Real-Time Options client library for Python

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  • License: Apache License, Version 2.0
  • Author: FactSet Research Systems
  • Tags FactSet , API , SDK
  • Requires: Python >=3.7
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Project description

FactSet

Real-Time Options client library for Python

API Version PyPi Apache-2 license

The Options API provides detailed information for option contracts (“options”) and option classes. This API presents a consolidated data model that gives access to options data of global options markets such as OPRA, Australia Exchange, Bovespa, CME Group, EUREX, Euronext, Hong Kong, ICE Futures Europe / US, Montreal Exchange, and others.

An option class is a product group of options from the same exchange and with the same underlying. The API includes endpoints to retrieve fundamental data for an option contract such as exercise right, exercise style, strike, maturity, open interest, underlying, etc. as well as risk measures of an option contract such as delta, omega, implied volatility, etc.

Option chains are provided by the /by-class/list endpoint. The list of option contracts for an option class can be filtered by exercise right, exercise style, strike, maturity, open interest, delta, omega, implied volatility, etc.

The option screener allows you to search for option classes by using text search, root symbol, or ISIN plus additional criteria such as market, underlying, currency, and category. Similar to other screener endpoints in e.g. the Stocks API, the /value-ranges/get endpoint provides the possible values and value ranges plus the number of option contracts for an option class related to the option contracts per criteria such as exercise right, exercise style, strike, maturity, open interest, delta, omega, implied volatility, etc.

The Options API for Digital Portals seamlessly integrates with the Real-Time Quotes API that provides real-time, delayed, and end-of-day pricing data and basic security identifier cross-reference. For direct access to price histories for charting, please refer to the Real-Time Time Series API.

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

  • API version: 4.1.0
  • SDK version: 0.1.0
  • Build package: org.openapitools.codegen.languages.PythonClientCodegen

For more information, please visit https://developer.factset.com/contact

Requirements

  • Python >= 3.7

Installation

Poetry

poetry add fds.sdk.utils fds.sdk.RealTimeOptions==0.1.0

pip

pip install fds.sdk.utils fds.sdk.RealTimeOptions==0.1.0

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:

[!IMPORTANT] The parameter variables defined below are just examples and may potentially contain non valid values. Please replace them with valid values.

Example Code

from fds.sdk.utils.authentication import ConfidentialClient

import fds.sdk.RealTimeOptions
from fds.sdk.RealTimeOptions.api import option_api
from fds.sdk.RealTimeOptions.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
#
# The confidential client instance should be reused in production environments.
# See https://github.com/FactSet/enterprise-sdk-utils-python#authentication
# for more information on using the ConfidentialClient class
configuration = fds.sdk.RealTimeOptions.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.RealTimeOptions.Configuration(
#     username='USERNAME-SERIAL',
#     password='API-KEY'
# )

# Enter a context with an instance of the API client
with fds.sdk.RealTimeOptions.ApiClient(configuration) as api_client:
    # Create an instance of the API class
    api_instance = option_api.OptionApi(api_client)
    identifier = "FDS-US" # str | Identifier to resolve.
    identifier_type = "tickerRegion" # str | Type of the identifier. | Value | Description | | --- | --- | | idInstrument | MDG identifier of an instrument. | | idNotation | MDG identifier of a listing. | | fdsPermanentIdentifierSecurity | FactSet Permanent Identifier on security level. | | fdsPermanentIdentifierListing | FactSet Permanent Identifier on listing level. | | fdsPermanentIdentifierRegional | Regional FactSet Permanent Identifier. | | tickerExchange | FactSet market symbol of a listing. | | tickerRegion | Regional FactSet ticker symbol. | | sedol | SEDOL or IDII of a listing. | | isin | ISIN of an instrument. | | wkn | WKN of an instrument. | | valor | Valor number of an instrument. | | cusip | CUSIP or CINS identifier of an instrument |  
    attributes = [
        "_attributes_example",
    ] # [str] | Limit the attributes returned in the response to the specified set. (optional)
    meta_language = "de" # str | ISO 639-1 code of the language. (optional)

    try:
        # Fundamental data for an option contract.
        # example passing only required values which don't have defaults set
        # and optional values
        api_response = api_instance.get_option_get(identifier, identifier_type, attributes=attributes, meta_language=meta_language)

        pprint(api_response)
    except fds.sdk.RealTimeOptions.ApiException as e:
        print("Exception when calling OptionApi->get_option_get: %s\n" % e)

