Open interest data for option contracts

Partha

#1

10/1/2019 4:02 AM

As a fidelity customer so I can access the option price and volume directly in WL but I don't know how to get the open interest..Is is possible to get the open interest on a particular options contract in WL ?

Eugene

#2

10/1/2019 4:54 AM

No, it's highly unlikely that the open interest data is provided by the Fidelity static data provider.

You might want to look for a 3rd party data vendor, WebService or even a website which has such data and let us know if you're onto something.

Partha

#3

10/1/2019 2:23 PM

Fidelity has all of this info on their website once you login...the problem is I cannot use this valuable info in strategy code...having both volume and open interest on options can be useful to get confirmation on signals based existing indicators in WL...attached snapson from fidelity site once I log in

Capture.PNG

Eugene

#4

10/1/2019 2:28 PM

QUOTE:
Fidelity has all of this info on their website once you login

Fidelity login requirement makes it difficult as I don't have my own account there for development. Been there done that: Is ETF Bid / Ask data available in WL ?

Alternatives are appreciated.

Partha

#5

10/1/2019 2:41 PM

these guys are the big daddy of options data...they provide data to fidelity..it is a paid service though

https://www.livevol.com/

Eugene

#6

10/1/2019 3:00 PM

Sorry but signing agreements with a high priced feed goes far beyond the quick help I intended to provide. Will keep looking for and post here should I discover some decent source for parsing (preferably free).

Partha

#7

10/1/2019 3:05 PM

Yahoo has the datafeed (delayed but it is OK)...maybe possible to parse this?

https://finance.yahoo.com/quote/TM/options?p=TM

Eugene

#8

10/1/2019 6:56 PM

I was thinking of this as a backup source but Yahoo is OK:
https://www.barchart.com/stocks/quotes/AMD/options?expiration=2019-10-25&moneyness=allRows

Unlike its historical data download (tricky!), Yahoo's options page is easy to parse. Here's proof-of-concept. It doesn't attempt to parse, validate or process the raw text yet - just prints it out. Let me know if you need some of that and what exactly.

Prerequisites:

1. Requires Community Components or other extension installed that depends on having HtmlAgilityPack.dll
2. check System.Core and System.Xml in the Editor (References... > .NET Framework), OK, Save.

CODE:
Please log in to see this code.

Size:

Color:

I was thinking of this as a backup source but Yahoo is OK:
[link]https://www.barchart.com/stocks/quotes/AMD/options?expiration=2019-10-25&moneyness=allRows[/link]

Unlike its historical data download (tricky!), Yahoo's options page is easy to parse. Here's proof-of-concept. It doesn't attempt to parse, validate or process the raw text yet - just prints it out. Let me know if you need some of that and what exactly.

Prerequisites:

1. Requires Community Components or other extension installed that depends on having [b]HtmlAgilityPack.[/b]dll
2. check [b]System.Core[/b] and [b]System.Xml[/b] in the Editor (References... > .NET Framework), OK, Save.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using System.Linq;
using System.Net;
using HtmlAgilityPack;
using System.Globalization;

namespace WealthLab.Strategies
{
	enum OptionType {Call, Put}
	
	public class MyStrategy : WealthScript
	{
		private double ConvertToUnixTimestamp(DateTime dt)
		{
			TimeSpan ts = (new DateTime(dt.Year, dt.Month, dt.Day, 0, 0, 0) - new DateTime(1970, 1, 1, 0, 0, 0));
			double unixTime = ts.TotalSeconds;
			return unixTime;
		}
		
		private void PrintOptionsTable(OptionType type, DateTime dt)
		{
			var unixTime = ConvertToUnixTimestamp(dt);
			string url = string.Format("https://finance.yahoo.com/quote/{0}/options?date={1}",Bars.Symbol,unixTime);
			string xpathCalls = "//table[@class='calls W(100%) Pos(r) Bd(0) Pt(0) list-options']";
			string xpathPuts = "//table[@class='puts W(100%) Pos(r) list-options']";

using (WebClient wc = new WebClient())
			{
				wc.Headers.Add("User-Agent", "Mozilla/5.0 (Windows NT 10.0; Win64; x64; rv:69.0.1) Gecko/20100101 Firefox/69.0.1");
				wc.Headers.Add("Content-Type", "text/html, application/xhtml+xml, image/jxr, */*");
				wc.Headers.Add("Referer", string.Format("https://finance.yahoo.com/quote/{0}", Bars.Symbol));
				string result = wc.DownloadString(url);
				
				var doc = new HtmlAgilityPack.HtmlDocument();
				doc.LoadHtml(result);

Partha

#9

10/1/2019 8:11 PM

it is not working for me...I have the HtmlAgilityPack but it is underlined in red in the code...see the references in the attached snapshot

Errors.PNG

Eugene

#10

10/1/2019 8:16 PM

It's a bug in 6.9.20, see here for workaround: WLP 6.9.20.7: New Editor has compiler error with LINQ methods

P.S. More 6.9.20 issues: List of WLP 6.9.20.7 Issues and Fixes

Partha

#11

10/1/2019 8:27 PM

it works...thanks!!

By the way I requested fidelity to consider this as a standard feature as options volume and open interest can be used to confirm standard WL indicators buy and sell signals....they agreed with me and have passed on the suggestion to the software development team (I guess that is you guys :-)

Eugene

#12

10/2/2019 6:51 AM

You're welcome.

