options-lib 0.9.2

data/README.markdown

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+# Options-Lib
+
+A set of classes for dealing with options. It includes a crawler for Yahoo!Finance. The crawler has an internal
+thread that can be started to periodically update the option quotes.
+
+## Usage
+
+TODO
+

data/bin/show_quotes

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+#!/usr/bin/env ruby
+
+begin
+  require 'options-lib'
+rescue LoadError
+  require 'rubygems'
+  require 'options-lib'
+end
+
+if ARGV.length != 5
+  puts "format: show_quotes <stock> <call_or_put> <strike> <expiration> <reload_period>"
+  puts "example: show_quotes AAPL C 345 2013-01-18 5"
+  exit
+end
+
+stock = ARGV[0]
+is_call = ARGV[1].casecmp("C") == 0
+strike = ARGV[2].to_f
+expiration = ARGV[3]
+reload_period = ARGV[4].to_i
+
+y = YahooCrawler.new(stock, expiration)
+
+y.auto_reload(reload_period) do
+  
+  options = is_call ? y.call_options : y.put_options
+  quote = options[strike]
+  stock_price = y.curr_stock_price
+  
+  puts "Stock @ #{stock_price} Options: #{quote.bid} | #{quote.ask} Spread: #{quote.spread}"
+  
+end
+
+y.join_reload_thread
+

data/lib/options-lib/helpers.rb

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+class Float
+  
+  # Supress decimal part if it is zero
+  # 40.0 becomes "40"
+  # Take care of float imprecision
+  # 1.1-0.9 # >> 0.20000000000000007
+  # (1.1-0.9).prettify # >> "0.2"
+  def prettify
+    num = "%.12g" % self
+    num.sub!($1, '') if num =~ /\..*?(0+)$/
+    # might be like 2. at this point
+    num = num[0..-2] if num[-1] == '.'
+    num
+  end
+end
+
+class Array
+
+  # Break the array into smaller arrays (chuncks)
+  # If the lenght of the array is not divisible by the number of chunks (pieces)
+  # then first chunk will accomodate the extra item and be the larger chunk
+  # Ex: [1,2,3,4].chunck # => [[1,2], [3,4]]
+  def chunk(pieces=2)
+    len = self.length;
+    mid = (len / pieces)
+    chunks = []
+    start = 0
+    1.upto(pieces) do |i|
+      last = start + mid
+      last = last - 1 unless len % pieces >= i
+      chunks << self[start..last] || []
+      start = last + 1
+    end
+    chunks
+  end
+end

data/lib/options-lib/option.rb

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+require 'date'
+require_relative 'helpers'
+
+class Option
+
+  CALL = 'CALL'
+  PUT = 'PUT'
+
+  attr_reader :stock, :exp, :type, :strike, :symbol, :internal_symbol
+  
+  def initialize(type, stock, strike, exp, symbol = nil)
+    raise "Invalid type: #{type}" if type != CALL and type != PUT
+
+    @type, @stock, @strike = type, stock, strike.to_f
+
+    if exp =~ /(\d{4})[\-\/](\d{1,2})[\-\/](\d{1,2})/
+      @exp = Date.new($1.to_i, $2.to_i, $3.to_i)
+    else
+      raise "Cannot parse expiration date: #{exp}"
+    end
+    
+    s = "#{stock}_#{type == CALL ? 'C' : 'P'}#{@strike.prettify}_#{@exp.day}"
+    s << Date::MONTHNAMES[@exp.month][0,3].upcase
+    s << @exp.year.to_s
+    @internal_symbol = s
+
+    if not symbol
+      @symbol = @internal_symbol
+    else
+      @symbol = symbol
+    end
+  end
+
+  def is_call?
+    @type == CALL
+  end
+
+  def is_put?
+    @type == PUT
+  end
+
+  # Business days (= minus Sat and Sun) until expiration
+  def days_to_exp
+    total = 0
+    curr_day = Date.today
+    while curr_day <= exp
+      total += 1 if curr_day.wday != 0 and curr_day.wday != 6
+      curr_day = curr_day.next
+    end
+    total
+  end
+
+  def to_s
+    @internal_symbol
+  end
+
+  def inspect
+    @internal_symbol
+  end
+end
+
+

