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add futures api and options api
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@t-shinno
t-shinno committed Aug 16, 2024
1 parent 86891a8 commit edf7652
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214 changes: 214 additions & 0 deletions jquantsapi/client.py
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Original file line number Diff line number Diff line change
Expand Up @@ -1825,3 +1825,217 @@ def get_markets_trading_calendar(
df["Date"] = pd.to_datetime(df["Date"], format="%Y-%m-%d")
df.sort_values(["Date"], inplace=True)
return df[cols]

# /derivatives
def _get_derivatives_futures_raw(
self,
date_yyyymmdd,
category,
contract_flag,
pagination_key: str = "",
) -> str:
"""
get information on the OHLC etc. of futures raw API returns
Args:
date_yyyymmdd: date of data (e.g. 20210907 or 2021-09-07)
pagination_key: ページングキー
Returns:
str: Futures' OHLC etc.
"""
url = f"{self.JQUANTS_API_BASE}/derivatives/futures"
params = {
"category": category,
"date": date_yyyymmdd,
"contract_flag": contract_flag,
}
if pagination_key != "":
params["pagination_key"] = pagination_key
ret = self._get(url, params)
ret.encoding = self.RAW_ENCODING
return ret.text

def get_derivatives_futures(
self,
date_yyyymmdd: str,
category: str = "",
contract_flag: str = "",
) -> pd.DataFrame:
"""
get information on the OHLC etc. of Futures API returns
Args:
date_yyyymmdd: date of data (e.g. 20210907 or 2021-09-07)
Returns:
pd.DataFrame:
Futures' OHLC etc. (Sorted by "Code")
"""
j = self._get_derivatives_futures_raw(
category=category,
date_yyyymmdd=date_yyyymmdd,
contract_flag=contract_flag,
)
d = json.loads(j)
data = d["futures"]
while "pagination_key" in d:
j = self._get_derivatives_futures_raw(
category=category,
date_yyyymmdd=date_yyyymmdd,
contract_flag=contract_flag,
pagination_key=d["pagination_key"],
)
d = json.loads(j)
data += d["futures"]
df = pd.DataFrame.from_dict(data)
cols = constants.DERIVATIVES_FUTURES_COLUMNS
if len(df) == 0:
return pd.DataFrame([], columns=cols)
df["Date"] = pd.to_datetime(df["Date"], format="%Y-%m-%d")
df.sort_values(["Code"], inplace=True)
return df[cols]

def get_derivatives_futures_range(
self,
start_dt: DatetimeLike = "20170101",
end_dt: DatetimeLike = datetime.now(),
category: str = "",
contract_flag: str = "",
) -> pd.DataFrame:
"""
先物に関するOHLC等の情報を日付範囲指定して取得
Args:
start_dt: 取得開始日
end_dt: 取得終了日
Returns:
pd.DataFrame: 先物に関するOHLC等 (Code, Date列でソートされています)
"""
# pre-load id_token
self.get_id_token()
buff = []
dates = pd.date_range(start_dt, end_dt, freq="D")
with ThreadPoolExecutor(max_workers=self.MAX_WORKERS) as executor:
futures = [
executor.submit(
self.get_derivatives_futures,
date_yyyymmdd=s.strftime("%Y-%m-%d"),
category=category,
contract_flag=contract_flag,
)
for s in dates
]
for future in as_completed(futures):
df = future.result()
buff.append(df)
return pd.concat(buff).sort_values(["Code", "Date"])

def _get_derivatives_options_raw(
self,
date_yyyymmdd,
category,
contract_flag,
code,
pagination_key: str = "",
) -> str:
"""
get information on the OHLC etc. of options raw API returns
Args:
date_yyyymmdd: date of data (e.g. 20210907 or 2021-09-07)
pagination_key: ページングキー
Returns:
str: Options' OHLC etc.
"""
url = f"{self.JQUANTS_API_BASE}/derivatives/options"
params = {
"category": category,
"date": date_yyyymmdd,
"contract_flag": contract_flag,
"code": code,
}
if pagination_key != "":
params["pagination_key"] = pagination_key
ret = self._get(url, params)
ret.encoding = self.RAW_ENCODING
return ret.text

