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add last trade #404

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merged 4 commits into from
Mar 13, 2023
Merged

add last trade #404

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64c5904
add last trade
aitzkovitz Mar 13, 2023
2077047
fmt
aitzkovitz Mar 13, 2023
4bf1f7a
correctly parse snapshot
aitzkovitz Mar 13, 2023
39bce43
Merge branch 'master' into ai.add-last-trade-to-options-snapshot
aitzkovitz Mar 13, 2023
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15 changes: 15 additions & 0 deletions polygon/rest/models/snapshot.py
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Original file line number Diff line number Diff line change
Expand Up @@ -112,6 +112,20 @@ class LastQuoteOptionContractSnapshot:
def from_dict(d):
return LastQuoteOptionContractSnapshot(**d)

@modelclass
class LastTradeOptionContractSnapshot:
"Contains data for the most recent trade for an options contract."
price: Optional[float] = None
sip_timestamp: Optional[int] = None
size: Optional[int] = None
conditions: Optional[List[int]] = None
exchange: Optional[int] = None
timeframe: Optional[str] = None

@staticmethod
def from_dict(d):
return LastTradeOptionContractSnapshot(**d)


@modelclass
class Greeks:
Expand Down Expand Up @@ -149,6 +163,7 @@ class OptionContractSnapshot:
greeks: Optional[Greeks] = None
implied_volatility: Optional[float] = None
last_quote: Optional[LastQuoteOptionContractSnapshot] = None
last_trade: Optional[LastTradeOptionContractSnapshot] = None
open_interest: Optional[float] = None
underlying_asset: Optional[UnderlyingAsset] = None

Expand Down
10 changes: 9 additions & 1 deletion test_rest/mocks/v3/snapshot/options/AAPL.json
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Original file line number Diff line number Diff line change
Expand Up @@ -39,6 +39,14 @@
"midpoint": 29.075,
"timeframe": "REAL-TIME"
},
"last_trade":{
"price": 29.25,
"sip_timestamp": 1678718527714665700,
"size": 1,
"conditions": [209],
"exchange": 309,
"timeframe": "REAL-TIME"
},
"open_interest": 8133,
"underlying_asset": {
"change_to_break_even": 19.11439999999999,
Expand All @@ -49,4 +57,4 @@
}
}],
"status": "OK"
}
}
10 changes: 9 additions & 1 deletion test_rest/mocks/v3/snapshot/options/AAPL/O;AAPL230616C00150000.json
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Original file line number Diff line number Diff line change
Expand Up @@ -38,6 +38,14 @@
"midpoint": 29.075,
"timeframe": "REAL-TIME"
},
"last_trade":{
"price": 29.25,
"sip_timestamp": 1678718527714665700,
"size": 1,
"conditions": [209],
"exchange": 309,
"timeframe": "REAL-TIME"
},
"open_interest": 8133,
"underlying_asset": {
"change_to_break_even": 19.11439999999999,
Expand All @@ -48,4 +56,4 @@
}
},
"status": "OK"
}
}
17 changes: 17 additions & 0 deletions test_rest/test_snapshots.py
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Original file line number Diff line number Diff line change
Expand Up @@ -9,6 +9,7 @@
OrderBookQuote,
UnderlyingAsset,
LastQuoteOptionContractSnapshot,
LastTradeOptionContractSnapshot,
Greeks,
OptionDetails,
DayOptionContractSnapshot,
Expand Down Expand Up @@ -199,6 +200,14 @@ def test_get_snapshot_option(self):
midpoint=29.075,
timeframe="REAL-TIME",
),
last_trade=LastTradeOptionContractSnapshot(
price=29.25,
sip_timestamp=1678718527714665700,
size=1,
conditions=[209],
exchange=309,
timeframe="REAL-TIME",
),
open_interest=8133,
underlying_asset=UnderlyingAsset(
change_to_break_even=19.11439999999999,
Expand Down Expand Up @@ -251,6 +260,14 @@ def test_list_snapshot_options_chain(self):
midpoint=29.075,
timeframe="REAL-TIME",
),
last_trade=LastTradeOptionContractSnapshot(
price=29.25,
sip_timestamp=1678718527714665700,
size=1,
conditions=[209],
exchange=309,
timeframe="REAL-TIME",
),
open_interest=8133,
underlying_asset=UnderlyingAsset(
change_to_break_even=19.11439999999999,
Expand Down