diff --git a/pandas_datareader/tests/data/yahoo_options1.html b/pandas_datareader/tests/data/yahoo_options1.html deleted file mode 100644 index 2846a2bd..00000000 --- a/pandas_datareader/tests/data/yahoo_options1.html +++ /dev/null @@ -1,6065 +0,0 @@ - - - - - AAPL Options | Yahoo! Inc. Stock - Yahoo! Finance - - - - - - - - - - - - - - - - - - - - - - - - - -
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October 24, 2014
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- - - - - - - - - - - - \ No newline at end of file diff --git a/pandas_datareader/tests/data/yahoo_options1.json b/pandas_datareader/tests/data/yahoo_options1.json new file mode 100644 index 00000000..746040a5 --- /dev/null +++ b/pandas_datareader/tests/data/yahoo_options1.json @@ -0,0 +1,2 @@ + +{"optionChain":{"result":[{"underlyingSymbol":"AAPL","expirationDates":[1473379200,1473984000,1474588800,1475193600,1475798400,1476403200,1477008000,1479427200,1481846400,1484870400,1489708800,1492732800,1497571200,1510876800,1516320000],"strikes":[75.0,80.0,85.0,90.0,91.0,92.0,93.0,94.0,94.5,95.0,95.5,96.0,96.5,97.0,97.5,98.0,98.5,99.0,99.5,100.0,101.0,102.0,103.0,104.0,105.0,106.0,107.0,108.0,109.0,110.0,111.0,112.0,113.0,114.0,115.0,116.0,117.0,118.0,119.0,120.0,121.0,123.0,125.0,140.0],"hasMiniOptions":false,"quote":{"quoteType":"EQUITY","quoteSourceName":"Delayed 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- - - - - - - - - - - - \ No newline at end of file diff --git a/pandas_datareader/tests/data/yahoo_options2.json b/pandas_datareader/tests/data/yahoo_options2.json new file mode 100644 index 00000000..a685ae11 --- /dev/null +++ b/pandas_datareader/tests/data/yahoo_options2.json @@ -0,0 +1 @@ +{"optionChain":{"result":[],"error":null}} \ No newline at end of file diff --git a/pandas_datareader/tests/data/yahoo_options3.html b/pandas_datareader/tests/data/yahoo_options3.html deleted file mode 100644 index 6e79bb9b..00000000 --- a/pandas_datareader/tests/data/yahoo_options3.html +++ /dev/null @@ -1,2807 +0,0 @@ - - - - - SPWR Option Chain | Yahoo! Inc. Stock - Yahoo! Finance - - - - - - - - - - - - - - - - - - - - - - - - - -
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  • FirefoxInstall the new Firefox »
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    More on SPWR

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    SunPower Corporation (SPWR)

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    - - 33.05 - - - - - Up +0.07(0.21%) - - - NASDAQ - As of 4:00PM EDT - -
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    | - - After Hours: - 33.10 Up +0.05 (0.15%) 7:47PM EDT - - -
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    - In The Money -
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    Show Me Strikes From

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    - - - - - - - - - - - - \ No newline at end of file diff --git a/pandas_datareader/tests/test_yahoo_options.py b/pandas_datareader/tests/test_yahoo_options.py index 77f751a4..a2ce988a 100644 --- a/pandas_datareader/tests/test_yahoo_options.py +++ b/pandas_datareader/tests/test_yahoo_options.py @@ -7,7 +7,6 @@ import nose import pandas.util.testing as tm -from pandas_datareader.tests._utils import _skip_if_no_lxml import pandas_datareader.data as web from pandas_datareader._utils import RemoteDataError @@ -18,7 +17,6 @@ class TestYahooOptions(tm.TestCase): @classmethod def setUpClass(cls): super(TestYahooOptions, cls).setUpClass() - _skip_if_no_lxml() # aapl has monthlies cls.aapl = web.Options('aapl', 'yahoo') @@ -30,10 +28,9 @@ def setUpClass(cls): 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'] + cls.json1 = 'file://' + os.path.join(cls.dirpath, 'yahoo_options1.json') + cls.json2 = 'file://' + os.path.join(cls.dirpath, 'yahoo_options2.json') # Empty table GH#22 + cls.data1 = cls.aapl._process_data(cls.aapl._parse_url(cls.json1)) @classmethod def tearDownClass(cls): @@ -49,12 +46,13 @@ def assert_option_result(self, df): exp_columns = pd.Index(['Last', 'Bid', 'Ask', 'Chg', 'PctChg', 'Vol', 'Open_Int', 'IV', 'Root', 'IsNonstandard', 'Underlying', - 'Underlying_Price', 'Quote_Time']) + 'Underlying_Price', 'Quote_Time', 'Last_Trade_Date', 'JSON']) tm.assert_index_equal(df.columns, exp_columns) tm.assert_equal(df.index.names, [u'Strike', u'Expiry', u'Type', u'Symbol']) dtypes = [np.dtype(x) for x in ['float64'] * 5 + - ['int64', 'int64', 'float64', 'object', 'bool', 'object', 'float64', 'datetime64[ns]']] + ['int64', 'int64', 'float64', 'object', 'bool', 'object', 'float64', 'datetime64[ns]', + 'datetime64[ns]', 'object']] tm.assert_series_equal(df.dtypes, pd.Series(dtypes, index=exp_columns)) def test_get_options_data(self): @@ -103,7 +101,7 @@ def test_get_put_data(self): def test_get_expiry_dates(self): try: - dates, _ = self.aapl._get_expiry_dates_and_links() + dates = self.aapl._get_expiry_dates() except RemoteDataError as e: # pragma: no cover raise nose.SkipTest(e) self.assertTrue(len(dates) > 1) @@ -139,21 +137,13 @@ 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) + quote_price = options_object.underlying_price 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) + price, quote_time = self.aapl.underlying_price, self.aapl.quote_time self.assertTrue(isinstance(price, (int, float, complex))) self.assertTrue(isinstance(quote_time, (datetime, pd.Timestamp))) @@ -194,7 +184,7 @@ def test_month_year(self): def test_empty_table(self): # GH22 - empty = self.aapl._option_frames_from_url(self.html3)['puts'] + empty = self.aapl._process_data(self.aapl._parse_url(self.json2)) self.assertTrue(len(empty) == 0) if __name__ == '__main__': diff --git a/pandas_datareader/yahoo/options.py b/pandas_datareader/yahoo/options.py index 73429ad8..0149ac86 100644 --- a/pandas_datareader/yahoo/options.py +++ b/pandas_datareader/yahoo/options.py @@ -1,11 +1,12 @@ import warnings import datetime as dt import numpy as np +import json from pandas import to_datetime -from pandas import concat, DatetimeIndex, Series +from pandas import concat, DatetimeIndex, Series, MultiIndex +from pandas.io.json import read_json from pandas.tseries.offsets import MonthEnd -from pandas.io.parsers import TextParser from pandas import DataFrame from pandas_datareader._utils import RemoteDataError @@ -17,23 +18,8 @@ CUR_DAY = dt.datetime.now().day -def _two_char(s): - return '{0:0>2}'.format(s) - - -def _unpack(row, kind='td'): - return [val.text_content().strip() for val in row.findall(kind)] - - -def _parse_options_data(table): - header = table.findall('thead/tr') - header = _unpack(header[0], kind='th') - rows = table.findall('tbody/tr') - data = [_unpack(r) for r in rows] - if len(data) > 0: - return TextParser(data, names=header, thousands=',').get_chunk() - else: # Empty table - return DataFrame(columns=header) +def _parse_options_data(jd): + return read_json(jd) class Options(_OptionBaseReader): @@ -78,8 +64,7 @@ class Options(_OptionBaseReader): >>> all_data = aapl.get_all_data() """ - _OPTIONS_BASE_URL = 'http://finance.yahoo.com/q/op?s={sym}' - _FINANCE_BASE_URL = 'http://finance.yahoo.com' + _OPTIONS_BASE_URL = 'https://query1.finance.yahoo.com/v7/finance/options/{sym}' def get_options_data(self, month=None, year=None, expiry=None): """ @@ -112,6 +97,7 @@ def get_options_data(self, month=None, year=None, expiry=None): Columns: Last: Last option price, float Chg: Change from prior day, float + PctChg: Change from prior day in percent, float Bid: Bid price, float Ask: Ask price, float Vol: Volume traded, int64 @@ -120,6 +106,10 @@ def get_options_data(self, month=None, year=None, expiry=None): Underlying: Ticker of the underlying security, string Underlying_Price: Price of the underlying security, float64 Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed Notes ----- @@ -144,42 +134,19 @@ def get_options_data(self, month=None, year=None, expiry=None): for