fds.sdk.FactSetOptions 1.0.2

FactSet Options client library for Python

FactSet Options client library for Python

The Option Prices database provides pricing data such as mid bid-ask price, reference data (e.g., strike price), and risk measures (e.g., Greeks and implied volatility). Visit Options Overview OA Page # 14925 for details on database coverage. U.S. exchange-traded option bid and ask quotes are continuously updated throughout the day even when no trades have occurred on the option (zero volume). The end-of-day closing bid and ask quotes are always in line with the underlying closing price.

Note

• Currently in Beta only OPRA exchanges are supported.

This Python package is automatically generated by the OpenAPI Generator project:

• API version: 1.0.0
• Package version: 1.0.2
• Build package: org.openapitools.codegen.languages.PythonClientCodegen

Requirements

• Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.FactSetOptions

pip

pip install fds.sdk.utils fds.sdk.FactSetOptions

Usage

1. Generate authentication credentials.
2. Setup Python environment.

   1. Install and activate python 3.7+. If you're using pyenv:

      pyenv install 3.9.7
      pyenv shell 3.9.7
      

   2. (optional) Install poetry.

3. Install dependencies.
4. Run the following:

from fds.sdk.utils.authentication import ConfidentialClient

import fds.sdk.FactSetOptions
from fds.sdk.FactSetOptions.api import option_chains__screening_api
from fds.sdk.FactSetOptions.models import *
from dateutil.parser import parse as dateutil_parser
from pprint import pprint

# See configuration.py for a list of all supported configuration parameters.

# Examples for each supported authentication method are below,
# choose one that satisfies your use case.

# (Preferred) OAuth 2.0: FactSetOAuth2
# See https://github.com/FactSet/enterprise-sdk#oauth-20
# for information on how to create the app-config.json file
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.FactSetOptions.Configuration(
    fds_oauth_client=ConfidentialClient('/path/to/app-config.json')
)

# Basic authentication: FactSetApiKey
# See https://github.com/FactSet/enterprise-sdk#api-key
# for information how to create an API key
# configuration = fds.sdk.FactSetOptions.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.FactSetOptions.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = option_chains__screening_api.OptionChainsScreeningApi(api_client)
    chains_request = ChainsRequest(
        ids=UnderlyingIds(["TSLA-US"]),
        date="2021-05-03",
        id_type=IdType("FOS"),
        exchange=Exchange("USA"),
    ) # ChainsRequest | Options Chains Request Object

    try:
        # Returns all the underlying option identifiers for the specified underlying Security identifier
        api_response = api_instance.get_options_chains_for_list(chains_request)
        pprint(api_response)
    except fds.sdk.FactSetOptions.ApiException as e:
        print("Exception when calling OptionChainsScreeningApi->get_options_chains_for_list: %s\n" % e)

    # Get response, http status code and response headers
    # try:
    #     # Returns all the underlying option identifiers for the specified underlying Security identifier
    #     api_response, http_status_code, response_headers = api_instance.get_options_chains_for_list_with_http_info(chains_request)
    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.FactSetOptions.ApiException as e:
    #     print("Exception when calling OptionChainsScreeningApi->get_options_chains_for_list: %s\n" % e)

    # Get response asynchronous
    # try:
    #     # Returns all the underlying option identifiers for the specified underlying Security identifier
    #     async_result = api_instance.get_options_chains_for_list_async(chains_request)
    #     api_response = async_result.get()
    #     pprint(api_response)
    # except fds.sdk.FactSetOptions.ApiException as e:
    #     print("Exception when calling OptionChainsScreeningApi->get_options_chains_for_list: %s\n" % e)

    # Get response, http status code and response headers asynchronous
    # try:
    #     # Returns all the underlying option identifiers for the specified underlying Security identifier
    #     async_result = api_instance.get_options_chains_for_list_with_http_info_async(chains_request)
    #     api_response, http_status_code, response_headers = async_result.get()
    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.FactSetOptions.ApiException as e:
    #     print("Exception when calling OptionChainsScreeningApi->get_options_chains_for_list: %s\n" % e)

Using Pandas

To convert an API response to a Pandas DataFrame, it is necessary to transform it first to a dictionary.

import pandas as pd

response_dict = api_response.to_dict()['data']

simple_json_response = pd.DataFrame(response_dict)
nested_json_response = pd.json_normalize(response_dict)

Debugging

The SDK uses the standard library logging module.

