Options data in JSON format from Yahoo

sedelstein

#1

12/14/2017 7:40 PM

Hi Eugene and WL Community

It turns out you can get options data from Yahoo and I'd like to incorporate it into one of my WL routines

For example https://query1.finance.yahoo.com/v7/finance/options/QQQ171215C00156000
will get you data on the Dec-15 156 call on QQQ

It returns JSON output which can be parsed in C# using a JavaScriptSerializer class, which is part of the System.Web.Script

Examples of how to do this can be found here https://www.codementor.io/andrewbuchan/how-to-parse-json-into-a-c-object-4ui1o0bx8

A link here http://json2csharp.com/# will create C# classes for you from the JSON output (example below)

I am unable to find a reference to this within the C# editor in WL
Anyone have some ideas how to get access to this? (or perhaps this has already been discussed)
Thanks for the help

Steve

CODE:
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Hi Eugene and WL Community

It turns out you can get options data from Yahoo and I'd like to incorporate it into one of my WL routines

For example   [link]https://query1.finance.yahoo.com/v7/finance/options/QQQ171215C00156000[/link]
will get you data on the Dec-15 156 call on QQQ

It returns JSON output which can be parsed in C# using a JavaScriptSerializer class, which is part of the System.Web.Script

Examples of how to do this can be found here [link]https://www.codementor.io/andrewbuchan/how-to-parse-json-into-a-c-object-4ui1o0bx8[/link]

A link here [link]http://json2csharp.com/#[/link] will create C# classes for you from the JSON output (example below)

I am unable to find a reference to this within the C# editor in WL  
Anyone have some ideas how to get access to this?  (or perhaps this has already been discussed)
Thanks for the help

Steve

[code]public class Quote
{
    public string language { get; set; }
    public string quoteType { get; set; }
    public string currency { get; set; }
    public string shortName { get; set; }
    public double regularMarketPrice { get; set; }
    public int regularMarketTime { get; set; }
    public double regularMarketChange { get; set; }
    public double regularMarketOpen { get; set; }
    public double regularMarketDayHigh { get; set; }
    public double regularMarketDayLow { get; set; }
    public int regularMarketVolume { get; set; }
    public string marketState { get; set; }
    public double strike { get; set; }
    public string underlyingSymbol { get; set; }
    public int openInterest { get; set; }
    public int expireDate { get; set; }
    public string market { get; set; }
    public string exchange { get; set; }
    public int priceHint { get; set; }
    public int exchangeDataDelayedBy { get; set; }
    public double regularMarketChangePercent { get; set; }
    public double regularMarketPreviousClose { get; set; }
    public double bid { get; set; }
    public double ask { get; set; }
    public string fullExchangeName { get; set; }
    public double fiftyTwoWeekLowChange { get; set; }
    public double fiftyTwoWeekLowChangePercent { get; set; }
    public double fiftyTwoWeekHighChange { get; set; }
    public double fiftyTwoWeekHighChangePercent { get; set; }
    public double fiftyTwoWeekLow { get; set; }
    public double fiftyTwoWeekHigh { get; set; }
    public int sourceInterval { get; set; }
    public string exchangeTimezoneName { get; set; }
    public string exchangeTimezoneShortName { get; set; }
    public int gmtOffSetMilliseconds { get; set; }
    public bool tradeable { get; set; }
    public string symbol { get; set; }
}

public class Result
{
    public string underlyingSymbol { get; set; }
    public List<object> expirationDates { get; set; }
    public List<object> strikes { get; set; }
    public bool hasMiniOptions { get; set; }
    public Quote quote { get; set; }
    public List<object> options { get; set; }
}

public class OptionChain
{
    public List<Result> result { get; set; }
    public object error { get; set; }
}

public class RootObject
{
    public OptionChain optionChain { get; set; }
}[/code]

Eugene

#2

12/14/2017 8:20 PM

Hi Steve,

QUOTE:
I am unable to find a reference to this within the C# editor in WL

How come? References > .NET framework. If something's not listed, look for the DLL file to refer under:

c:\Windows\Microsoft.NET\Framework64\v4.0.30319\

You can even skip the generation of classes as .NET's JavaScriptSerializer will do a great job on dynamic deserialization of JSON:

CODE:
Please log in to see this code.

