def get_option_chain(self, symbol, expiry):
"""
获取美股期权链
:param symbol: 股票代码
:param expiry: 过期日(类似2019-01-04或者1546578000000)
:return:
"""
params = MultipleContractParams()
param = SingleContractParams()
param.symbol = symbol
if isinstance(expiry, six.string_types) and re.match('[0-9]{4}\-[0-9]{2}\-[0-9]{2}', expiry):
param.expiry = int(delorean.parse(expiry, timezone=eastern, dayfirst=False).datetime.timestamp() * 1000)
else:
param.expiry = expiry
params.contracts = [param]
request = OpenApiRequest(OPTION_CHAIN, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionChainsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.chain
else:
raise ApiException(response.code, response.message)
return None
def get_option_chain(self, symbol, expiry, option_filter=None, **kwargs):
"""
query option chain with filter
:param symbol: underlying stock symbol
:param expiry: expiration date ( like '2021-06-18' or 1560484800000 )
:param option_filter: option filter conditions, tigeropen.quote.domain.filter.OptionFilter
:param kwargs: optional. specify option_filter parameters directly without option_filer,
like: open_interest_min=100, delta_min=0.1
:return: pandas.DataFrame，the columns are as follows：
identifier: option identifier
symbol: underlying stock symbol
expiry: option expiration date. timestamp in millisecond, like 1560484800000
strike: strike price
put_call: option direction. 'CALL' or 'PUT'
multiplier: option multiplier
ask_price:
ask_size:
bid_price:
bid_size:
pre_close:
latest_price:
volume:
open_interest:
"""
params = OptionChainParams()
param = SingleContractParams()
param.symbol = symbol
if isinstance(expiry, str) and re.match('[0-9]{4}-[0-9]{2}-[0-9]{2}',
expiry):
param.expiry = int(
delorean.parse(expiry, timezone=eastern,
dayfirst=False).datetime.timestamp() * 1000)
else:
param.expiry = expiry
params.contracts = [param]
params.option_filter = option_filter if option_filter else OptionFilter(
**kwargs)
params.version = OPEN_API_SERVICE_VERSION_V3
request = OpenApiRequest(OPTION_CHAIN, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionChainsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.chain
else:
raise ApiException(response.code, response.message)
return None
def get_option_chain(self, symbol, expiry):
"""
获取美股期权链
:param symbol: 股票代码
:param expiry: 过期日 ( 类似 '2021-06-18' 或者 1560484800000 )
:return: pandas.DataFrame，各 column 含义如下：
identifier: 期权代码
symbol: 期权对应的正股代码
expiry: 期权到期日，毫秒级别的时间戳
strike: 行权价
put_call: 期权的方向
multiplier: 乘数
ask_price: 卖价
ask_size: 卖量
bid_price: 买价
bid_size: 买量
pre_close: 前收价
latest_price: 最新价
volume: 成交量
open_interest: 未平仓数量
"""
params = MultipleContractParams()
param = SingleContractParams()
param.symbol = symbol
if isinstance(expiry, six.string_types) and re.match(
'[0-9]{4}\-[0-9]{2}\-[0-9]{2}', expiry):
param.expiry = int(
delorean.parse(expiry, timezone=eastern,
dayfirst=False).datetime.timestamp() * 1000)
else:
param.expiry = expiry
params.contracts = [param]
request = OpenApiRequest(OPTION_CHAIN, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionChainsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.chain
else:
raise ApiException(response.code, response.message)
return None
def get_option_trade_ticks(self, identifiers):
"""
获取期权逐笔成交
:param identifiers: 期权代码
:return:
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleContractParams()
param.symbol = symbol
param.expiry = int(delorean.parse(expiry, timezone=eastern, dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_TRADE_TICK, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionTradeTickResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.trade_ticks
else:
raise ApiException(response.code, response.message)
return None
def get_option_briefs(self, identifiers):
"""
获取期权最新行情
:param identifiers: 期权代码列表
:return: pandas.DataFrame， 各 column 的含义如下：
identifier: 期权代码
symbol: 期权对应的正股代码
expiry: 到期日，毫秒级时间戳
strike: 行权价
put_call: 期权方向
multiplier: 乘数
ask_price: 卖价
ask_size: 卖量
bid_price: 买价
bid_size: 买量
pre_close: 前收价
latest_price: 最新价
latest_time: 最新交易时间
volume: 成交量
open_interest: 未平仓数量
open: 开盘价
high: 最高价
low: 最低价
rates_bonds: 无风险利率
volatility: 历史波动率
"""
params = MultipleContractParams()
contracts = []
for identifier in identifiers:
symbol, expiry, put_call, strike = extract_option_info(identifier)
if symbol is None or expiry is None or put_call is None or strike is None:
continue
param = SingleContractParams()
param.symbol = symbol
param.expiry = int(
delorean.parse(expiry, timezone=eastern,
dayfirst=False).datetime.timestamp() * 1000)
param.put_call = put_call
param.strike = strike
contracts.append(param)
params.contracts = contracts
request = OpenApiRequest(OPTION_BRIEF, biz_model=params)
response_content = self.__fetch_data(request)
if response_content:
response = OptionBriefsResponse()
response.parse_response_content(response_content)
if response.is_success():
return response.briefs
else:
raise ApiException(response.code, response.message)
return None