def __init__(self, ticker, option_type='call', expiry=None, strike=None):
# objects
self.yield_curve = EuroArea()
self.stock = Stock(ticker)
self.option = web.Options(ticker, "yahoo")
# save inputs
self.ticker = ticker
self.option_type = option_type
self.expiry = self.__set_expiry(expiry) # expiry correction
table = self.option.get_all_data().xs((self.expiry, self.option_type),
level=('Expiry', 'Type'),
drop_level=True)
self.strike = self.__set_strike(strike, table) # strike correction
# attributes
self.data = table['Last']
self.price = float(self.data[self.strike])
self.maturity = (dt.datetime.strptime(self.expiry, "%d-%m-%y") -
dt.datetime.today()) / dt.timedelta(days=365)
def setUpClass(cls):
super(TestYahooOptions, cls).setUpClass()
_skip_if_no_lxml()
# aapl has monthlies
cls.aapl = web.Options('aapl', 'yahoo')
today = datetime.today()
cls.year = today.year
cls.month = today.month + 1
if cls.month > 12: # pragma: no cover
cls.month = 1
cls.year = cls.year + 1
cls.expiry = datetime(cls.year, cls.month, 1)
cls.dirpath = tm.get_data_path()
cls.html1 = 'file://' + os.path.join(cls.dirpath,
'yahoo_options1.html')
cls.html2 = 'file://' + os.path.join(cls.dirpath,
'yahoo_options2.html')
cls.html3 = 'file://' + os.path.join(
cls.dirpath, 'yahoo_options3.html') # Empty table GH#22
cls.data1 = cls.aapl._option_frames_from_url(cls.html1)['puts']
def test_get_underlying_price(self):
# GH7
try:
options_object = web.Options('^spxpm', 'yahoo')
url = options_object._yahoo_url_from_expiry(
options_object.expiry_dates[0])
root = options_object._parse_url(url)
quote_price = options_object._underlying_price_from_root(root)
except RemoteDataError as e: # pragma: no cover
raise nose.SkipTest(e)
self.assertTrue(isinstance(quote_price, float))
# Tests the weekend quote time format
price, quote_time = self.aapl._underlying_price_and_time_from_url(
self.html1)
self.assertTrue(isinstance(price, (int, float, complex)))
self.assertTrue(isinstance(quote_time, (datetime, pd.Timestamp)))
# Tests the EDT page format
# regression test for #8741
price, quote_time = self.aapl._underlying_price_and_time_from_url(
self.html2)
self.assertTrue(isinstance(price, (int, float, complex)))
self.assertTrue(isinstance(quote_time, (datetime, pd.Timestamp)))
def test_options_source_warning(self):
if not assert_produces_warning:
raise nose.SkipTest("old version of pandas without "
"compat.assert_produces_warning")
with assert_produces_warning():
aapl = web.Options('aapl')
def setup_class(cls):
# GOOG has monthlies
cls.goog = web.Options('GOOG', 'google')
def test_options_is_not_none(self):
option = web.Options("aapl", "yahoo")
assert option is not None
def aapl():
aapl = web.Options("aapl", "yahoo")
yield aapl
aapl.close()
oc_st(dow_j, "dow_j", "open", "close", 3)
oc_st(sz, "sz", "open", "close", 23, limit=[0.6, 0.42])
import tushare
etf = tushare.get_h_data("510050")
oc_st(hsi, "^HSI", "close", "close", 30, limit=[0.5, 0.3])
oc_st(etf, "etf", "close", "close", 30, limit=[0.5, 0.3]) ## hightest
oc_st(hsi, "^HSI", "close", "close", 30, limit=[-0.2, 0])
oc_st(spc, "spc", "close", "open", 20, limit=[0.56, 0.42])
oc_st(hsi, "^HSI", "close", "close", 30, limit=[0.5, 0.4])
oc_st(etf, "etf", "close", "open", 23, limit=[0.7, 0.45], cost_rate=0.01)
quato = data.get_quote_yahoo('AMZN')
quato = data.get_quote_yahoo('510050.SS')
quato = data.Options("510050.SS")
data = quato.get_all_data()
import tushare as ts
fd = ts.Options()
fd.OptVar()
df = fd.Opt(contractStatus='L,DE',
field='optID,secShortName,varShortName,listDate')
df = fd.getOptDpo(contractStatus='L,DE',
field='optID,secShortName,varShortName,listDate')
ts.set_token(
'1b4a1c74f890d52633d9fa3607b4f260ef1c4f8200674d9a6549170ef430ff2f')
def setUpClass(cls):
super(TestGoogleOptions, cls).setUpClass()
# goog has monthlies
cls.goog = web.Options('GOOG', 'google')
def test_options_is_not_none(self):
option = web.Options('aapl')
self.assertTrue(option is not None)
import os, sys
import pandas
from pandas_datareader import data as pd
from utils import *
# define a stock symbol
underlying_symbol = 'CRM'
if not os.path.isfile('%s.p' % underlying_symbol):
# define a Options object
options_obj = pd.Options(underlying_symbol, 'yahoo')
# request all chains for the underlying symbol
# ***WARNING THIS TAKES A WHILE***
options_frame_live = options_obj.get_all_data()
# let's pickle the dataframe so we don't have to hit the network every time
options_frame_live.to_pickle('%s.p' % underlying_symbol)
# read the original frame in from cache (pickle)
options_frame = pandas.read_pickle('%s.p' % underlying_symbol)
# and the first ten records
#print options_frame_live.head()
# reset the index so the strike and expiration become columns
options_frame.reset_index(inplace=True)
# remove PctChg and IV - we'll calculate our own
del options_frame['PctChg']
del options_frame['IV']
# rename the columns for consistency
columns = {
'Expiry': 'Expiration',
'Type': 'OptionType',
'Symbol': 'OptionSymbol',
def test_options_source_warning(self):
with tm.assert_produces_warning():
web.Options('aapl')
def test_deprecation(self):
with pytest.raises(ImmediateDeprecationError):
web.Options('GOOG', 'google')
def import_equity_options():
ticker = web.Options('aapl', 'yahoo')
data = ticker.get_all_data()
def test_options_is_not_none(self):
option = web.Options('aapl', 'yahoo')
assert option is not None
def aapl():
aapl = web.Options('aapl', 'yahoo')
yield aapl
aapl.close()
def __init__(self, underlying):
self.underlying = underlying
self._session = self.underlying._session
self._pdr = pdr.Options(self.underlying.ticker,
'yahoo',
session=self._session)
