Introduction

This project is a API service that retrieves options data for a ticker and an expiration date.
There are 2 parts to the project:

• Scheduler:
  • src/job/options/scraper.py: Options data for stocks
  • src/job/stocks/scraper.py: Stock price
  • TODO: Most active options
  • TODO: Changes in options open interest
• API server: Serves options prices(WIP)
  • src/server/main.py

Set up

• Install python 3
• Create a virtual environment: python3 -m venv venv
• Activate virtual environment: source venv/bin/activate
• Install dependencies: pip -r install requirements.txt
• Set PYTHONPATH: export PYTHONPATH=$(pwd)
• Start server: uvicorn --reload --app-dir src main:app
  • Server runs at: localhost:8000
  • API documentation runs at: localhost:8000/docs, localhost:8000/redoc.

Tech stack

• Language: Python
• Framework: FastAPI
• Database: TimescaleDB
• ORM: Piccolo

Features

2 kinds of data:

• Aggregated data for a stock ticker(volume(total, put, call), IV, IV rank, Iv %, underlying IV 1 year high)
• Individual options data(expiration date, strike price, option type) for a stock ticker such as greeks, volatility, average volatility, volume, open interest

View options data for a ticker for an expiration date, strike price, option type, for each day(change - line graph) and total(sum - bar graph).

• volume/open interest/IV rank/IV % of option type by expiration date and strike price
• Highest spike in volume/open interest/IV rank/IV % by expiration date and strike price

Other metrics: % change

Options

• View how different dimensions change over time for an expiration date, strike price(+- 20 from current price)
  • High priority: Open interest, volume, IV, last, change
• Aggregate statistics for an expiration date
  • Open interest by strike price
  • Volume by strike price

Stocks

• View how different dimensions change over time
  • bid/ask, size
  • volume
  • OHLC

Data model

Stock ticker table

Columns:

• id(PK) - big serial
• symbol(PK) - varchar
• name - varchar

Stock ticker price table

• id(PK) - big serial
• symbol(FK stock ticker)
• date - date
• open_price - decimal
• high_price - decimal
• low_price - decimal
• close_price - decimal
• volume - integer

Options price table

Store snapshot of options price for a stock ticker, expiration date, strike price, option type for every trade day

• id(PK) - big serial
• symbol - varchar
• base_symbol(FK stock ticker)
• trade_time - timestamp
• option_type - varchar
• strike_price - decimal
• open_price - decimal
• high_price - decimal
• low_price - decimal
• last_price - decimal
• moneyness - decimal
• bid_price - decimal
• midpoint - decimal
• ask_price - decimal
• volume - integer
• open_interest - integer
• volatility - decimal
• expiration_date - date
• expiration_type - varchar
• average_volatility - decimal
• delta - decimal
• theta - decimal
• gamma - decimal
• vega - decimal
• rho - decimal

Most active options table

Store ticker that have the most options activity(open interest, volume, IV)

• id(PK) - big serial
• symbol - varchar
• last_price - decimal
• price_change - decimal
• percent_change - decimal
• options_total_volume - integer
• options_put_volume_percent - decimal
• options_call_volume_percent - decimal
• options_weighted_implied_volatility - decimal
• options_implied_volatility_rank_1y - decimal
• options_implied_volatility_percentile_1y - decimal
• underlying_implied_volatility_high_1y - decimal
• trade_time - timestamp

Options open interest change table

Store options with the largest positive and negative open interest change

• id(PK) - big serial
• symbol - varchar
• base_symbol - varchar
• last_price - decimal
• option_type - varchar
• strike_price - decimal
• expiration_date - date
• days_to_expiration - integer
• bid_price - decimal
• midpoint - decimal
• ask_price - decimal
• last_price - decimal
• volume - integer
• open_interest - integer
• open_interest_change - integer
• volatility - decimal
• trade_time - timestamp

TODO:

• background job to remove option_price that have expired
• job: largest change in open interest, most active options
• Use poetry for dependency management
• Reporting: number of stock ticker in option_price table, number of rows for each stock ticker
• Confirm whether options data is indeed a daily snapshot that includes all past trade days
• Encode response data
• Test
• Get expirations date of a stock