R/option-chain.R

In DataWookie/flipsideR: flipsideR

# TODO: Add column for exchange in data.

# TODO: Trying to avoid using dplyr and plyr. Right now dplyr is just being used for soring in a magrittr chain. Ideally
# I would like to move across to dplyr completely but I don't see an equivalent to mlply().

# Initial version of this code based on http://mktstk.wordpress.com/2014/12/29/start-trading-like-a-quant-download-option-chains-from-google-finance-in-r/

# - Remove comma separators after thousands (and millions!).
# - Make sure that all keys are quoted.
#
fixJSON <- function(json) {
	json <- gsub("(?<=[[:digit:]]),(?=[[:digit:]]{3})", "", json, perl = TRUE) 
  gsub('([^,{:]+):', '"\\1":', json)
}

# AUSTRALIAN OPTIONS --------------------------------------------------------------------------------------------------

# ASX is the Australian Securities Exchange.

URLASX = 'http://www.asx.com.au/asx/markets/optionPrices.do?by=underlyingCode&underlyingCode=%s&expiryDate=&optionType=B'

#' @importFrom xml2 read_html
#' @importFrom rvest html_nodes html_table
#' @import magrittr
getOptionChainAsx <- function(symbol) {
  url = sprintf(URLASX, symbol)

  html <- read_html(url)
  #
  html <- html %>% html_nodes("table.options") %>% html_table(header = TRUE)
  #
  # There might be a shares table too, so we need to find index to the correct table.
  #
  index = grep("P/C", lapply(html, names))
  #
  # if (length(html) < 2) {
  #   warning("No data for symbol ", symbol, ".")
  #   return(NULL)
  # }

  #
  # Remove all whitespace in colnames (some contain \n\t)
  #
  colnames(html[[index]]) <- gsub("\\s+", "", colnames(html[[index]]))

  # Use the second element in the list (the first element gives data on the underlying stock)
  #
  options = html[[index]] %>%
    rename(c("Bid" = "bid", "Offer" = "ask", "Openinterest" = "open.interest", "Volume" = "volume", "Expirydate" = "expiry",
             "P/C" = "type", "MarginPrice" = "premium", "Exercise" = "strike")) %>%
    transform(
      symbol        = symbol,
      retrieved     = Sys.time(),
      strike        = suppressWarnings(as.numeric(gsub(",", "", strike))),
      open.interest = suppressWarnings(as.integer(gsub(",", "", open.interest))),
      premium       = suppressWarnings(as.numeric(premium)),
      bid           = suppressWarnings(as.numeric(bid)),
      ask           = suppressWarnings(as.numeric(ask)),
      volume        = suppressWarnings(as.integer(gsub(",", "", volume))),
      expiry        = as.Date(expiry, format = "%d/%m/%Y")
    ) %>% dplyr::arrange(type, strike)
  options[, COLORDER]
}

# ---------------------------------------------------------------------------------------------------------------------

# URL templates
#
URL1 = 'http://www.google.com/finance/option_chain?q=%s%s&output=json'
URL2 = 'http://www.google.com/finance/option_chain?q=%s%s&output=json&expy=%d&expm=%d&expd=%d'

# Structure of JSON:
#
# {  
#   cid:"967806907935282",			-- CBOE code
#   name:"",
#   s:"AAPL160422C00125000",		-- code (symbol + YYMMDD + C|P + price format)
#   e:"OPRA",										-- data source
#   p:"0.02",										-- last traded price
#   cs:"chb",										-- change sign (chg = +, chr = -, chb = unchanged, NA = no comparable trades)
#   c:"0.00",										-- change in price since previous trade
#   cp:"0.00",
#   b:"0.01",										-- Bid
#   a:"0.03",										-- Ask
#   oi:"729",										-- open interest
#   vol:"-",										-- volume traded
#   strike:"125.00",						-- strike price
#   expiry:"Apr 22, 2016"				-- expiration date
# }

#' Retrieve options dataAAPL.
#'
#' @param symbol A ticker symbol.
#' @param exchange The exchange on which symbol is listed.
#' @return A data frame with the required options.
#' @examples
#' getOptionChain("AAPL")
#' getOptionChain("MSFT", "NASDAQ")
#' @importFrom jsonlite fromJSON
#' @importFrom plyr mlply rbind.fill rename
#' @importFrom RCurl getURL
#' @export
getOptionChain <- function(symbol, exchange = NA) {
  exchange = toupper(exchange)
  #
  if (!is.na(exchange)) {
    if (exchange == "ASX") return(getOptionChainAsx(symbol))
  }
  #
  exchange = ifelse(is.na(exchange), "", paste0(exchange, ":"))
  #
  url = sprintf(URL1, exchange, symbol)
  #
  chain = tryCatch(fromJSON(fixJSON(getURL(url))), error = function(e) NULL)
  #
  if (is.null(chain)) stop(sprintf("Retrieved document is not JSON. Try opening %s in your browser.", url))
  #
  # Iterate over the expiry dates
  #
  options = mlply(chain$expirations, function(y, m, d) {
    url = sprintf(URL2, exchange, symbol, y, m, d)
    expiry = fromJSON(fixJSON(getURL(url)))
    #
    expiry$calls$type = "Call"
    expiry$puts$type  = "Put"
    #
    prices = rbind.fill(expiry$calls, expiry$puts)
    #
    prices$expiry = sprintf("%4d-%02d-%02d", y, m, d)
    prices$underlying.price = expiry$underlying_price
    #
    prices$retrieved = Sys.time()
    #
    prices
  })
  #
  # Filter out dates with data
  #
  options = options[sapply(options, class) == "data.frame"]
  #
  # Concatenate data for all expiration dates and add in symbol column
  #
  options = cbind(data.frame(symbol), rbind.fill(options))
  #
  options = rename(options, c("p" = "premium", "b" = "bid", "a" = "ask", "oi" = "open.interest", "vol" = "volume"))
  #
  for (col in c("strike", "premium", "bid", "ask")) options[, col] = suppressWarnings(as.numeric(options[, col]))
  options[, "open.interest"] = suppressWarnings(as.integer(options[, "open.interest"]))
  options[, "volume"]        = suppressWarnings(as.integer(options[, "volume"]))
  #
  options[, COLORDER]
}