Eugene

#13

10/3/2019 11:04 AM

Latest and greatest. Reusable, robust parsing, uses global memory to cache web requests. Think I add it to Community Components.

Prerequisites:

1. Workaround for a bug in 6.9.20: WLP 6.9.20.7: New Editor has compiler error with LINQ methods
2. Check System.Core and System.Xml in the Editor (References... > .NET Framework), OK, Save.

CODE:
Please log in to see this code.

Size:

Color:

Latest and greatest. Reusable, robust parsing, uses global memory to cache web requests. Think I add it to Community Components.

Prerequisites:

1. Workaround for a bug in 6.9.20: [link=https://www.wealth-lab.com/Forum/Posts/WLP-6-9-20-7-New-Editor-has-compiler-error-with-LINQ-methods-39743]WLP 6.9.20.7: New Editor has compiler error with LINQ methods[/link]
2. Check [b]System.Core[/b] and [b]System.Xml[/b] in the Editor (References... > .NET Framework), OK, Save.

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using System.Linq;
using System.Net;
using System.Globalization;

namespace WealthLab.Strategies
{
	public enum OptionType {Call, Put}
	
	public class OptionsData 
	{
		public string Symbol { get; set; }
		public DateTime LastTradeDate { get; set; }			
		public double Strike { get; set; }
		public double LastPrice { get; set; }
		public int Volume { get; set; }
		public double OpenInterest { get; set; }
		public double IV { get; set; }
	}
	
	public class OpenInterestForOptions
	{
		private static double ConvertToUnixTimestamp(DateTime dt)
		{
			TimeSpan ts = (new DateTime(dt.Year, dt.Month, dt.Day, 0, 0, 0) - new DateTime(1970, 1, 1, 0, 0, 0));
			double unixTime = ts.TotalSeconds;
			return unixTime;
		}
		
		public static List<OptionsData> GetDataForSymbol(string symbol, OptionType type, DateTime dt)
		{
			var lst = new List<OptionsData>();
			var unixTime = ConvertToUnixTimestamp(dt);
			string url = string.Format("https://finance.yahoo.com/quote/{0}/options?date={1}",symbol,unixTime);
			string xpathCalls = "//table[contains(@class,'calls')]";
			string xpathPuts = "//table[contains(@class,'puts')]";

using (WebClient wc = new WebClient())
			{
				wc.Headers.Add("User-Agent", "Mozilla/5.0 (Windows NT 10.0; Win64; x64; rv:69.0.1) Gecko/20100101 Firefox/69.0.1");
				wc.Headers.Add("Content-Type", "text/html, application/xhtml+xml, image/jxr, */*");
				wc.Headers.Add("Referer", string.Format("https://finance.yahoo.com/quote/{0}", symbol));
				string result = wc.DownloadString(url);
				
				var doc = new HtmlAgilityPack.HtmlDocument();
				doc.LoadHtml(result);

var table = doc.DocumentNode.SelectSingleNode(type == OptionType.Call ? xpathCalls : xpathPuts)
					.Descendants("tr")
					.Skip(1)
					.Where(tr => tr.Elements("td").Count() > 1)
					.Select(tr => tr.Elements("td").Select(td => td.InnerText.Trim()).ToList())
					.ToList().Select(n =>
					new OptionsData
					{
						Symbol = n[0],
						LastTradeDate = DateTime.ParseExact(n[1].ToString().Substring(0, 10), "yyyy-MM-dd", CultureInfo.InvariantCulture),
						Strike = double.Parse(n[2]),
						LastPrice = double.Parse(n[3]),
						Volume = n[8].ToString().Contains("-") ? -1: int.Parse(n[8].Replace(",", "")),
						OpenInterest = n[9].ToString().Contains("-") ? double.NaN : double.Parse(n[9].Replace(",","")),
						IV = double.Parse(n[10].ToString().Replace(CultureInfo.CurrentCulture.NumberFormat.PercentSymbol, "")),
						});
				
				lst.AddRange(table);

return lst;
			}
		}
	}
	
	public class MyStrategy : WealthScript
	{	
		protected override void Execute()
		{
			ClearDebug();
			var dateTime = NextOptionExpiryDate(Bars.Count - 1);
			var key = Bars.Symbol + ";" + OptionType.Call + ";" + dateTime;
			PrintDebug(key);
			List<OptionsData> lst = new List<OptionsData>();
			if (GetGlobal(key) == null)
			{
				lst = OpenInterestForOptions.GetDataForSymbol(Bars.Symbol, OptionType.Call, dateTime);
				SetGlobal(key, (object)lst);
			}
			else
				lst = (List<OptionsData>)GetGlobal(key);

PrintDebug("Symbol" + "\t" + "Last Trade" + "\t" + "Strike" + "\t" + "Last Price" + "\t" + "Volume" + "\t" + "Open Interest" + "\t" + "IV");
			foreach (var t in lst)
				PrintDebug(t.Symbol + "\t" + t.LastTradeDate + "\t" + t.Strike + "\t" + t.LastPrice + "\t" + t.Volume + "\t" + t.OpenInterest + "\t" +
					string.Format("Value: {0:P2}.", t.IV / 100d));
		}
	}
}[/code]