data/lib/options-lib/option_quote.rb

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+require_relative 'option'
+
+class OptionQuote
+
+  attr_reader :option, :bid, :ask
+
+  def initialize(option, args)
+    @option = option
+    @bid = args[:bid] || nil
+    @ask = args[:ask] || nil
+  end
+  
+  def spread
+    if @bid and @ask
+      (@ask - @bid).prettify.to_f
+    else
+      nil
+    end
+  end
+
+  def to_s
+    "#{option.to_s}: #{bid.inspect} / #{ask.inspect}"
+  end
+
+  def inspect
+    "#{option.inspect}: bid => #{bid.inspect}, ask => #{ask.inspect}"
+  end
+
+end

data/lib/options-lib/yahoo_crawler.rb

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+require 'thread'
+require 'Mechanize'
+
+require_relative 'option'
+require_relative 'option_quote'
+require_relative 'helpers'
+
+# A Yahoo!Finance crawler implemented using Mechanize to parse HTML and extract
+# options quotes for given stock and expiration date.
+class YahooCrawler
+
+  def initialize(stock, exp)
+    @mech = Mechanize.new
+    @stock, @exp = stock, exp
+    @url = "http://finance.yahoo.com/q/op?s=#{stock}&m=#{exp[0,7]}"
+    @stock_curr_price = nil
+    @call_options = Hash.new
+    @put_options = Hash.new
+    @call_strikes = Array.new
+    @put_strikes = Array.new
+    @lock = Mutex.new
+    @t_lock = Mutex.new
+    @thread = nil
+  end
+
+  def auto_reload(period = 60)
+    if not @thread.nil?
+      stop
+    end
+
+    @thread = Thread.new do
+      loop do
+        begin
+          fetch
+          yield # callback
+        rescue => e
+          puts "Error fetching data: #{e.message}"
+        end
+        sleep period
+      end
+    end
+
+  end
+
+  def stop
+    if not @thread.nil?
+      @thread.kill
+      @thread = nil
+    end
+  end
+  
+  def join_reload_thread
+      @thread.join if @thread
+  end
+
+  def fetch
+
+    c_options, p_options = Hash.new, Hash.new
+    c_strikes, p_strikes = Array.new, Array.new
+    stock_price = nil
+
+    @t_lock.synchronize { # don't step into each other in case someone calls fetch
+
+      page = @mech.get(@url).body
+
+      curr_price = page.scan(/\: \<.+?\<\/big\>/)
+      lines = parse_data(curr_price[0])
+      stock_price = lines[0].to_f
+      
+      calls = page.scan(/Strike\<.+Put Options/)
+      puts = page.scan(/Put Options\<.+Highlighted/)
+
+      lines = parse_data(calls[0])
+      lines = lines.chunk(lines.length / 8)
+
+      lines.each do |array|
+        quote = parse_quote(array, Option::CALL)
+        c_options[quote.option.strike] = quote
+      end
+
+      lines = parse_data(puts[0])
+      lines = lines.chunk(lines.length / 8)
+
+      lines.each do |array|
+        quote = parse_quote(array, Option::PUT)
+        p_options[quote.option.strike] = quote
+      end
+
+      c_options.keys.sort.each { |key| c_strikes << key }
+
+      p_options.keys.sort.each { |key| p_strikes << key }
+
+    }
+
+    @lock.synchronize {
+      @call_options, @put_options = c_options, p_options
+      @call_strikes, @put_strikes = c_strikes, p_strikes
+      @curr_stock_price = stock_price
+    }
+    
+  end
+
+  def get_option_quote(type, strike)
+    if type == Option::CALL
+      get_call_option_quote(strike)
+    else
+      get_put_option_quote(strike)  
+    end
+  end
+
+  def get_call_option_quote(strike)
+    call_options[strike]    
+  end
+
+  def get_put_option_quote(strike)
+    put_options[strike]
+  end
+
+  def call_strikes
+    @lock.synchronize { @call_strikes }
+  end
+
+  def put_strikes
+    @lock.synchronize { @put_strikes }
+  end
+
+  def call_options
+    @lock.synchronize { @call_options }
+  end
+
+  def put_options
+    @lock.synchronize { @put_options }
+  end
+
+  def curr_stock_price
+    @lock.synchronize { @curr_stock_price }
+  end
+
+  def show_calls
+    call_strikes.each { |key| puts call_options[key] }
+  end
+
+  def show_puts
+    put_strikes.each { |key| puts put_options[key] }
+  end
+
+  private
+
+  def parse_quote(line, type)
+    strike = line[0].to_f
+    symbol = line[1]
+    bid = f line[4]
+    ask = f line[5]
+
+    o = Option.new(type, @stock, strike, @exp, symbol)
+    OptionQuote.new(o, :bid => bid, :ask => ask)
+  end
+
+  # Get all values inside tags
+  # Ex: <h1>234</h1> will return "234"
+  def parse_data(data)
+    data.scan(/\>[0-9\.A-Z\,\/]+\</).collect { |i| i.gsub(/[\<\>]/, "") }
+  end
+
+  def f(data)
+    data == 'N/A' ? nil : data.to_f
+  end
+
+end