Setting debug to True on an instance of the Configuration class sets the log-level of related packages to DEBUG and enables additional logging in Pythons HTTP Client.

Note: This prints out sensitive information (e.g. the full request and response). Use with care.

import logging
import fds.sdk.FactSetOptions

logging.basicConfig(level=logging.DEBUG)

configuration = fds.sdk.FactSetOptions.Configuration(...)
configuration.debug = True

Documentation for API Endpoints

All URIs are relative to https://api.factset.com/content

Class	Method	HTTP request	Description
OptionChainsScreeningApi	get_options_chains_for_list	POST /factset-options/v1/chains	Returns all the underlying option identifiers for the specified underlying Security identifier
OptionChainsScreeningApi	get_options_screening_for_list	POST /factset-options/v1/option-screening	Returns all the option identifiers based on the conditions provided as input in the request
PricesVolumeApi	get_options_prices_for_list	POST /factset-options/v1/prices	Returns the pricing related information for the specified option identifier
PricesVolumeApi	get_options_volume_for_list	POST /factset-options/v1/volume	Returns the volume details for the specified option identifier
PricesVolumeApi	get_underlying_volume_for_list	POST /factset-options/v1/underlying-volume	Returns the aggregate volume and open interest for the list of the options under the specified security identifier
ReferenceApi	get_options_dates_for_list	POST /factset-options/v1/dates	Returns option security dates such as expiration and trade.
ReferenceApi	get_options_references_for_list	POST /factset-options/v1/references	Returns basic reference details for the options such as currency, exchange, symbols, flags and more
RiskMeasuresApi	get_options_atm_implied_volatility_for_list	POST /factset-options/v1/atm-implied-volatility	Returns the at-the-money (ATM) implied volatility details for the specified underlying security identifier
RiskMeasuresApi	get_options_greeks_for_list	POST /factset-options/v1/greeks	Returns all the Greeks details for the specified option identifier
RiskMeasuresApi	get_options_volatility_for_list	POST /factset-options/v1/implied-volatility	Returns the implied volatility information for the specified option identifier
SnapshotApi	get_options_snapshot_for_list	POST /factset-options/v1/snapshot	Returns all the profile information for the list of identifiers as of a specific date

Documentation For Models

• AtmImpliedVolatility
• AtmImpliedVolatilityRequest
• AtmImpliedVolatilityResponse
• Calendar
• Chains
• ChainsRequest
• ChainsResponse
• ErrorResponse
• ErrorResponseSubErrors
• Exchange
• ExchangeScreeningId
• Frequency
• Greeks
• GreeksRequest
• GreeksResponse
• IdType
• ImpliedVolatility
• ImpliedVolatilityRequest
• ImpliedVolatilityResponse
• OptionIds
• OptionScreening
• OptionScreeningRequest
• OptionScreeningResponse
• OptionsDates
• OptionsDatesRequest
• OptionsDatesResponse
• OptionsPrices
• OptionsPricesRequest
• OptionsPricesResponse
• OptionsReferences
• OptionsReferencesRequest
• OptionsReferencesResponse
• OptionsVolume
• OptionsVolumeRequest
• OptionsVolumeResponse
• Period
• PriceType
• Snapshot
• SnapshotRequest
• SnapshotResponse
• UnderlyingIds
• UnderlyingVolume
• UnderlyingVolumeRequest
• UnderlyingVolumeResponse

Documentation For Authorization

FactSetApiKey

• Type: HTTP basic authentication

FactSetOAuth2

• Type: OAuth
• Flow: application
• Authorization URL:
• Scopes: N/A

Notes for Large OpenAPI documents

If the OpenAPI document is large, imports in fds.sdk.FactSetOptions.apis and fds.sdk.FactSetOptions.models may fail with a RecursionError indicating the maximum recursion limit has been exceeded. In that case, there are a couple of solutions:

Solution 1: Use specific imports for apis and models like:

• from fds.sdk.FactSetOptions.api.default_api import DefaultApi
• from fds.sdk.FactSetOptions.model.pet import Pet

Solution 2: Before importing the package, adjust the maximum recursion limit as shown below:

import sys
sys.setrecursionlimit(1500)
import fds.sdk.FactSetOptions
from fds.sdk.FactSetOptions.apis import *
from fds.sdk.FactSetOptions.models import *

Contributing

Please refer to the contributing guide.

Copyright

Copyright 2022 FactSet Research Systems Inc

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.