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"""Cboe Options Chains Model."""
# pylint: disable=invalid-name, unused-argument
from datetime import datetime
from typing import Any, Dict, List, Optional
from openbb_cboe.utils.helpers import (
TICKER_EXCEPTIONS,
get_company_directory,
get_index_directory,
)
from openbb_core.provider.abstract.fetcher import Fetcher
from openbb_core.provider.standard_models.options_chains import (
OptionsChainsData,
OptionsChainsQueryParams,
)
from openbb_core.provider.utils.errors import EmptyDataError
from openbb_core.provider.utils.helpers import amake_request
from pandas import DataFrame, DatetimeIndex, Series, to_datetime
from pydantic import Field
class CboeOptionsChainsQueryParams(OptionsChainsQueryParams):
"""CBOE Options Chains Query.
Source: https://www.cboe.com/
"""
use_cache: bool = Field(
default=True,
description="When True, the company directories will be cached for"
+ "24 hours and are used to validate symbols."
+ " The results of the function are not cached. Set as False to bypass.",
)
class CboeOptionsChainsData(OptionsChainsData):
"""CBOE Options Chains Data."""
last_trade_timestamp: Optional[datetime] = Field(
description="Last trade timestamp of the option.", default=None
)
dte: int = Field(description="Days to expiration for the option.")
class CboeOptionsChainsFetcher(
Fetcher[
CboeOptionsChainsQueryParams,
List[CboeOptionsChainsData],
]
):
"""Transform the query, extract and transform the data from the CBOE endpoints."""
@staticmethod
def transform_query(params: Dict[str, Any]) -> CboeOptionsChainsQueryParams:
"""Transform the query."""
return CboeOptionsChainsQueryParams(**params)
@staticmethod
async def aextract_data(
query: CboeOptionsChainsQueryParams,
credentials: Optional[Dict[str, str]],
**kwargs: Any,
) -> List[Dict]:
"""Return the raw data from the Cboe endpoint"""
symbol = query.symbol.replace("^", "").split(",")[0]
INDEXES = await get_index_directory(use_cache=query.use_cache)
SYMBOLS = await get_company_directory(use_cache=query.use_cache)
INDEXES = INDEXES.set_index("index_symbol")
if symbol not in SYMBOLS.index:
raise RuntimeError(f"{symbol} was not found in the Cboe options directory.")
quotes_url = (
f"https://cdn.cboe.com/api/global/delayed_quotes/options/_{symbol}.json"
if symbol in TICKER_EXCEPTIONS or symbol in INDEXES.index
else f"https://cdn.cboe.com/api/global/delayed_quotes/options/{symbol}.json"
)
return await amake_request(quotes_url)
@staticmethod
def transform_data(
query: CboeOptionsChainsQueryParams,
data: List[Dict],
**kwargs: Any,
) -> List[CboeOptionsChainsData]:
"""Transform the data to the standard format"""
if not data:
raise EmptyDataError()
options_df = DataFrame.from_records(data["data"]["options"])
options_df = options_df.rename(
columns={
"option": "contract_symbol",
"iv": "implied_volatility",
"theo": "theoretical_price",
"percent_change": "change_percent",
"prev_day_close": "prev_close",
"last_trade_time": "last_trade_timestamp",
}
)
# Parses the option symbols into columns for expiration, strike, and option_type
option_df_index = options_df["contract_symbol"].str.extractall(
r"^(?P<Ticker>\D*)(?P<expiration>\d*)(?P<option_type>\D*)(?P<strike>\d*)"
)
option_df_index = option_df_index.reset_index().drop(
columns=["match", "level_0"]
)
option_df_index.option_type = option_df_index.option_type.str.replace(
"C", "call"
).str.replace("P", "put")
option_df_index.strike = [ele.lstrip("0") for ele in option_df_index.strike]
option_df_index.strike = Series(option_df_index.strike).astype(float)
option_df_index.strike = option_df_index.strike * (1 / 1000)
option_df_index.strike = option_df_index.strike.to_list()
option_df_index.expiration = [
ele.lstrip("1") for ele in option_df_index.expiration
]
option_df_index.expiration = DatetimeIndex(
option_df_index.expiration, yearfirst=True
).astype(str)
option_df_index = option_df_index.drop(columns=["Ticker"])
# Joins the parsed symbol into the dataframe.
quotes = option_df_index.join(options_df)
now = datetime.now()
temp = DatetimeIndex(quotes.expiration)
temp_ = (temp - now).days + 1
quotes["dte"] = temp_
quotes["last_trade_timestamp"] = (
to_datetime(quotes["last_trade_timestamp"], format="%Y-%m-%dT%H:%M:%S")
.fillna(value="-")
.replace("-", None)
)
quotes = quotes.set_index(
keys=["expiration", "strike", "option_type"]
).sort_index()
quotes["open_interest"] = quotes["open_interest"].astype("int64")
quotes["volume"] = quotes["volume"].astype("int64")
quotes["bid_size"] = quotes["bid_size"].astype("int64")
quotes["ask_size"] = quotes["ask_size"].astype("int64")
quotes["prev_close"] = round(quotes["prev_close"], 2)
quotes["change_percent"] = round(quotes["change_percent"] / 100, 4)
return [
CboeOptionsChainsData.model_validate(d)
for d in quotes.reset_index().to_dict("records")
]
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