    # # Get response, http status code and response headers
    # try:
    #     # Fundamental data for an option contract.
    #     api_response, http_status_code, response_headers = api_instance.get_option_get_with_http_info(identifier, identifier_type, attributes=attributes, meta_language=meta_language)


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.RealTimeOptions.ApiException as e:
    #     print("Exception when calling OptionApi->get_option_get: %s\n" % e)

    # # Get response asynchronous
    # try:
    #     # Fundamental data for an option contract.
    #     async_result = api_instance.get_option_get_async(identifier, identifier_type, attributes=attributes, meta_language=meta_language)
    #     api_response = async_result.get()


    #     pprint(api_response)
    # except fds.sdk.RealTimeOptions.ApiException as e:
    #     print("Exception when calling OptionApi->get_option_get: %s\n" % e)

    # # Get response, http status code and response headers asynchronous
    # try:
    #     # Fundamental data for an option contract.
    #     async_result = api_instance.get_option_get_with_http_info_async(identifier, identifier_type, attributes=attributes, meta_language=meta_language)
    #     api_response, http_status_code, response_headers = async_result.get()


    #     pprint(api_response)
    #     pprint(http_status_code)
    #     pprint(response_headers)
    # except fds.sdk.RealTimeOptions.ApiException as e:
    #     print("Exception when calling OptionApi->get_option_get: %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.RealTimeOptions

logging.basicConfig(level=logging.DEBUG)

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

Configure a Proxy

You can pass proxy settings to the Configuration class:

  • proxy: The URL of the proxy to use.
  • proxy_headers: a dictionary to pass additional headers to the proxy (e.g. Proxy-Authorization).
import fds.sdk.RealTimeOptions

configuration = fds.sdk.RealTimeOptions.Configuration(
    # ...
    proxy="http://secret:password@localhost:5050",
    proxy_headers={
        "Custom-Proxy-Header": "Custom-Proxy-Header-Value"
    }
)

Custom SSL Certificate

TLS/SSL certificate verification can be configured with the following Configuration parameters:

  • ssl_ca_cert: a path to the certificate to use for verification in PEM format.
  • verify_ssl: setting this to False disables the verification of certificates. Disabling the verification is not recommended, but it might be useful during local development or testing.
import fds.sdk.RealTimeOptions

configuration = fds.sdk.RealTimeOptions.Configuration(
    # ...
    ssl_ca_cert='/path/to/ca.pem'
)

Request Retries

In case the request retry behaviour should be customized, it is possible to pass a urllib3.Retry object to the retry property of the Configuration.

from urllib3 import Retry
import fds.sdk.RealTimeOptions

configuration = fds.sdk.RealTimeOptions.Configuration(
    # ...
)

configuration.retries = Retry(total=3, status_forcelist=[500, 502, 503, 504])

Documentation for API Endpoints

All URIs are relative to https://api.factset.com/wealth/v4

Class Method HTTP request Description
OptionApi get_option_get GET /option/get Fundamental data for an option contract.
OptionApi get_option_key_figures_get GET /option/key-figures/get Key figures of an option contract.
OptionApi post_option_by_class_list POST /option/by-class/list List of option contracts for an option class.
OptionApi post_option_by_class_value_ranges_get POST /option/by-class/value-ranges/get Possible values and value ranges for the parameters used in the endpoint `/option/by-class/list`.
OptionApi post_option_class_screener_search POST /option/class/screener/search Screener for option classes based on option class-specific parameters.

Documentation For Models

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.RealTimeOptions.apis and fds.sdk.RealTimeOptions.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.RealTimeOptions.api.default_api import DefaultApi
  • from fds.sdk.RealTimeOptions.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.RealTimeOptions
from fds.sdk.RealTimeOptions.apis import *
from fds.sdk.RealTimeOptions.models import *

Contributing

Please refer to the contributing guide.

Copyright

Copyright 2025 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.

Project details

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  • License: Apache License, Version 2.0
  • Author: FactSet Research Systems
  • Tags FactSet , API , SDK
  • Requires: Python >=3.7

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