data/lib/options-lib.rb

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+# require all files from options-lib
+require 'options-lib/helpers'
+require 'options-lib/option'
+require 'options-lib/option_quote'
+require 'options-lib/yahoo_crawler'
+

data/options-lib.gemspec

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+Gem::Specification.new do |s|
+  s.name    = 'options-lib'
+  s.version = '0.9.2'
+  s.platform = Gem::Platform::RUBY
+  s.summary = 'Options Library'
+  s.description = 'A set of classes for dealing with options. It includes a crawler for Yahoo!Finance.'
+
+  s.author   = 'Sergio Oliveira Jr.'
+  s.email    = 'sergio.oliveira.jr@gmail.com'
+  s.homepage = 'https://github.com/saoj/options-lib'
+
+  # These dependencies are only for people who work on this gem
+  s.add_development_dependency 'rspec'
+  
+  # Runtime dependencies
+  s.add_runtime_dependency 'mechanize'
+
+  # The list of files to be contained in the gem
+  s.files         = `git ls-files`.split("\n") - [".gitignore"]
+  s.test_files    = `git ls-files -- {test,spec,features}/*`.split("\n")
+  s.executables   = `git ls-files -- bin/*`.split("\n").map{ |f| File.basename(f) }
+  
+  # Supress the warning about no rubyforge project
+  s.rubyforge_project = 'nowarning'
+
+end

data/spec/helpers_spec.rb

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+# require all files from lib
+Dir["./lib/*.rb"].each {|file| require file }
+
+describe Float do
+  
+  it 'can format its value in a pretty way' do
+    
+    # if it has a decimal part, print it
+    f = 50.1
+    f.prettify.should == "50.1"
+    
+    # if decimal part is 0, do not print it
+    f = 50.0
+    f.prettify.should == "50"
+    
+    # take care of ruby float imprecision
+    f = 1.1 - 0.9
+    f.should_not == 0.2 # weird but true !!!
+    f.prettify.should == "0.2" # much better!
+  end
+end
+
+describe Array do
+
+  it 'can be broken into chunks of smaller arrays' do
+    
+    # the first chunk is always the bigger in case the number of 
+    # elements are not divisible by pieces
+    
+    a = [1,2,3,4]
+    a.chunk.should == [[1,2],[3,4]]
+    a.chunk(3).should == [[1,2],[3],[4]]
+    a.chunk(4).should == [[1],[2],[3],[4]]
+    
+    a << 5 << 6
+    a.chunk.should == [[1,2,3],[4,5,6]]
+    a.chunk(3).should == [[1,2],[3,4],[5,6]]
+    
+    a << 7
+    a.chunk.should == [[1,2,3,4],[5,6,7]]
+    a.chunk(3).should == [[1,2,3],[4,5],[6,7]]
+    
+  end
+  
+end
+

