providers incl. real-time Alpaca

options_scanner/data.py

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+"""Market data providers — one normalized interface, four adapters.
+
+- YFinanceProvider: free, ~15-min delayed. Zero setup. Default.
+- TradierProvider:  real-time with an API key (broker account, free tier).
+- PolygonProvider:  real-time snapshot with API key.
+- AlpacaProvider:   real-time snapshots with key/secret (greeks computed).
+
+Set keys as environment variables TRADIER_API_KEY / POLYGON_API_KEY /
+ALPACA_KEY_ID + ALPACA_SECRET_KEY and the scanner picks the best available
+provider automatically (Tradier > Alpaca > Polygon > yfinance), or force one
+with provider="tradier|alpaca|polygon|yfinance".
+"""
+import os
+import json
+import urllib.request
+from datetime import datetime, date, timezone
+
+from .chain_model import Chain, Quote
+from .pricing import bs_delta, implied_vol, bs_gamma, bs_theta, bs_vega
+
+
+class DataProvider:
+    name = "base"
+
+    def get_spot(self, symbol):
+        raise NotImplementedError
+
+    def get_chain(self, symbol, max_expiries=6):
+        raise NotImplementedError
+
+    def get_next_earnings(self, symbol):
+        return ""
+
+    def _fetch_json(self, url, headers=None, timeout=15):
+        req = urllib.request.Request(url, headers=headers or {"User-Agent": "options-scanner/1.0"})
+        with urllib.request.urlopen(req, timeout=timeout) as resp:
+            return json.loads(resp.read().decode())
+
+
+class YFinanceProvider(DataProvider):
+    """Free delayed data. Requires `pip install yfinance`."""
+    name = "yfinance"
+
+    def __init__(self):
+        import yfinance as yf  # noqa: F401  (fail fast if missing)
+        self._yf = yf
+
+    def get_spot(self, symbol):
+        t = self._yf.Ticker(symbol)
+        price = None
+        try:
+            fi = t.fast_info
+            price = fi["lastPrice"] if "lastPrice" in fi else fi.last_price
+        except Exception:
+            pass
+        if not price:
+            price = t.history(period="1d")["Close"].iloc[-1]
+        return float(price)
+
+    def get_next_earnings(self, symbol):
+        try:
+            cal = self._yf.Ticker(symbol).calendar
+            if isinstance(cal, dict):
+                d = cal.get("Earnings Date")
+                if isinstance(d, list) and d:
+                    return d[0].strftime("%Y-%m-%d") if hasattr(d[0], "strftime") else str(d[0])
+                if d and hasattr(d, "strftime"):
+                    return d.strftime("%Y-%m-%d")
+        except Exception:
+            pass
+        return ""
+
+    def get_chain(self, symbol, max_expiries=6):
+        t = self._yf.Ticker(symbol)
+        spot = self.get_spot(symbol)
+        exps = list(t.options)[:max_expiries]
+        quotes = []
+        for exp in exps:
+            oc = t.option_chain(exp)
+            for df, kind in ((oc.calls, "C"), (oc.puts, "P")):
+                for _, row in df.iterrows():
+                    bid, ask = float(row.get("bid", 0) or 0), float(row.get("ask", 0) or 0)
+                    last = float(row.get("lastPrice", 0) or 0)
+                    iv = float(row.get("impliedVolatility", 0) or 0)
+                    dte = (datetime.strptime(exp, "%Y-%m-%d").date() -
+                           datetime.now(timezone.utc).date()).days
+                    delta = bs_delta(spot, float(row["strike"]), max(dte, 0.5) / 365.0, iv, kind)
+                    _v = row.get("volume", 0)
+                    _oi = row.get("openInterest", 0)
+                    quotes.append(Quote(strike=float(row["strike"]), expiry=exp, kind=kind,
+                                        bid=bid, ask=ask, last=last, iv=iv, delta=delta,
+                                        volume=int(_v) if _v == _v else 0,
+                                        open_interest=int(_oi) if _oi == _oi else 0))
+        chain = Chain(symbol=symbol, spot=spot, quotes=quotes)
+        back = chain.expirations(min_dte=25, max_dte=45)
+        chain.iv30 = chain.atm_iv(back[0] if back else (exps[-1] if exps else exps[0])) if quotes else 0.0
+        chain.next_earnings = self.get_next_earnings(symbol)
+        return chain
+
+
+class TradierProvider(DataProvider):
+    """Real-time (with broker account) option chains incl. greeks.
+    TRADIER_API_KEY + optionally TRADIER_BASE (default live)."""
