1. Register
- register a developer of td ameritrade trading on it’s site below:
2. Create an App
- App name: StudyApp
- Callback URL: http://td.miaowa.pro/getauth.html
- Purpose: learning and study
- Order limit: 120
after filled the above fields, you will get the Customer Key of this App
- Customer key: XXXXXX
- Issue Date: Fri, 10/01/2021 - 08:00
- Expires: Never
3. Start a webserver using python
- create a directory for this webapp
- mkdir /home/kylindai/work/webapp/td.miaopro.com
- enter this directory
- create a html file named getauth.html
- run python3 -m http.server
- so you will get a webserver to response the auth callback
4. Authentication
- Auth URL: https://auth.tdameritrade.com/auth?response_type=code&redirect_uri=http%3A//td.miaowa.pro/getauth.html&client_id={Customer Key}%40AMER.OAUTHAP
- then you will get the authorization_code from the callback url
- call the API: https://api.tdameritrade.com/v1/oauth2/token, you will get the access token, the details of this API is as below:
- after you get the access token, you could call any APIs provided by TD Ameritrade
5. Github tda-api opensource package
- there is a python package named tda-api opensourced on github.
- https://github.com/alexgolec/tda-api
- and it’s documents are here: https://tda-api.readthedocs.io/en/latest/
- at first, you should install the tda-api
- pip3 install tda-api
- it’s very useful
- create a directory to save the token.json
- install chrome webdriver tools from google site
- chromedriver_mac64.zip
- https://chromedriver.storage.googleapis.com/index.html?path=93.0.4577.63
- add the path into the env variable PATH
- then you can try to run the dome program as below
- the demo python code to get the APPL’s quoters
from tda import auth, client
import json
import ssl
# ssl._create_default_https_context = ssl._create_unverified_context
# 保存token的文件路径
token_path = '/Users/kylindai/python/tda-api/token.json'
# {Customer Key}@AMER.OAUTHAP
api_key = 'XXXXXX@AMER.OAUTHAP'
# 回调地址
redirect_uri = 'http://td.miaowa.pro/getauth.html'
try:
# 获取AccessToke，保存到token_path
c = auth.client_from_token_file(token_path, api_key)
except FileNotFoundError:
from selenium import webdriver
# 如果token.json不存在，则弹出chrome，登录授权窗口获取token
with webdriver.Chrome() as driver:
c = auth.client_from_login_flow(
driver, api_key, redirect_uri, token_path)
# 获取苹果股票的月线报价
r = c.get_price_history('AAPL',
period_type=client.Client.PriceHistory.PeriodType.YEAR,
period=client.Client.PriceHistory.Period.TWENTY_YEARS,
frequency_type=client.Client.PriceHistory.FrequencyType.MONTHLY,
frequency=client.Client.PriceHistory.Frequency.MONTHLY)
assert r.status_code == 200, r.raise_for_status()
# 打印结果
print(json.dumps(r.json(), indent=4))
here is the result after running：
{
"candles": [
{
"open": 0.315178575,
"high": 0.384821425,
"low": 0.308035725,
"close": 0.38035715,
"volume": 5369744800,
"datetime": 1004594400000
},
{
"open": 0.376071425,
"high": 0.42910725,
"low": 0.35875,
"close": 0.391071425,
"volume": 4629839200,
"datetime": 1007186400000
},
{
"open": 0.39375,
"high": 0.44160725,
"low": 0.36160715,
"close": 0.4414285,
"volume": 8515376800,
"datetime": 1009864800000
},
{
"open": 0.4175,
"high": 0.4673215,
"low": 0.410714275,
"close": 0.43339275,
"volume": 6422836000,
"datetime": 1017640800000
},
{
"open": 0.43375,
"high": 0.4639285,
"low": 0.39535715,
"close": 0.416071425,
"volume": 5976157600,
"datetime": 1020229200000
},
{
"open": 141.9,
"high": 142.92,
"low": 139.1101,
"close": 142.65,
"volume": 94639581,
"datetime": 1633064400000
}
],
"symbol": "AAPL",
"empty": false
}
6. Get option chain of NIO
- test to get NIO’s option chain:
from tda import auth, client
import json
token_path = '/Users/kylindai/python/tda-api/token.json'
api_key = 'XXXXXX@AMER.OAUTHAP'
c = auth.client_from_token_file(token_path, api_key)
