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add parsing for equity options
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@tomsisk
tomsisk committed Apr 17, 2020
1 parent 6b53083 commit 4e7bac1
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42 changes: 41 additions & 1 deletion lib/utilities/parsers/SymbolParser.js
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Original file line number Diff line number Diff line change
Expand Up @@ -49,6 +49,8 @@ module.exports = (() => {
types.futures.options.short = /^([A-Z][A-Z0-9\$\-!\.]?)([A-Z])([0-9]{1,4})([A-Z])$/i;
types.futures.options.long = /^([A-Z][A-Z0-9\$\-!\.]{0,2})([A-Z])([0-9]{1,4})\|(\-?[0-9]{1,5})(C|P)$/i;
types.futures.options.historical = /^([A-Z][A-Z0-9\$\-!\.]{0,2})([A-Z])([0-9]{2})([0-9]{1,5})(C|P)$/i;
types.equities = { };
types.equities.options = /^([A-Z\$][A-Z\.\-]{0,})([0-9]?)\|([[0-9]{4})([[0-9]{2})([[0-9]{2})\|([0-9]+\.[0-9]+)[P|W]?(C|P)/i;
types.indicies = { };
types.indicies.external = /^\$(.*)$/i;
types.indicies.sector = /^\-(.*)$/i;
Expand Down Expand Up @@ -121,6 +123,31 @@ module.exports = (() => {
return definition;
});

parsers.push((symbol) => {
let definition = null;

const match = symbol.match(types.equities.options);

if (match !== null) {
definition = { };

definition.symbol = symbol;
definition.type = 'equity_option';

definition.option_type = match[7] === 'C' ? 'call' : 'put';
definition.strike = parseFloat(match[6]);

definition.root = match[1];
definition.month = parseInt(match[4]);
definition.day = parseInt(match[5]);
definition.year = parseInt(match[3]);

definition.adjusted = match[2] !== '';
}

return definition;
});

parsers.push((symbol) => {
let definition = null;

Expand Down Expand Up @@ -195,7 +222,7 @@ module.exports = (() => {
definition.symbol = symbol;
definition.type = 'future_option';

definition.option_type = match[5] === 'C' ? 'call' : 'put';
definition.option_type = match[5] === 'C' ? 'call' : 'put';
definition.strike = parseInt(match[4]);

definition.root = match[1];
Expand Down Expand Up @@ -509,6 +536,19 @@ module.exports = (() => {
return is.string(symbol) && predicates.bats.test(symbol);
}

/**
* Returns true if the symbol represents an option on an equity or index; false
* otherwise.
*
* @public
* @static
* @param {String} symbol
* @returns {Boolean}
*/
static getIsEquityOption(symbol) {
return is.string(symbol) && types.equities.options.test(symbol);
}

/**
* Returns true if the symbol has an expiration and the symbol appears
* to be expired (e.g. a future for a past year).
Expand Down
217 changes: 217 additions & 0 deletions test/dist/barchart-marketdata-api-tests-4.0.js
View file
Original file line number Diff line number Diff line change
Expand Up @@ -2449,6 +2449,8 @@ module.exports = (() => {
types.futures.options.short = /^([A-Z][A-Z0-9\$\-!\.]?)([A-Z])([0-9]{1,4})([A-Z])$/i;
types.futures.options.long = /^([A-Z][A-Z0-9\$\-!\.]{0,2})([A-Z])([0-9]{1,4})\|(\-?[0-9]{1,5})(C|P)$/i;
types.futures.options.historical = /^([A-Z][A-Z0-9\$\-!\.]{0,2})([A-Z])([0-9]{2})([0-9]{1,5})(C|P)$/i;
types.equities = {};
types.equities.options = /^([A-Z\$][A-Z\.\-]{0,})([0-9]?)\|([[0-9]{4})([[0-9]{2})([[0-9]{2})\|([0-9]+\.[0-9]+)[P|W]?(C|P)/i;
types.indicies = {};
types.indicies.external = /^\$(.*)$/i;
types.indicies.sector = /^\-(.*)$/i;
Expand Down Expand Up @@ -2507,6 +2509,25 @@ module.exports = (() => {

return definition;
});
parsers.push(symbol => {
let definition = null;
const match = symbol.match(types.equities.options);

if (match !== null) {
definition = {};
definition.symbol = symbol;
definition.type = 'equity_option';
definition.option_type = match[7] === 'C' ? 'call' : 'put';
definition.strike = parseFloat(match[6]);
definition.root = match[1];
definition.month = parseInt(match[4]);
definition.day = parseInt(match[5]);
definition.year = parseInt(match[3]);
definition.adjusted = match[2] !== '';
}

return definition;
});
parsers.push(symbol => {
let definition = null;

