""" OpenBB client for fetching SPY/SPX option chain data. This is the primary data source for option prices. """ from typing import Optional, Dict, List, Tuple from datetime import datetime, timedelta import pandas as pd import numpy as np from openbb import obb class OpenBBClient: """Client for fetching option data from OpenBB.""" def __init__(self): """Initialize OpenBB client.""" # OpenBB 4.0+ doesn't require explicit initialization pass def get_spy_options( self, ticker: str = "SPY", min_expiry_days: int = 7, max_expiry_days: int = 90 ) -> pd.DataFrame: """ Fetch SPY option chain data. Args: ticker: Ticker symbol (SPY or SPX) min_expiry_days: Minimum days to expiration max_expiry_days: Maximum days to expiration Returns: DataFrame with columns: - strike: Strike price - expiration: Expiration date - optionType: 'call' or 'put' - bid: Bid price - ask: Ask price - lastPrice: Last traded price - volume: Volume - openInterest: Open interest - impliedVolatility: Implied volatility - delta: Option delta - gamma: Option gamma - theta: Option theta - vega: Option vega """ try: # Fetch option chain using OpenBB 4.0+ API data = obb.equity.options.chains( symbol=ticker, provider="intrinio" # Free provider ) if data is None or len(data) == 0: raise ValueError(f"No option data returned for {ticker}") # Convert to DataFrame df = data.to_df() # Filter by expiration date today = pd.Timestamp.now() df['days_to_expiry'] = (pd.to_datetime(df['expiration']) - today).dt.days df = df[ (df['days_to_expiry'] >= min_expiry_days) & (df['days_to_expiry'] <= max_expiry_days) ] # Clean data df = self._clean_option_data(df) return df except Exception as e: raise RuntimeError(f"Failed to fetch option data from OpenBB: {str(e)}") def get_spot_price(self, ticker: str = "SPY") -> float: """ Get current spot price for the underlying. Args: ticker: Ticker symbol Returns: Current price """ try: quote = obb.equity.quote(symbol=ticker) df = quote.to_df() return float(df['last_price'].iloc[0]) except Exception as e: raise RuntimeError(f"Failed to fetch spot price: {str(e)}") def get_option_expirations(self, ticker: str = "SPY") -> List[str]: """ Get available option expiration dates. Args: ticker: Ticker symbol Returns: List of expiration dates (YYYY-MM-DD format) """ try: df = self.get_spy_options(ticker=ticker, min_expiry_days=0, max_expiry_days=365) expirations = df['expiration'].unique() return sorted([str(d) for d in expirations]) except Exception as e: raise RuntimeError(f"Failed to fetch expirations: {str(e)}") def get_options_by_expiration( self, expiration_date: str, ticker: str = "SPY" ) -> Tuple[pd.DataFrame, pd.DataFrame]: """ Get calls and puts for a specific expiration date. Args: expiration_date: Expiration date (YYYY-MM-DD) ticker: Ticker symbol Returns: Tuple of (calls_df, puts_df) """ df = self.get_spy_options(ticker=ticker, min_expiry_days=0, max_expiry_days=365) df_exp = df[df['expiration'] == expiration_date] calls = df_exp[df_exp['optionType'] == 'call'].sort_values('strike') puts = df_exp[df_exp['optionType'] == 'put'].sort_values('strike') return calls, puts def _clean_option_data(self, df: pd.DataFrame) -> pd.DataFrame: """ Clean and validate option data. Args: df: Raw option DataFrame Returns: Cleaned DataFrame """ # Remove rows with missing critical data df = df.dropna(subset=['strike', 'lastPrice', 'impliedVolatility']) # Remove zero or negative prices df = df[df['lastPrice'] > 0] # Remove zero or negative IV df = df[df['impliedVolatility'] > 0] # Calculate mid price from bid-ask if available if 'bid' in df.columns and 'ask' in df.columns: df['midPrice'] = (df['bid'] + df['ask']) / 2 # Use mid price if available and reasonable df['price'] = df.apply( lambda row: row['midPrice'] if pd.notna(row['midPrice']) and row['midPrice'] > 0 else row['lastPrice'], axis=1 ) else: df['price'] = df['lastPrice'] # Sort by strike df = df.sort_values(['expiration', 'strike']) return df def get_spy_options(*args, **kwargs) -> pd.DataFrame: """Convenience function to fetch SPY options.""" client = OpenBBClient() return client.get_spy_options(*args, **kwargs) def get_spot_price(ticker: str = "SPY") -> float: """Convenience function to get spot price.""" client = OpenBBClient() return client.get_spot_price(ticker) if __name__ == "__main__": # Test the client print("Testing OpenBB client...") try: client = OpenBBClient() # Get spot price spot = client.get_spot_price("SPY") print(f"SPY spot price: ${spot:.2f}") # Get option chain options = client.get_spy_options("SPY", min_expiry_days=20, max_expiry_days=40) print(f"\nFetched {len(options)} option contracts") print(f"Expirations: {options['expiration'].unique()}") print(f"Strike range: ${options['strike'].min():.2f} - ${options['strike'].max():.2f}") # Show sample data print("\nSample data:") print(options.head()) print("\n✅ OpenBB client test passed!") except Exception as e: print(f"\n❌ OpenBB client test failed: {str(e)}")