"""
Client.get_option_chain(
symbol, *,
contract_type=None, -- 合约类型
strike_count=None, -- 行权价数量
include_quotes=None,
strategy=None,
interval=None,
strike=None,
strike_range=None,
from_date=None,
to_date=None,
volatility=None, -- 波动率
underlying_price=None,
interest_rate=None,
days_to_expiration=None, -- 还有多少天过期
exp_month=None,
option_type=None)
"""
# 获取蔚来NIO，最近10月份的，2个行权价的看涨期权
r = c.get_option_chain('NIO',
contract_type=client.Client.Options.ContractType.CALL,
strike_count=2,
exp_month=client.Client.Options.ExpirationMonth.OCTOBER)
assert r.status_code == 200, r.raise_for_status()
print(json.dumps(r.json(), indent=4))
- and here is the result:
{
"symbol": "NIO",
"status": "SUCCESS",
"underlying": null,
"strategy": "SINGLE",
"interval": 0.0,
"isDelayed": false,
"isIndex": false,
"interestRate": 0.1,
"underlyingPrice": 35.36,
"volatility": 29.0,
"daysToExpiration": 0.0,
"numberOfContracts": 10,
"callExpDateMap": {
"2021-10-01:-1": {
"35.0": [
{
"putCall": "CALL",
"symbol": "NIO_100121C35",
"description": "NIO Oct 1 2021 35 Call (Weekly)",
"exchangeName": "OPR",
"bid": 0.32,
"ask": 0.58,
"last": 0.37,
"mark": 0.0,
"bidSize": 24,
"askSize": 190,
"bidAskSize": "24X190",
"lastSize": 0,
"highPrice": 1.74,
"lowPrice": 0.35,
"openPrice": 0.0,
"closePrice": 0.96,
"totalVolume": 12259,
"tradeDate": null,
"tradeTimeInLong": 1633118350021,
"quoteTimeInLong": 1633118399650,
"netChange": -0.59,
"volatility": 0.0,
"delta": 0.0,
"gamma": 0.0,
"theta": 0.0,
"vega": 0.002,
"rho": 0.0,
"openInterest": 4671,
"timeValue": -0.01,
"theoreticalOptionValue": 0.0,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 35.0,
"expirationDate": 1633118400000,
"daysToExpiration": -1,
"expirationType": "S",
"lastTradingDay": 1633132800000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -61.28,
"markChange": -0.96,
"markPercentChange": -100.0,
"intrinsicValue": 0.38,
"inTheMoney": true,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
],
"36.0": [
{
"putCall": "CALL",
"symbol": "NIO_100121C36",
"description": "NIO Oct 1 2021 36 Call (Weekly)",
"exchangeName": "OPR",
"bid": 0.0,
"ask": 0.01,
"last": 0.01,
"mark": 0.0,
"bidSize": 0,
"askSize": 114,
"bidAskSize": "0X114",
"lastSize": 0,
"highPrice": 0.87,
"lowPrice": 0.01,
"openPrice": 0.0,
"closePrice": 0.4,
"totalVolume": 28306,
"tradeDate": null,
"tradeTimeInLong": 1633118329067,
"quoteTimeInLong": 1633118388882,
"netChange": -0.38,
"volatility": 0.0,
"delta": 0.0,
"gamma": 0.0,
"theta": 0.0,
"vega": 0.001,
"rho": 0.0,
"openInterest": 9893,
"timeValue": 0.01,
"theoreticalOptionValue": 0.0,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 36.0,
"expirationDate": 1633118400000,
"daysToExpiration": -1,
"expirationType": "S",
"lastTradingDay": 1633132800000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -97.47,
"markChange": -0.4,
"markPercentChange": -100.0,
"intrinsicValue": -0.62,
"inTheMoney": false,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
]
},
"2021-10-08:6": {
"35.0": [
{
"putCall": "CALL",
"symbol": "NIO_100821C35",
"description": "NIO Oct 8 2021 35 Call (Weekly)",
"exchangeName": "OPR",
"bid": 1.15,
"ask": 1.2,
"last": 1.15,
"mark": 1.16,
"bidSize": 193,
"askSize": 9,
"bidAskSize": "193X9",
"lastSize": 0,
"highPrice": 2.32,
"lowPrice": 1.14,
"openPrice": 0.0,
"closePrice": 1.54,
"totalVolume": 5089,
"tradeDate": null,
"tradeTimeInLong": 1633118397520,
"quoteTimeInLong": 1633118399901,
"netChange": -0.39,
"volatility": 47.134,
"delta": 0.577,
"gamma": 0.162,
"theta": -0.062,
"vega": 0.02,
"rho": 0.004,
"openInterest": 4177,
"timeValue": 0.77,
"theoreticalOptionValue": 1.162,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 35.0,
"expirationDate": 1633723200000,
"daysToExpiration": 6,
"expirationType": "S",
"lastTradingDay": 1633737600000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -25.56,