+    name = "tradier"
+
+    def __init__(self, api_key=None, base=None):
+        self.key = api_key or os.environ["TRADIER_API_KEY"]
+        self.base = base or os.environ.get("TRADIER_BASE", "https://api.tradier.com/v1")
+        self.headers = {"Authorization": f"Bearer {self.key}", "Accept": "application/json"}
+
+    def get_spot(self, symbol):
+        data = self._fetch_json(f"{self.base}/markets/quotes?symbols={symbol}", self.headers)
+        return float(data["quotes"]["quote"]["last"])
+
+    def get_chain(self, symbol, max_expiries=6):
+        spot = self.get_spot(symbol)
+        edata = self._fetch_json(f"{self.base}/markets/options/expirations?symbol={symbol}", self.headers)
+        exps = edata["expirations"]["date"][:max_expiries]
+        if isinstance(exps, str):
+            exps = [exps]
+        quotes = []
+        for exp in exps:
+            cdata = self._fetch_json(f"{self.base}/markets/options/chains?symbol={symbol}&expiration={exp}",
+                                     self.headers)
+            opts = (cdata.get("options") or {}).get("option") or []
+            if isinstance(opts, dict):
+                opts = [opts]
+            for o in opts:
+                g = o.get("greeks") or {}
+                quotes.append(Quote(strike=float(o["strike"]), expiry=exp,
+                                    kind="C" if o["option_type"] == "call" else "P",
+                                    bid=float(o.get("bid") or 0), ask=float(o.get("ask") or 0),
+                                    last=float(o.get("last") or 0),
+                                    iv=float(g.get("mid_iv") or 0),
+                                    delta=float(g.get("delta") or 0),
+                                    volume=int(o.get("volume") or 0),
+                                    open_interest=int(o.get("open_interest") or 0)))
+        chain = Chain(symbol=symbol, spot=spot, quotes=quotes)
+        back = chain.expirations(min_dte=25, max_dte=45)
+        chain.iv30 = chain.atm_iv(back[0] if back else exps[0]) if quotes else 0.0
+        return chain
+
+
+class PolygonProvider(DataProvider):
+    """Real-time snapshot chain. Requires POLYGON_API_KEY (options plan)."""
+    name = "polygon"
+
+    def __init__(self, api_key=None):
+        self.key = api_key or os.environ["POLYGON_API_KEY"]
+
+    def get_spot(self, symbol):
+        data = self._fetch_json(f"https://api.polygon.io/v2/aggs/ticker/I:{symbol}/prev")
+        return float(data["results"][0]["c"])
+
+    def get_chain(self, symbol, max_expiries=6):
+        url = (f"https://api.polygon.io/v3/snapshot/options/{symbol}?"
+               f"limit=250&apiKey={self.key}")
+        quotes, spot = [], 0.0
+        while url and len({(q.expiry) for q in quotes}) < max_expiries:
+            data = self._fetch_json(url)
+            for r in data.get("results", []):
+                d = r.get("details", {})
+                exp = d.get("expiration_date")
+                lq = r.get("last_quote") or {}
+                if not exp or r.get("underlying_asset", {}).get("price", 0) == 0:
+                    spot = spot or float(r.get("underlying_asset", {}).get("price") or 0)
+                otype = d.get("contract_type", "").upper()[:1]
+                g = r.get("greeks") or {}
+                quotes.append(Quote(strike=float(d.get("strike_price", 0)), expiry=exp,
+                                    kind="C" if otype == "C" else "P",
+                                    bid=float(lq.get("bid") or 0), ask=float(lq.get("ask") or 0),
+                                    last=float((r.get("last_trade") or {}).get("price") or 0),
+                                    iv=float(r.get("implied_volatility") or 0) / 100.0,
+                                    delta=float(g.get("delta") or 0),
+                                    volume=int((r.get("day") or {}).get("volume") or 0),
+                                    open_interest=int(r.get("open_interest") or 0)))
+            url = data.get("next_url")
+            if url:
+                url += f"&apiKey={self.key}"
+        if spot == 0:
+            spot = self.get_spot(symbol)
+        chain = Chain(symbol=symbol, spot=spot, quotes=quotes)
+        back = chain.expirations(min_dte=25, max_dte=45)
+        if quotes and back:
+            chain.iv30 = chain.atm_iv(back[0])
+        return chain
+
+
+class AlpacaProvider(DataProvider):
+    """Real-time options snapshots + IEX stock trades. No greeks/IV from the
+    API, so IV is backed out of the mid and delta computed from it.
+    ALPACA_KEY_ID + ALPACA_SECRET_KEY (optionally ALPACA_BASE)."""
+    name = "alpaca"
+
+    def __init__(self, key_id=None, secret_key=None, base=None):
+        self.key = key_id or os.environ["ALPACA_KEY_ID"]
+        self.secret = secret_key or os.environ["ALPACA_SECRET_KEY"]
+        self.base = base or os.environ.get("ALPACA_BASE", "https://data.alpaca.markets")
+        self.headers = {"APCA-API-KEY-ID": self.key, "APCA-API-SECRET-KEY": self.secret}
+
+    def get_spot(self, symbol):
+        data = self._fetch_json(f"{self.base}/v2/stocks/{symbol}/trades/latest?feed=iex",
+                                self.headers)
+        return float(data["trade"]["p"])
+
+    def get_next_earnings(self, symbol):
+        """Alpaca has no earnings endpoint; fall back to yfinance calendar."""