data/spec/option_quote_spec.rb

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+# require all files from lib
+Dir["./lib/*.rb"].each {|file| require file }
+
+describe OptionQuote do
+  
+  it 'has option, bid and ask prices' do
+    
+    o = Option.new(Option::CALL, 'AAPL', 250, '2010-02-14')
+    q = OptionQuote.new(o, :bid => 1.2, :ask => 1.4)
+    q.option.should == o
+    q.bid.should == 1.2
+    q.ask.should == 1.4
+    
+  end
+  
+  it 'should have an spread' do
+    o = Option.new(Option::CALL, 'AAPL', 250, '2010-02-14')
+    q = OptionQuote.new(o, :bid => 1.2, :ask => 1.4)
+    q.spread.prettify.should == "0.2"
+    
+  end
+  
+end

data/spec/option_spec.rb

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+# require all files from lib
+Dir["./lib/*.rb"].each {|file| require file }
+
+describe Option do
+
+  it 'can be a call or a put' do
+    o = Option.new(Option::CALL, 'AAPL', 250, '2010-02-14')
+    o.type.should == Option::CALL
+    o.type.should == 'CALL'
+
+    o = Option.new(Option::PUT, 'AAPL', 250, '2010-02-14')
+    o.type.should == Option::PUT
+    o.type.should == 'PUT'
+  end
+  
+  it 'has stock and strike price' do
+    o = Option.new(Option::CALL, 'AAPL', 250, '2010-02-14')
+    o.stock.should == 'AAPL'
+    o.strike.should == 250
+
+  end
+
+  it 'converts expiration to a nice date object' do
+    o = Option.new(Option::PUT, 'AAPL', 250, '2010-08-14')
+    o.exp.day.should == 14
+    o.exp.month.should == 8
+    o.exp.year.should == 2010
+
+    o = Option.new(Option::CALL, 'AAPL', 250, '2011/09/15')
+    o.exp.day.should == 15
+    o.exp.month.should == 9
+    o.exp.year.should == 2011
+  end
+  
+  it 'throws an exception if date is bad' do
+    lambda {Option.new(Option::PUT, 'AAPL', 250, '10-08-14')}.should raise_error
+    lambda {Option.new(Option::PUT, 'AAPL', 250, '10-58-14')}.should raise_error
+    lambda {Option.new(Option::PUT, 'AAPL', 250, '2010-122-14')}.should raise_error
+  end
+  
+  it 'has an internal symbol representation implied from stock, strike and experiration' do
+    o = Option.new(Option::PUT, 'AAPL', 250, '2010-08-14')
+    o.internal_symbol.should == 'AAPL_P250_14AUG2010'
+  end
+  
+  it 'makes the symbol equals to the internal symbol if symbol not provided' do
+    o = Option.new(Option::PUT, 'AAPL', 250, '2010-08-14')
+    o.internal_symbol.should == o.symbol
+  end
+  
+  it 'can have a symbol' do
+    o = Option.new(Option::PUT, 'AAPL', 250, '2010-08-14', 'MYSYMBOL')
+    o.symbol.should == 'MYSYMBOL'
+    o.internal_symbol.should == 'AAPL_P250_14AUG2010'
+  end
+
+  it 'can show to number of business day until expiration' do
+    d = Date.today + 10
+    o = Option.new(Option::PUT, 'AAPL', 250, d.to_s)
+    o.days_to_exp.should < 10
+  end
+
+end

