Information
This package extend from https://github.com/timkpaine/tdameritrade I crawled data options from TD Ameritrade API with thousand requests by hour and my application has generated over 11k tokens in the last few hours when I use tdameritrade package maybe when I send a get request to TDA then a token generated so TD Ameritrade API team notice me. Then I used redis to keep token and using it in 30minute before re-generated. I only modified session.py file and keep others. Bonus, I created 2 methods to get history stock price and options straddle as Yahoo Options.
Installation
pip install pip install tdameritrade-ext --upgrade
Get Options
- Get options
from tdameritrade_ext.client import TDClient
import time
c = TDClient()
data = c.options('AAPL', fromDate=time.strftime("%Y-%m-%d"))Get Options Chain as Straddle (similar Yahoo Options)
def get_option_chain(ticker):
df = None
try:
c = TDClient()
df = c.options(ticker, fromDate=time.strftime("%Y-%m-%d"))
except AssertionError as e:
print("error 1", e)
log.exception(e)
except Exception as e:
print("error 2", e)
log.exception(e)
if df == None:
return None
putExp = df['putExpDateMap']
puts = {}
for date, put in putExp.items():
dates = date.split(":")
date_expiration = dates[0]
itemputs = {}
for strike, itemstrikes in put.items():
if strike[-2:] == '.0':
strike = round(float(strike))
itemstrike = itemstrikes[0]
itemput = {
'strike': strike,
'put': {
'contractSymbol': itemstrike['symbol'],
'strike': strike,
'lastPrice': itemstrike['last'],
'change': itemstrike['netChange'],
'percentChange': itemstrike['percentChange'],
'volume': itemstrike['totalVolume'],
'openInterest': itemstrike['openInterest'],
'impliedVolatility': itemstrike['volatility'],
'open': itemstrike['openPrice'],
'high': itemstrike['highPrice'],
'low': itemstrike['lowPrice'],
'close': itemstrike['closePrice'],
'date': itemstrike['tradeTimeInLong'],
'bid': itemstrike['bid'],
'ask': itemstrike['ask']
}
}
itemputs[strike] = itemput
puts[date_expiration] = itemputs
callExp = df['callExpDateMap']
calls = {}
for date, call in callExp.items():
dates = date.split(":")
date_expiration = dates[0]
put = puts[date_expiration] if date_expiration in puts else {}
itemcalls = []
for strike, itemstrikes in call.items():
if strike[-2:] == '.0':
strike = round(float(strike))
itemstrike = itemstrikes[0]
itemcall = {
'strike': strike,
'call': {
'contractSymbol': itemstrike['symbol'],
'strike': strike,
'lastPrice': itemstrike['last'],
'change': itemstrike['netChange'],
'percentChange': itemstrike['percentChange'],
'volume': itemstrike['totalVolume'],
'openInterest': itemstrike['openInterest'],
'impliedVolatility': itemstrike['volatility'],
'open': itemstrike['openPrice'],
'high': itemstrike['highPrice'],
'low': itemstrike['lowPrice'],
'close': itemstrike['closePrice'],
'date': itemstrike['tradeTimeInLong'],
'bid': itemstrike['bid'],
'ask': itemstrike['ask']
},
'put': put[strike]['put'] if strike in put else {}
}
itemcalls.append(itemcall)
calls[date_expiration] = itemcalls
return calls- Get history by ticker and interval: 1m, 5m, 10m, 15m, 30m, 1h, 1d
def get_data_ticker(ticker, interval):
c = TDClient()
period_type = 'day'
period = 1
frequency_type = 'minute'
frequency = 1
if (interval == '5m'):
frequency = 5
period = 2
elif (interval == '10m'):
frequency = 10
period = 3
elif (interval == '15m'):
frequency = 15
period = 5
elif (interval == '30m'):
frequency = 30
period = 10
elif (interval == '1h'):
frequency = 30
period = 2
elif (interval == '1d'):
period_type = 'month'
period = 6
frequency_type = 'daily'
frequency = 1
resp = c.history(symbol=ticker,
periodType=period_type,
period=period,
frequencyType=frequency_type,
frequency=frequency)
if 'candles' not in resp:
return None
candles = resp['candles']
if (interval == '1h'):
datas = []
for item in candles:
date_time = datetime.fromtimestamp(item['datetime'] / 1000)
m = date_time.minute
if m == 0:
datas.append(item)
else:
datas = candles
return datas