+        try:
+            import yfinance as yf
+            cal = yf.Ticker(symbol).calendar
+            if isinstance(cal, dict):
+                d = cal.get("Earnings Date")
+                if isinstance(d, list) and d:
+                    return d[0].strftime("%Y-%m-%d") if hasattr(d[0], "strftime") else str(d[0])
+                if d and hasattr(d, "strftime"):
+                    return d.strftime("%Y-%m-%d")
+        except Exception:
+            pass
+        return ""
+
+    def get_chain(self, symbol, max_expiries=6):
+        spot = self.get_spot(symbol)
+        today = datetime.now(timezone.utc).date()
+        quotes = []
+        counts = {}      # expiry -> quote count, in ascending encounter order
+        complete = set()  # expiries seen in full (a later expiry appeared, or data ended)
+        token = None
+        for _ in range(60):  # page cap safety
+            url = (f"{self.base}/v1beta1/options/snapshots/{symbol}?limit=1000"
+                   + (f"&page_token={token}" if token else ""))
+            data = self._fetch_json(url, self.headers)
+            snaps = data.get("snapshots") or {}
+            for occ, s in snaps.items():
+                # OCC symbol tail: YYMMDD + C/P + 8-digit strike (x1000)
+                if len(occ) < 15:
+                    continue
+                raw = occ[-15:-9]
+                exp = f"20{raw[:2]}-{raw[2:4]}-{raw[4:6]}"
+                if exp not in counts:
+                    # snapshots are ordered by expiry, so everything already
+                    # tracked is now known to be complete
+                    complete.update(counts)
+                    counts[exp] = 0
+                counts[exp] += 1
+                if len(complete) >= max_expiries and exp not in complete:
+                    break  # this expiry is past the window; stop collecting
+                kind = occ[-9]
+                strike = int(occ[-8:]) / 1000.0
+                lq = s.get("latestQuote") or {}
+                bid, ask = float(lq.get("bp") or 0), float(lq.get("ap") or 0)
+                if bid <= 0 and ask <= 0:
+                    continue  # stale / no market
+                if bid <= 0 or ask <= 0 or ask < bid:
+                    mid = bid if bid > 0 else ask
+                else:
+                    mid = (bid + ask) / 2.0
+                last = float((s.get("latestTrade") or {}).get("p") or 0)
+                dte = max((date.fromisoformat(exp) - today).days, 0)
+                T = max(dte, 0.5) / 365.0
+                iv = implied_vol(mid, spot, strike, T, kind)
+                if iv <= 0 and last > 0:
+                    iv = implied_vol(last, spot, strike, T, kind)
+                if not (0.005 < iv < 3.0):
+                    continue  # stale/garbage IEX quote: implied vol impossible
+                delta = bs_delta(spot, strike, T, iv, kind) if iv > 0 else 0.0
+                bar = s.get("dailyBar") or {}
+                quotes.append(Quote(strike=strike, expiry=exp,
+                                    kind="C" if kind == "C" else "P",
+                                    bid=bid, ask=ask, last=last, iv=iv, delta=delta,
+                                    volume=int(bar.get("v") or 0),
+                                    open_interest=-1))  # OI not in snapshots (-1 = unknown)
+            if len(complete) >= max_expiries:
+                break
+            token = data.get("next_page_token")
+            if not token:
+                complete.update(counts)  # data exhausted: last expiry is whole
+                break
+        exps = sorted(e for e in complete if counts.get(e))[:max_expiries]
+        keep = set(exps)
+        quotes = [q for q in quotes if q.expiry in keep]
+        chain = Chain(symbol=symbol, spot=spot, quotes=quotes)
+        back = chain.expirations(min_dte=25, max_dte=45)
+        if not back and exps:
+            # nearest max_expiries can sit entirely under 25 DTE; use the
+            # expiry closest to 30 DTE we actually have
+            dtes = [(abs((date.fromisoformat(e) - today).days - 30), e) for e in exps]
+            back = [min(dtes)[1]]
+        chain.iv30 = chain.atm_iv(back[0]) if quotes and back else 0.0
+        chain.next_earnings = self.get_next_earnings(symbol)
+        return chain
+
+
+def get_provider(force=None):
+    """Best available: Tradier (real-time) > Alpaca > Polygon > yfinance (free)."""
+    if force == "tradier" or (not force and os.environ.get("TRADIER_API_KEY")):
+        return TradierProvider()
+    if force == "alpaca" or (not force and os.environ.get("ALPACA_KEY_ID")
+                             and os.environ.get("ALPACA_SECRET_KEY")):
+        return AlpacaProvider()
+    if force == "polygon" or (not force and os.environ.get("POLYGON_API_KEY")):
+        return PolygonProvider()
+    return YFinanceProvider()