f in (self.get_put_data, self.get_call_data)]).sortlevel() - def _get_option_frames_from_yahoo(self, expiry): - url = self._yahoo_url_from_expiry(expiry) - option_frames = self._option_frames_from_url(url) - frame_name = '_frames' + self._expiry_to_string(expiry) - setattr(self, frame_name, option_frames) - return option_frames - - @staticmethod - def _expiry_to_string(expiry): - m1 = _two_char(expiry.month) - d1 = _two_char(expiry.day) - return str(expiry.year)[-2:] + m1 + d1 + def _option_from_url(self, url): - def _yahoo_url_from_expiry(self, expiry): + jd = self._parse_url(url) + result = jd['optionChain']['result'] try: - expiry_links = self._expiry_links - - except AttributeError: # pragma: no cover - _, expiry_links = self._get_expiry_dates_and_links() - - return self._FINANCE_BASE_URL + expiry_links[expiry] - - def _option_frames_from_url(self, url): - - root = self._parse_url(url) - try: - calls = root.xpath('//*[@id="optionsCallsTable"]/div[2]/div/table')[0] - puts = root.xpath('//*[@id="optionsPutsTable"]/div[2]/div/table')[0] + calls = result['options']['calls'] + puts = result['options']['puts'] except IndexError: - raise RemoteDataError('Option Table not available for url: %s' % url) + raise RemoteDataError('Option json not available for url: %s' % url) - if not hasattr(self, 'underlying_price'): - try: - self.underlying_price, self.quote_time = self._underlying_price_and_time_from_url(url) - except IndexError: - self.underlying_price, self.quote_time = np.nan, np.nan + self.underlying_price = result['quote']['regularMarketPrice'] if result['quote']['marketState'] == 'PRE' else result['quote']['preMarketPrice'] + quote_unix_time = result['quote']['regularMarketTime'] if result['quote']['marketState'] == 'PRE' else result['quote']['preMarketTime'] + self.quote_time = dt.datetime.fromtimestamp(quote_unix_time) calls = _parse_options_data(calls) puts = _parse_options_data(puts) @@ -189,39 +156,6 @@ def _option_frames_from_url(self, url): return {'calls': calls, 'puts': puts} - def _underlying_price_and_time_from_url(self, url): - root = self._parse_url(url) - underlying_price = self._underlying_price_from_root(root) - quote_time = self._quote_time_from_root(root) - return underlying_price, quote_time - - @staticmethod - def _underlying_price_from_root(root): - underlying_price = root.xpath('.//*[@class="time_rtq_ticker Fz-30 Fw-b"]')[0]\ - .getchildren()[0].text - underlying_price = underlying_price.replace(',', '') # GH11 - - try: - underlying_price = float(underlying_price) - except ValueError: - underlying_price = np.nan - - return underlying_price - - @staticmethod - def _quote_time_from_root(root): - # Gets the time of the quote, note this is actually the time of the underlying price. - try: - quote_time_text = root.xpath('.//*[@class="time_rtq Fz-m"]')[0].getchildren()[1].getchildren()[0].text - # TODO: Enable timezone matching when strptime can match EST with %Z - quote_time_text = quote_time_text.split(' ')[0] - quote_time = dt.datetime.strptime(quote_time_text, "%I:%M%p") - quote_time = quote_time.replace(year=CUR_YEAR, month=CUR_MONTH, day=CUR_DAY) - except ValueError: - quote_time = np.nan - - return quote_time - def _get_option_data(self, expiry, name): frame_name = '_frames' + self._expiry_to_string(expiry) @@ -268,6 +202,7 @@ def get_call_data(self, month=None, year=None, expiry=None): Columns: Last: Last option price, float Chg: Change from prior day, float + PctChg: Change from prior day in percent, float Bid: Bid price, float Ask: Ask price, float Vol: Volume traded, int64 @@ -276,6 +211,10 @@ def get_call_data(self, month=None, year=None, expiry=None): Underlying: Ticker of the underlying security, string Underlying_Price: Price of the underlying security, float64 Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed Notes ----- @@ -329,6 +268,7 @@ def get_put_data(self, month=None, year=None, expiry=None): Columns: Last: Last