Expand Down Expand Up @@ -2877,6 +2898,20 @@ module.exports = (() => {
static getIsBats(symbol) {
return is.string(symbol) && predicates.bats.test(symbol);
}
/**
* Returns true if the symbol represents an option on an equity or index; false
* otherwise.
*
* @public
* @static
* @param {String} symbol
* @returns {Boolean}
*/


static getIsEquityOption(symbol) {
return is.string(symbol) && types.equities.options.test(symbol);
}
/**
* Returns true if the symbol has an expiration and the symbol appears
* to be expired (e.g. a future for a past year).
Expand Down Expand Up @@ -15548,6 +15583,78 @@ describe('When parsing a symbol for instrument type', () => {
expect(instrumentType.type).toEqual('future_spread');
});
});
describe('and the symbol is AAPL1|20200515|250.00C', () => {
let instrumentType;
beforeEach(() => {
instrumentType = SymbolParser.parseInstrumentType('AAPL1|20200515|250.00C');
});
it('the result should not be null', () => {
expect(instrumentType).not.toBe(null);
});
it('the "symbol" should be "AAPL1|20200515|250.00C"', () => {
expect(instrumentType.symbol).toEqual('AAPL1|20200515|250.00C');
});
it('the "type" should be "equity_option"', () => {
expect(instrumentType.type).toEqual('equity_option');
});
it('the "root" should be "AAPL"', () => {
expect(instrumentType.root).toEqual('AAPL');
});
it('the "month" should be 5', () => {
expect(instrumentType.month).toEqual(5);
});
it('the "day" should be 15', () => {
expect(instrumentType.day).toEqual(15);
});
it('the "year" should be 2020', () => {
expect(instrumentType.year).toEqual(2020);
});
it('the "strike" should be 250', () => {
expect(instrumentType.strike).toEqual(250);
});
it('the "option_type" should be "call"', () => {
expect(instrumentType.option_type).toEqual('call');
});
it('the "adjusted" flag should be true', () => {
expect(instrumentType.adjusted).toEqual(true);
});
});
describe('and the symbol is $VIX|20200422|20.00WP', () => {
let instrumentType;
beforeEach(() => {
instrumentType = SymbolParser.parseInstrumentType('$VIX|20200422|20.00WP');
});
it('the result should not be null', () => {
expect(instrumentType).not.toBe(null);
});
it('the "symbol" should be "$VIX|20200422|20.00WP"', () => {
expect(instrumentType.symbol).toEqual('$VIX|20200422|20.00WP');
});
it('the "type" should be "equity_option"', () => {
expect(instrumentType.type).toEqual('equity_option');
});
it('the "root" should be "$VIX"', () => {
expect(instrumentType.root).toEqual('$VIX');
});
it('the "month" should be 4', () => {
expect(instrumentType.month).toEqual(4);
});
it('the "day" should be 22', () => {
expect(instrumentType.day).toEqual(22);
});
it('the "year" should be 2020', () => {
expect(instrumentType.year).toEqual(2020);
});
it('the "strike" should be 20', () => {
expect(instrumentType.strike).toEqual(20);
});
it('the "option_type" should be "put"', () => {
expect(instrumentType.option_type).toEqual('put');
});
it('the "adjusted" flag should be false', () => {
expect(instrumentType.adjusted).toEqual(false);
});
});
});
describe('When checking to see if a symbol is a future', () => {
it('the symbol "ES*1" should return true', () => {
Expand Down Expand Up @@ -15610,6 +15717,12 @@ describe('When checking to see if a symbol is a future', () => {
it('the symbol "ZCPAUS.CM" should return false', () => {
expect(SymbolParser.getIsFuture('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsFuture('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsFuture('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is a "concrete" future', () => {
it('the symbol "ESZ6" should return true', () => {
Expand Down Expand Up @@ -15715,6 +15828,12 @@ describe('When checking to see if a symbol is sector', () => {
it('the symbol "ZCPAUS.CM" should return false', () => {
expect(SymbolParser.getIsSector('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsSector('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsSector('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is forex', () => {
it('the symbol "ES*1" should return false', () => {
Expand Down Expand Up @@ -15783,6 +15902,12 @@ describe('When checking to see if a symbol is forex', () => {
it('the symbol "ZCPAUS.CM" should return false', () => {
expect(SymbolParser.getIsForex('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsForex('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsForex('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is a future spread', () => {
it('the symbol "ES*1" should return false', () => {
Expand Down Expand Up @@ -15851,6 +15976,12 @@ describe('When checking to see if a symbol is a future spread', () => {