data/spec/yahoo_crawler_spec.rb

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+# require all files from lib
+Dir["./lib/*.rb"].each {|file| require file }
+
+describe YahooCrawler do
+  
+  y = nil
+  
+  before(:all) do
+    y = YahooCrawler.new('AAPL', '2013-01-18')
+    y.fetch
+  end
+    
+  it 'should be able to fetch options quotes from Yahoo!Finance' do
+    
+    y.call_options.length.should > 0
+    y.put_options.length.should > 0
+    
+  end
+  
+  it 'should be able to get current price of stock' do
+    
+    y.curr_stock_price.should > 0
+    
+  end
+  
+  it 'should be able to return an array of strike prices' do
+    
+    y.call_strikes.length.should > 0
+    y.put_strikes.length.should > 0
+    
+  end
+  
+  it 'should be able to give an option quote by strike price' do
+    
+    # get a good strike price by rounding the current stock price
+    good_price = ((y.curr_stock_price / 100).to_i * 100).to_f
+  
+    call_quote = y.call_options[good_price]
+    call_quote.option.internal_symbol.should == "AAPL_C#{good_price.to_i}_18JAN2013"
+    call_quote.bid.should > 0 if not call_quote.bid.nil?
+    call_quote.ask.should > 0 if not call_quote.ask.nil?
+    
+    put_quote = y.put_options[good_price]
+    put_quote.option.internal_symbol.should == "AAPL_P#{good_price.to_i}_18JAN2013"
+    put_quote.bid.should > 0 if not put_quote.bid.nil?
+    put_quote.ask.should > 0 if not put_quote.ask.nil?
+    
+  end
+  
+  it 'should be able to update the quotes in a background thread' do
+  
+    y.auto_reload(1)
+    y.call_options.length.should > 0
+    y.put_options.length.should > 0
+    
+  end
+
+    
+end

metadata

@@ -0,0 +1,91 @@
+--- !ruby/object:Gem::Specification 
+name: options-lib
+version: !ruby/object:Gem::Version 
+  prerelease: 
+  version: 0.9.2
+platform: ruby
+authors: 
+- Sergio Oliveira Jr.
+autorequire: 
+bindir: bin
+cert_chain: []
+
+date: 2011-02-24 00:00:00 -08:00
+default_executable: 
+dependencies: 
+- !ruby/object:Gem::Dependency 
+  name: rspec
+  prerelease: false
+  requirement: &id001 !ruby/object:Gem::Requirement 
+    none: false
+    requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: "0"
+  type: :development
+  version_requirements: *id001
+- !ruby/object:Gem::Dependency 
+  name: mechanize
+  prerelease: false
+  requirement: &id002 !ruby/object:Gem::Requirement 
+    none: false
+    requirements: 
+    - - ">="
+      - !ruby/object:Gem::Version 
+        version: "0"
+  type: :runtime
+  version_requirements: *id002
+description: A set of classes for dealing with options. It includes a crawler for Yahoo!Finance.
+email: sergio.oliveira.jr@gmail.com
+executables: 
+- show_quotes
+extensions: []
+
+extra_rdoc_files: []
+
+files: 
+- README.markdown
+- bin/show_quotes
+- lib/options-lib.rb
+- lib/options-lib/helpers.rb
+- lib/options-lib/option.rb
+- lib/options-lib/option_quote.rb
+- lib/options-lib/yahoo_crawler.rb
+- options-lib.gemspec
+- spec/helpers_spec.rb
+- spec/option_quote_spec.rb
+- spec/option_spec.rb
+- spec/yahoo_crawler_spec.rb
+has_rdoc: true
+homepage: https://github.com/saoj/options-lib
+licenses: []
+
+post_install_message: 
+rdoc_options: []
+
+require_paths: 
+- lib
+required_ruby_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+required_rubygems_version: !ruby/object:Gem::Requirement 
+  none: false
+  requirements: 
+  - - ">="
+    - !ruby/object:Gem::Version 
+      version: "0"
+requirements: []
+
+rubyforge_project: nowarning
+rubygems_version: 1.5.2
+signing_key: 
+specification_version: 3
+summary: Options Library
+test_files: 
+- spec/helpers_spec.rb
+- spec/option_quote_spec.rb
+- spec/option_spec.rb
+- spec/yahoo_crawler_spec.rb