option price, float Chg: Change from prior day, float + PctChg: Change from prior day in percent, float Bid: Bid price, float Ask: Ask price, float Vol: Volume traded, int64 @@ -337,6 +277,10 @@ def get_put_data(self, month=None, year=None, expiry=None): Underlying: Ticker of the underlying security, string Underlying_Price: Price of the underlying security, float64 Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed Notes ----- @@ -396,12 +340,35 @@ def get_near_stock_price(self, above_below=2, call=True, put=False, desired. If there isn't data as far out as the user has asked for then + Index: + Strike: Option strike, int + Expiry: Option expiry, Timestamp + Type: Call or Put, string + Symbol: Option symbol as reported on Yahoo, string + Columns: + Last: Last option price, float + Chg: Change from prior day, float + PctChg: Change from prior day in percent, float + Bid: Bid price, float + Ask: Ask price, float + Vol: Volume traded, int64 + Open_Int: Open interest, int64 + IsNonstandard: True if the the deliverable is not 100 shares, otherwise false + Underlying: Ticker of the underlying security, string + Underlying_Price: Price of the underlying security, float64 + Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed + Note: Format of returned data frame is dependent on Yahoo and may change. """ expiry = self._try_parse_dates(year, month, expiry) data = self._get_data_in_date_range(expiry, call=call, put=put) - return self._chop_data(data, above_below, self.underlying_price) + underlying_price = data.Underlying_Price[0] + return self._chop_data(data, above_below, underlying_price) def _chop_data(self, df, above_below=2, underlying_price=None): """Returns a data frame only options that are near the current stock price.""" @@ -530,6 +497,7 @@ def get_forward_data(self, months, call=True, put=False, near=False, Columns: Last: Last option price, float Chg: Change from prior day, float + PctChg: Change from prior day in percent, float Bid: Bid price, float Ask: Ask price, float Vol: Volume traded, int64 @@ -538,13 +506,17 @@ def get_forward_data(self, months, call=True, put=False, near=False, Underlying: Ticker of the underlying security, string Underlying_Price: Price of the underlying security, float64 Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed Note: Format of returned data frame is dependent on Yahoo and may change. """ warnings.warn("get_forward_data() is deprecated", FutureWarning) end_date = dt.date.today() + MonthEnd(months) - dates = (date for date in self.expiry_dates if date <= end_date.date()) + dates = [date for date in self.expiry_dates if date <= end_date.date()] data = self._get_data_in_date_range(dates, call=call, put=put) if near: data = self._chop_data(data, above_below=above_below) @@ -577,6 +549,7 @@ def get_all_data(self, call=True, put=True): Columns: Last: Last option price, float Chg: Change from prior day, float + PctChg: Change from prior day in percent, float Bid: Bid price, float Ask: Ask price, float Vol: Volume traded, int64 @@ -585,30 +558,51 @@ def get_all_data(self, call=True, put=True): Underlying: Ticker of the underlying security, string Underlying_Price: Price of the underlying security, float64 Quote_Time: Time of the quote, Timestamp + Last_Trade_Date: Time of the last trade for this expiry and strike, Timestamp + IV: Implied volatility, float + JSON: Parsed json object, json + Useful to extract other returned key/value pairs as needed Note: Format of returned data frame is dependent on Yahoo and may change. """ - - expiry_dates = self.expiry_dates - return self._get_data_in_date_range(dates=expiry_dates, call=call, put=put) + return self._load_data() def _get_data_in_date_range(self, dates, call=True, put=True): to_ret = Series({'calls': call, 'puts': put}) to_ret = to_ret[to_ret].index - data = [] - for name in to_ret: - for expiry_date in dates: - nam = name + self._expiry_to_string(expiry_date) - try: # Try to access on the instance - frame = getattr(self, nam) - except AttributeError: - frame = self._get_option_data(expiry=expiry_date, name=name) - data.append(frame) + df = self._load_data(dates) + types = [typ for typ in to_ret] - return concat(data).sortlevel() + df_filtered_by_type = df[df.index.map(lambda x: x[2] in types)] + df_filtered_by_expiry = df_filtered_by_type[df_filtered_by_type.index.get_level_values('Expiry').isin(dates)] + return df_filtered_by_expiry + + @property + def underlying_price(self): + """ + Returns the underlying price. + """ + try: + underlying_price = self._underlying_price + except AttributeError: + data = self.get_options_data() + underlying_price = data.Underlying_Price[0] + return underlying_price + + @property + def quote_time(self): + """ + Returns the quote time. + """ + try: + quote_time = self._quote_time + except AttributeError: + data = self.get_options_data() + quote_time = data.Quote_Time[0] + return quote_time @property def expiry_dates(self): @@ -618,81 +612,152 @@ def expiry_dates(self): try: expiry_dates = self._expiry_dates except AttributeError: - expiry_dates, _ = self._get_expiry_dates_and_links() + expiry_dates = self._get_expiry_dates() return expiry_dates - def _get_expiry_dates_and_links(self): + def _get_expiry_dates(self): """ Gets available expiry dates. Returns ------- - Tuple of: List of datetime.date objects - Dict of datetime.date objects as keys and corresponding links """ url = self._OPTIONS_BASE_URL.format(sym=self.symbol) - root = self._parse_url(url) + jd = self._parse_url(url) - try: - links = root.xpath('//*[@id="options_menu"]/form/select/option') - except IndexError: # pragma: no cover - raise RemoteDataError('Expiry dates not available') - - expiry_dates = [dt.datetime.strptime(element.text, "%B %d, %Y").date() for element in links] - links = [element.attrib['data-selectbox-link'] for element in links] + expiry_dates =\ + [dt.datetime.utcfromtimestamp(ts).date() for ts in jd['optionChain']['result'][0]['expirationDates']] if len(expiry_dates) == 0: raise RemoteDataError('Data not available') # pragma: no cover - expiry_links = dict(zip(expiry_dates, links)) - self._expiry_links = expiry_links self._expiry_dates = expiry_dates - return expiry_dates, expiry_links + return expiry_dates def _parse_url(self, url): """ - Downloads and parses a URL, returns xml root. + Downloads and parses a URL into a json object. + Parameters + ---------- + url : String + The url to load and parse + + Returns + ------- + A JSON object """ - try: - from lxml.html import parse - except ImportError: # pragma: no cover - raise ImportError("Please install lxml if you want to use the " - "{0!r} class".format(self.__class__.__name__)) - doc = parse(self._read_url_as_StringIO(url)) - root = doc.getroot() - if root is None: # pragma: no cover - raise RemoteDataError("Parsed URL {0!r} has no root" - "element".format(url)) - return root - - def _process_data(self, frame, type): + jd = json.loads(self._read_url_as_StringIO(url).read()) + if jd is None: # pragma: no cover + raise RemoteDataError("Parsed URL {0!r} is not a valid json object".format(url)) + return jd + + def _process_data(self, jd): """ - Adds columns for Expiry, IsNonstandard (ie: deliverable is not 100 shares) - and Tag (the tag indicating what is actually deliverable, None if standard). + Parse JSON data into the DataFrame + + Also adds computed columns for: + IsNonstandard (ie: deliverable is not 100 shares) + Parameters + ---------- + jd : json object + a json object containing the data to process + + Returns + ------- + pandas.DataFrame + A DataFrame with requested options data. """ - frame.columns = ['Strike', 'Symbol', 'Last', 'Bid', 'Ask', 'Chg', 'PctChg', 'Vol', 'Open_Int', 'IV'] - frame["Rootexp"] = frame.Symbol.str[0:-9] - frame["Root"] = frame.Rootexp.str[0:-6] - frame["Expiry"] = to_datetime(frame.Rootexp.str[-6:], format='%y%m%d') - # Removes dashes