"""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, bs_price 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) # Many Tradier entitlements return no greeks block; compute IV and # delta from the quotes ourselves when missing. from datetime import datetime for q in chain.quotes: if q.iv <= 0 and q.mid > 0: dte = (datetime.strptime(q.expiry, "%Y-%m-%d").date() - datetime.now(timezone.utc).date()).days T = max(dte, 0.5) / 365.0 q.iv = implied_vol(q.mid, spot, q.strike, T, q.kind) q.delta = bs_delta(spot, q.strike, T, q.iv, q.kind) if q.iv > 0 else 0.0 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 # Fair-value sanity: thin IEX quotes can be wildly stale in a way that # only shows up against the rest of the chain. Reject any quote priced # below 15% or above 6x its ATM-IV Black-Scholes fair value. if chain.iv30 > 0: def _fair(q): return bs_price(spot, q.strike, max(q.dte, 0.5) / 365.0, chain.iv30, q.kind) chain.quotes = [q for q in chain.quotes if 0.15 * _fair(q) <= q.mid <= 6.0 * _fair(q)] 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()