quantmod (version 0.4.20)

getOptionChain.orats: Download Option Chain Data from orats

Description

Function to download option chain data from orats.

Usage

getOptionChain.orats(Symbols, Exp, api.key, dte, delta)

Value

For orats, returns A named list containing five data.frames, one each for calls and puts that follows a similar form to the return from yahoo, but does not have a Last price and instead has a Ticker column for multiple ticker requests. The *_extra data.frames contain additional information from the ‘orats’ API end point whose definitions are available at the URL in the references. If more than one expiration was requested, The results will be returned as a list within list of length length(Exp). Each element of this list will be named with the expiration month, day, and year (%b.%d.%Y).

If Exp is set to NULL, all expirations will be returned. Not explicitly setting will only return the front month.

Arguments

Symbols

The name of the underlying symbol. Source ‘yahoo’ only allows for a single ticker while source ‘orats’ can return multiple tickers.

Exp

One or more expiration dates, NULL, or an ISO-8601 style string. If Exp is missing, only the front month contract will be returned.

api.key

A character vector for the key given with an account for accessing the orats API. If missing, the function will look for an environment variable ORATS_API_KEY containing the API key.

dte

A vector of two integers giving a range of expiry dates to subset the results by.

delta

A vector of two integers giving a range deltas to subset the results by.

Author

Steve Bronder

Details

This function is a wrapper to data-provider specific APIs. By default the data is sourced from yahoo.

References

https://docs.orats.io/datav2-api-guide/data.html#strikes

Examples

if (FALSE) {
# Only the front-month expiry
AAPL.OPT <- getOptionChain("AAPL", 
  api.key = Sys.getenv("ORATS_API_KEY"))
# All expiries
AAPL.OPTS <- getOptionChain("AAPL", NULL,
  api.key = Sys.getenv("ORATS_API_KEY"))
# All 2015 and 2016 expiries
AAPL.2015 <- getOptionChain("AAPL", "2015/2016", 
  api.key = Sys.getenv("ORATS_API_KEY"))
}