in equity ticker to map to option ticker. - # Ex: BRK-B to BRKB140517C00100000 - frame["IsNonstandard"] = frame['Root'] != self.symbol.replace('-', '') - del frame["Rootexp"] - frame["Underlying"] = self.symbol - try: - frame['Underlying_Price'] = self.underlying_price - frame["Quote_Time"] = self.quote_time - except AttributeError: # pragma: no cover - frame['Underlying_Price'] = np.nan - frame["Quote_Time"] = np.nan - frame.rename(columns={'Open Int': 'Open_Int'}, inplace=True) - frame['IV'] = frame['IV'].str.replace(',', '').str.strip('%').astype(float) / 100 - frame['PctChg'] = frame['PctChg'].str.replace(',', '').str.strip('%').astype(float) / 100 - frame['Type'] = type - frame.set_index(['Strike', 'Expiry', 'Type', 'Symbol'], inplace=True) - - return frame + + columns = ['Last', 'Bid', 'Ask', 'Chg', 'PctChg', 'Vol', + 'Open_Int', 'IV', 'Root', 'IsNonstandard', 'Underlying', 'Underlying_Price', 'Quote_Time', + 'Last_Trade_Date', 'JSON'] + indexes = ['Strike', 'Expiry', 'Type', 'Symbol'] + rows_list, index = self._process_rows(jd) + if len(rows_list) > 0: + df = DataFrame(rows_list, columns=columns, index=MultiIndex.from_tuples(index, names=indexes)) + else: + df = DataFrame(columns=columns) + + df['IsNonstandard'] = df['Root'] != self.symbol.replace('-', '') + + return df.sort_index() + + def _process_rows(self, jd): + rows_list = [] + index = [] + + # handle no results + if len(jd['optionChain']['result']) <= 0: + return rows_list, index + + quote = jd['optionChain']['result'][0]['quote'] + for option in jd['optionChain']['result'][0]['options']: + for typ in ['calls', 'puts']: + options_by_type = option[typ] + for option_by_strike in options_by_type: + d = {} + for dkey, rkey, ntype in [('Last', 'lastPrice', float), ('Bid', 'bid', float), + ('Ask', 'ask', float), ('Chg', 'change', float), + ('PctChg', 'percentChange', float), ('Vol', 'volume', int), + ('Open_Int', 'openInterest', int), ('IV', 'impliedVolatility', float), + ('Last_Trade_Date', 'lastTradeDate', int)]: + try: + d[dkey] = ntype(option_by_strike[rkey]) + except (KeyError, ValueError): + pass + d['JSON'] = option_by_strike + d['Root'] = option_by_strike['contractSymbol'][:-15] + d['Underlying'] = self.symbol + + d['Underlying_Price'] = quote['regularMarketPrice'] + quote_unix_time = quote['regularMarketTime'] + if quote['marketState'] == 'PRE' and 'preMarketPrice' in quote: + d['Underlying_Price'] = quote['preMarketPrice'] + quote_unix_time = quote['preMarketTime'] + elif quote['marketState'] == 'POSTPOST' and 'postMarketPrice' in quote: + d['Underlying_Price'] = quote['postMarketPrice'] + quote_unix_time = quote['postMarketTime'] + d['Quote_Time'] = dt.datetime.utcfromtimestamp(quote_unix_time) + + self._underlying_price = d['Underlying_Price'] + self._quote_time = d['Quote_Time'] + + d['Last_Trade_Date'] = dt.datetime.utcfromtimestamp(d['Last_Trade_Date']) + + rows_list.append(d) + index.append((float(option_by_strike['strike']), + dt.datetime.utcfromtimestamp(option_by_strike['expiration']), + typ, + option_by_strike['contractSymbol'])) + return rows_list, index + + def _load_data(self, exp_dates=None): + """ + Loads options data. + + Parameters + ---------- + exp_dates : tuple of datetimes, optional(default=None) + The expiry dates to load options data for. If none is specified, uses all expiry dates available for the + symbol. + + Returns + ------- + pandas.DataFrame + A DataFrame with requested options data. + """ + epoch = dt.datetime.utcfromtimestamp(0) + if exp_dates is None: + exp_dates = self._get_expiry_dates() + exp_unix_times = [int((dt.datetime(exp_date.year, exp_date.month, exp_date.day) - epoch).total_seconds()) + for exp_date in exp_dates] + data = [] + for exp_date in exp_unix_times: + url = (self._OPTIONS_BASE_URL + '?date={exp_date}').format(sym=self.symbol, exp_date=exp_date) + jd = self._parse_url(url) + data.append(self._process_data(jd)) + return concat(data).sortlevel()