Take a look at Community Components:

\ExtensionMethods\InternetEx.cs > GetExchange
\Classes\Sentiment.cs > ParseStockTwitsJson

sedelstein

#3

12/14/2017 8:21 PM

Thanks for the help Eugene

Went looking in c:\Windows\Microsoft.NET\Framework64\v4.0.30319\

I have the directory though System.Web.Script and JavaScriptSerializer don't appear.

I don't mean to be thick about this but not sure why that is. I do see a serializer for XML unless it is in System.Runtime.Serialization

Eugene

#4

12/14/2017 8:36 PM

Steve,

If something "does not appear" don't ask me, instead do some Google-fu. This is how answers are found.

At the very least you have to check System.Web and System.Core (for LINQ) in References, and refer to these DLLs on the other tab from the directory I pointed at above:

Microsoft.CSharp.dll
System.Runtime.Serialization.dll
System.Web.Extensions.dll

Microsoft scattered those namespaces across assemblies this way, so your job is to google the correct DLL in MSDN - it's thoroughly documented (or on StackOverflow - this usually is the shortcut).

sedelstein

#5

12/14/2017 8:43 PM

Thanks Eugene
Believe me, I've spent considerable amount of time googling. It's not for lack of effort that's at issue.
Will keep plugging away.

Eugene

#6

12/14/2017 8:53 PM

Steve, here's a quick and dirty demo for you.

1. Check System.Web and System.Core (for LINQ) in References
2. Add references to these DLLs on the other tab from the directory I pointed at above:

Microsoft.CSharp.dll
System.Runtime.Serialization.dll
System.Web.Extensions.dll

CODE:
Please log in to see this code.

Obviously you'll want to add some error handling and some sort of anonymous type to get more properties than the "regularMarketPrice".

Size:

Color:

Steve, here's a quick and dirty demo for you.

1. Check System.Web and System.Core (for LINQ) in References
2. Add references to these DLLs on the other tab from the directory I pointed at above:

Microsoft.CSharp.dll
System.Runtime.Serialization.dll
System.Web.Extensions.dll

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using System.Linq;						//check System.Core
using System.Runtime.Serialization;			//add reference to System.Runtime.Serialization.dll
using System.Net;
using System.Web;						//check System.Web
using System.Web.Script.Serialization;		//add reference to System.Web.Extensions.dll
using Microsoft.CSharp;					//add reference to Microsoft.CSharp.dll

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		protected override void Execute()
		{
			var ticker = "QQQ171215C00156000";
			var url = string.Format("https://query1.finance.yahoo.com/v7/finance/options/{0}", ticker);
			
			using(WebClient client = new WebClient()) 
			{
				string json = client.DownloadString(url);
				
				try
				{
					var serializer = new JavaScriptSerializer();
					var obj = serializer.Deserialize(json, typeof(object)) as dynamic;

var r = obj["optionChain"]["result"];

foreach (var q in r)
					{
						var raw = q["quote"]["regularMarketPrice"];
						PrintDebug(Convert.ToDouble(raw));
					}
				}
				catch (Exception ex)
				{
					string message = String.Format("Data parsing error. Symbol: {0}", ticker);
					PrintDebug(ex);
				}
			}
		}
	}
}[/code]

Obviously you'll want to add some error handling and some sort of anonymous type to get more properties than the "regularMarketPrice".

sedelstein

#7

12/14/2017 11:22 PM

Thank you Eugene.

I greatly appreciate your help and as I said, I do spend a lot of time researching before coming here and asking. I'm generally reluctant to waste others people's time. I do hope other WL users will find this handy.

Eugene

#8

12/15/2017 6:32 AM

Glad to help you Steve.

sedelstein

#9

12/15/2017 2:05 PM

Thanks again for the help. When using just a ticker e.g. QQQ rather than a specific option ticker e.g. QQQ171215C00156000 you can grab the whole chain of series of option for each expiration date. Your code gave me enough of a head start to put a serious dent in my project.