it('the symbol "ZCPAUS.CM" should return false', () => {
expect(SymbolParser.getIsFutureSpread('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsFutureSpread('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsFutureSpread('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is a future option', () => {
it('the symbol "ES*1" should return false', () => {
Expand Down Expand Up @@ -15919,6 +16050,12 @@ describe('When checking to see if a symbol is a future option', () => {
it('the symbol "ZCPAUS.CM" should return false', () => {
expect(SymbolParser.getIsFutureOption('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsFutureOption('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsFutureOption('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is a cmdty index option', () => {
it('the symbol "ES*1" should return false', () => {
Expand Down Expand Up @@ -15987,6 +16124,86 @@ describe('When checking to see if a symbol is a cmdty index option', () => {
it('the symbol "ZCPAUS.CM" should return true', () => {
expect(SymbolParser.getIsCmdty('ZCPAUS.CM')).toEqual(true);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsCmdty('AAPL|20200515|250.00C')).toEqual(false);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsCmdty('$VIX|20200422|20.00WP')).toEqual(false);
});
});
describe('When checking to see if a symbol is a equity option', () => {
it('the symbol "ES*1" should return false', () => {
expect(SymbolParser.getIsEquityOption('ES*1')).toEqual(false);
});
it('the symbol "NG*13" should return false', () => {
expect(SymbolParser.getIsEquityOption('NG*13')).toEqual(false);
});
it('the symbol "ESZ6" should return false', () => {
expect(SymbolParser.getIsEquityOption('ESZ6')).toEqual(false);
});
it('the symbol "ESZ16" should return false', () => {
expect(SymbolParser.getIsEquityOption('ESZ16')).toEqual(false);
});
it('the symbol "ESZ2016" should return false', () => {
expect(SymbolParser.getIsEquityOption('ESZ2016')).toEqual(false);
});
it('the symbol "ESZ016" should return false', () => {
expect(SymbolParser.getIsEquityOption('ESZ016')).toEqual(false);
});
it('the symbol "O!H7" should return false', () => {
expect(SymbolParser.getIsEquityOption('O!H7')).toEqual(false);
});
it('the symbol "O!H17" should return false', () => {
expect(SymbolParser.getIsEquityOption('O!H17')).toEqual(false);
});
it('the symbol "O!H2017" should return false', () => {
expect(SymbolParser.getIsEquityOption('O!H2017')).toEqual(false);
});
it('the symbol "IBM" should return false', () => {
expect(SymbolParser.getIsEquityOption('IBM')).toEqual(false);
});
it('the symbol "^EURUSD" should return false', () => {
expect(SymbolParser.getIsEquityOption('^EURUSD')).toEqual(false);
});
it('the symbol "-001A" should return false', () => {
expect(SymbolParser.getIsEquityOption('-001A')).toEqual(false);
});
it('the symbol "$DOWI" should return false', () => {
expect(SymbolParser.getIsEquityOption('$DOWI')).toEqual(false);
});
it('the symbol "$S1GE" should return false', () => {
expect(SymbolParser.getIsEquityOption('$S1GE')).toEqual(false);
});
it('the symbol "_S_SP_ZCH7_ZCK7" should return false', () => {
expect(SymbolParser.getIsEquityOption('_S_SP_ZCH7_ZCK7')).toEqual(false);
});
it('the symbol "ESZ2660Q" should return false', () => {
expect(SymbolParser.getIsEquityOption('ESZ2660Q')).toEqual(false);
});
it('the symbol "ZWH9|470C" should return false', () => {
expect(SymbolParser.getIsEquityOption('ZWH9|470C')).toEqual(false);
});
it('the symbol "BB1F8|12050C" should return false', () => {
expect(SymbolParser.getIsEquityOption('BB1F8|12050C')).toEqual(false);
});
it('the symbol "ZWK18465C" should return false', () => {
expect(SymbolParser.getIsEquityOption('ZWK18465C')).toEqual(false);
});
it('the symbol "PLATTS:AAVSV00C" should return false', () => {
expect(SymbolParser.getIsEquityOption('PLATTS:AAVSV00C')).toEqual(false);
});
it('the symbol "PLATTS:AAVSV00" should return false', () => {
expect(SymbolParser.getIsEquityOption('PLATTS:AAVSV00')).toEqual(false);
});
it('the symbol "ZCPAUS.CM" should return true', () => {
expect(SymbolParser.getIsEquityOption('ZCPAUS.CM')).toEqual(false);
});
it('the symbol "AAPL|20200515|250.00C" should return false', () => {
expect(SymbolParser.getIsEquityOption('AAPL|20200515|250.00C')).toEqual(true);
});
it('the symbol "$VIX|20200422|20.00WP" should return false', () => {
expect(SymbolParser.getIsEquityOption('$VIX|20200422|20.00WP')).toEqual(true);
});
});
describe('When checking to see if a symbol is a BATS listing', () => {
it('the symbol "IBM" should return false', () => {
Expand Down
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