Derivatives package

Submodules

Derivatives.NSE module

class Derivatives.NSE.NSE[source]

Bases: NSEBase

A class to interact with NSE (National Stock Exchange) API.

Attributes:

valid_pcr_fields : list of valid fields for put-call ratio calculation

Methods:

__init__ : Initialize the NSE class get_option_chain : Get the option chain for a given ticker get_raw_option_chain : Get the raw option chain data for a given ticker get_options_expiry : Get the next expiry date for a given ticker get_all_derivatives_enabled_stocks : Get the list of equities available for derivatives trading get_equity_future_trade_info : Get the trade information of active future contracts for a given ticker get_equity_options_trade_info : Get the trade information of equity options for a given ticker _mapped_index_ticker_for_futures : Get the mapped index ticker for index futures get_index_futures_data : Get the data for index futures of a given index or ticker get_currency_futures : Get the data for currency futures get_commodity_futures : Get the data for commodity futures get_pcr : Get the put-call ratio for a given ticker and expiry date

get_all_derivatives_enabled_stocks() → list[source]

The get_all_derivatives_enabled_stocks provides the list of Equities available for derivative trading

Parameters:

self – Represent the instance of the class

Returns:

List of all Equities tickers / symbols for which derivative trading is allowed

get_commodity_futures() → DataFrame[source]

Fetches commodity futures data.

Parameters:

self – Represent the instance of the class

Returns:

Pd.DataFrame: DataFrame containing the currency futures data

get_currency_futures() → DataFrame[source]

Fetches currency futures data.

Parameters:

self – Represent the instance of the class

Returns:

DataFrame containing the currency futures data

get_equity_future_trade_info(ticker: str) → DataFrame[source]

The get_equity_future_trade_info provides all active future contracts trade information including its price details

Parameters:

  • self – Represent the instance of the class

  • ticker – Specify the ticker / symbol for which we want to get the expiry date

Returns:

A DataFrame of trade info data of Equity Future contracts

get_equity_options_trade_info(ticker: str) → DataFrame[source]

Gets equity options trade information for a given ticker.

Parameters:

ticker – Ticker symbol of the equity options trade.

Returns:

DataFrame containing the trade information.

get_index_futures_data(index_or_ticker: str) → DataFrame[source]

Fetches index futures data.

Parameters:

  • self – Represent the instance of the class

  • index_or_ticker – Name or ticker symbol of the index.

Returns:

DataFrame containing the FUTURES data

get_option_chain(ticker: str, expiry: datetime, is_index: bool = True) → DataFrame[source]

The get_option_chain function takes a ticker as input and returns the option chain for that ticker. The function uses the try_n_times_get_response function to get a response from NSE’s API, which is then converted into a DataFrame using pd.json_normalize.

Parameters:

  • self – Represent the instance of the class

  • ticker – Specify the stock ticker for which we want to get the option chain its also called symbol in

NSE :param is_index: (optional) Boolean value Specifies the given ticker is an index or not :param expiry: (optional) It takes the expiry date in the datetime format of the options contracts, default is very next expiry day

Returns:

A dataframe with option chain

get_options_expiry(ticker: str, is_index: bool = False) → datetime[source]

The get_expiry function takes in a ticker and returns the next expiry date for that ticker. The function uses the NSE API to get all expiry dates for a given ticker, sorts them in ascending order, and then returns the nth element of this sorted list.

Parameters:

  • self – Represent the instance of the class

  • ticker – Specify the ticker / symbol for which we want to get the expiry date

  • is_index – Boolean value Specifies the given ticker is an index or not

Returns:

The very next expiry date

get_pcr(ticker: str, is_index: bool = True, on_field: str = 'OI', expiry: datetime | None = None) → float[source]

Calculate the put-call ratio (PCR) for a given ticker.

Parameters:

  • self – Represent the instance of the class

  • ticker – The ticker symbol.

  • is_index – Boolean value Specifies the given ticker is an index or not

  • expiry – The expiry date of the option contract. Defaults to None.

  • on_field – The field to calculate PCR on. Volume or oi (open-interest) Default to ‘OI’.

Returns:

The calculated PCR value

get_raw_option_chain(ticker: str, expiry: datetime, is_index: bool = True) → dict[source]

The get_option_chain function takes a ticker as input and returns the option chain for that ticker. The function uses the try_n_times_get_response function to get a response from NSE’s API, which is then converted into a DataFrame using pd.json_normalize.

Parameters:

  • is_index – Boolean value Specifies the given ticker is an index or not

  • self – Represent the instance of the class

  • ticker – Specify the stock ticker for which we want to get the option chain

Returns:

A dataframe with option chain data

Derivatives.Sensibull module

class Derivatives.Sensibull.Sensibull[source]

Bases: CustomSession

A class to interact with Sensibull API.

Attributes:

headers : dictionary containing the headers for the API requests

Methods:

__init__ : Initializes the Sensibull class instance _get_n_strikes_from_atm : Returns a list of strikes that are evenly spaced around the atm_strike by the strike gap search_token : Returns the token of a given symbol get_token_details : Returns the details of a given token get_options_data_with_greeks : Returns a dataframe with options data and greeks

get_options_data_with_greeks(ticker_data: dict, num_look_ups_from_atm: int, expiry_date: datetime) → tuple[source]
The get_options_data_with_greeks function takes in the following parameters:

ticker_data - a dictionary containing the instrument token and trading symbol of an underlying stock. num_look_ups_from_atm - number of strikes to look up from at-the-money strike price. expiry date - expiry date for which options data is required.

Parameters:

  • self – Bind the method to an object

  • ticker_data – Get the instrument_token of the underlying

  • num_look_ups_from_atm – Get the number of strikes from atm strike

  • expiry_date – Gets the data for that particular expiry date

Returns:

A dataframe with the following columns:

get_token_details(token: int) → dict[source]

The get_token_details function takes in a token and returns the details of that token. The function first makes a GET request to the URL https://oxide.sensibull.com/v2/compute/cache/underlying_instruments, which returns an array of dictionaries containing information about all tokens on Sensibull’s platform.

Parameters:

  • self – Bind the method to an object

  • token – Get the details of a particular token

Returns:

The details of the token

search_token(symbol: str) → dict[source]
The search_token function takes in a symbol and returns the token of that symbol.

It does this by making a GET request to the Sensibull API, which returns an array of dictionaries. The function then searches through each dictionary for one with ‘tradingsymbol’ as key and ‘symbol’ as value, returning its corresponding token.

Parameters:

  • self – Represent the instance of the class

  • symbol – Search for the underlying instrument in the response

Returns:

The token of the symbol entered

Module contents