def get_derivatives_options(
self,
date_yyyymmdd: str,
category: str = "",
contract_flag: str = "",
code: str = "",
) -> pd.DataFrame:
"""
get information on the OHLC etc. of Option API returns
Args:
date_yyyymmdd: date of data (e.g. 20210907 or 2021-09-07)
Returns:
pd.DataFrame:
Futures' OHLC etc. (Sorted by "Code")
"""
j = self._get_derivatives_options_raw(
category=category,
date_yyyymmdd=date_yyyymmdd,
contract_flag=contract_flag,
code=code,
)
d = json.loads(j)
data = d["options"]
while "pagination_key" in d:
j = self._get_derivatives_options_raw(
category=category,
date_yyyymmdd=date_yyyymmdd,
contract_flag=contract_flag,
code=code,
pagination_key=d["pagination_key"],
)
d = json.loads(j)
data += d["options"]
df = pd.DataFrame.from_dict(data)
cols = constants.DERIVATIVES_OPTIONS_COLUMNS
if len(df) == 0:
return pd.DataFrame([], columns=cols)
df["Date"] = pd.to_datetime(df["Date"], format="%Y-%m-%d")
df.sort_values(["Code"], inplace=True)
return df[cols]

def get_derivatives_options_range(
self,
start_dt: DatetimeLike = "20170101",
end_dt: DatetimeLike = datetime.now(),
category: str = "",
contract_flag: str = "",
code: str = "",
) -> pd.DataFrame:
"""
オプションに関するOHLC等の情報を日付範囲指定して取得
Args:
start_dt: 取得開始日
end_dt: 取得終了日
Returns:
pd.DataFrame: オプションに関するOHLC等 (Code, Date列でソートされています)
"""
# pre-load id_token
self.get_id_token()
buff = []
dates = pd.date_range(start_dt, end_dt, freq="D")
with ThreadPoolExecutor(max_workers=self.MAX_WORKERS) as executor:
options = [
executor.submit(
self.get_derivatives_options,
date_yyyymmdd=s.strftime("%Y-%m-%d"),
category=category,
contract_flag=contract_flag,
code=code,
)
for s in dates
]
for option in as_completed(options):
df = option.result()
buff.append(df)
return pd.concat(buff).sort_values(["Code", "Date"])
72 changes: 72 additions & 0 deletions jquantsapi/constants.py
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Original file line number Diff line number Diff line change
Expand Up @@ -517,3 +517,75 @@
"DisclosureNumber",
"TypeOfDocument",
]

DERIVATIVES_FUTURES_COLUMNS = [
"Date",
"Code",
"DerivativesProductCategory",
"WholeDayOpen",
"WholeDayHigh",
"WholeDayLow",
"WholeDayClose",
"MorningSessionOpen",
"MorningSessionHigh",
"MorningSessionLow",
"MorningSessionClose",
"NightSessionOpen",
"NightSessionHigh",
"NightSessionLow",
"NightSessionClose",
"DaySessionOpen",
"DaySessionHigh",
"DaySessionLow",
"DaySessionClose",
"Volume",
"OpenInterest",
"TurnoverValue",
"ContractMonth",
"Volume(OnlyAuction)",
"EmergencyMarginTriggerDivision",
"LastTradingDay",
"SpecialQuotationDay",
"SettlementPrice",
"CentralContractMonthFlag",
]

DERIVATIVES_OPTIONS_COLUMNS = [
"Date",
"Code",
"DerivativesProductCategory",
"UnderlyingSSO",
"WholeDayOpen",
"WholeDayHigh",
"WholeDayLow",
"WholeDayClose",
"MorningSessionOpen",
"MorningSessionHigh",
"MorningSessionLow",
"MorningSessionClose",
"NightSessionOpen",
"NightSessionHigh",
"NightSessionLow",
"NightSessionClose",
"DaySessionOpen",
"DaySessionHigh",
"DaySessionLow",
"DaySessionClose",
"Volume",
"OpenInterest",
"TurnoverValue",
"ContractMonth",
"StrikePrice",
"Volume(OnlyAuction)",
"EmergencyMarginTriggerDivision",
"PutCallDivision",
"LastTradingDay",
"SpecialQuotationDay",
"SettlementPrice",
"TheoreticalPrice",
"BaseVolatility",
"UnderlyingPrice",
"ImpliedVolatility",
"InterestRate",
"CentralContractMonthFlag",
]

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