"markChange": -0.38,
"markPercentChange": -24.75,
"intrinsicValue": 0.38,
"inTheMoney": true,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
],
"36.0": [
{
"putCall": "CALL",
"symbol": "NIO_100821C36",
"description": "NIO Oct 8 2021 36 Call (Weekly)",
"exchangeName": "OPR",
"bid": 0.67,
"ask": 0.68,
"last": 0.67,
"mark": 0.68,
"bidSize": 110,
"askSize": 80,
"bidAskSize": "110X80",
"lastSize": 0,
"highPrice": 1.44,
"lowPrice": 0.66,
"openPrice": 0.0,
"closePrice": 1.02,
"totalVolume": 13061,
"tradeDate": null,
"tradeTimeInLong": 1633118398831,
"quoteTimeInLong": 1633118399413,
"netChange": -0.35,
"volatility": 46.13,
"delta": 0.411,
"gamma": 0.164,
"theta": -0.06,
"vega": 0.02,
"rho": 0.003,
"openInterest": 5155,
"timeValue": 0.67,
"theoreticalOptionValue": 0.675,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 36.0,
"expirationDate": 1633723200000,
"daysToExpiration": 6,
"expirationType": "S",
"lastTradingDay": 1633737600000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -34.31,
"markChange": -0.34,
"markPercentChange": -33.82,
"intrinsicValue": -0.62,
"inTheMoney": false,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
]
},
"2021-10-15:13": {
"35.0": [
{
"putCall": "CALL",
"symbol": "NIO_101521C35",
"description": "NIO Oct 15 2021 35 Call",
"exchangeName": "OPR",
"bid": 1.58,
"ask": 1.62,
"last": 1.6,
"mark": 1.61,
"bidSize": 3,
"askSize": 1,
"bidAskSize": "3X1",
"lastSize": 0,
"highPrice": 2.44,
"lowPrice": 1.6,
"openPrice": 0.0,
"closePrice": 1.94,
"totalVolume": 2426,
"tradeDate": null,
"tradeTimeInLong": 1633118374642,
"quoteTimeInLong": 1633118399878,
"netChange": -0.34,
"volatility": 50.255,
"delta": 0.562,
"gamma": 0.11,
"theta": -0.048,
"vega": 0.028,
"rho": 0.007,
"openInterest": 32621,
"timeValue": 1.22,
"theoreticalOptionValue": 1.608,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 35.0,
"expirationDate": 1634328000000,
"daysToExpiration": 13,
"expirationType": "R",
"lastTradingDay": 1634342400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -17.53,
"markChange": -0.33,
"markPercentChange": -17.14,
"intrinsicValue": 0.38,
"inTheMoney": true,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
],
"36.0": [
{
"putCall": "CALL",
"symbol": "NIO_101521C36",
"description": "NIO Oct 15 2021 36 Call",
"exchangeName": "OPR",
"bid": 1.11,
"ask": 1.14,
"last": 1.12,
"mark": 1.13,
"bidSize": 2,
"askSize": 8,
"bidAskSize": "2X8",
"lastSize": 0,
"highPrice": 1.84,
"lowPrice": 1.1,
"openPrice": 0.0,
"closePrice": 1.38,
"totalVolume": 3083,
"tradeDate": null,
"tradeTimeInLong": 1633118386564,
"quoteTimeInLong": 1633118399878,
"netChange": -0.26,
"volatility": 49.662,
"delta": 0.449,
"gamma": 0.112,
"theta": -0.047,
"vega": 0.028,
"rho": 0.006,
"openInterest": 3789,
"timeValue": 1.12,
"theoreticalOptionValue": 1.125,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 36.0,
"expirationDate": 1634328000000,
"daysToExpiration": 13,
"expirationType": "R",
"lastTradingDay": 1634342400000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -18.84,
"markChange": -0.25,
"markPercentChange": -18.48,
"intrinsicValue": -0.62,
"inTheMoney": false,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
]
},
"2021-10-22:20": {
"35.0": [
{
"putCall": "CALL",
"symbol": "NIO_102221C35",
"description": "NIO Oct 22 2021 35 Call (Weekly)",
"exchangeName": "OPR",
"bid": 1.92,
"ask": 2.04,
"last": 1.97,
"mark": 1.96,
"bidSize": 3,
"askSize": 2,
"bidAskSize": "3X2",
"lastSize": 0,
"highPrice": 2.63,
"lowPrice": 1.92,
"openPrice": 0.0,
"closePrice": 2.19,
"totalVolume": 406,
"tradeDate": null,
"tradeTimeInLong": 1633118379808,
"quoteTimeInLong": 1633118399878,
"netChange": -0.22,
"volatility": 51.55,
"delta": 0.56,
"gamma": 0.089,
"theta": -0.041,
"vega": 0.034,
"rho": 0.011,
"openInterest": 836,
"timeValue": 1.59,
"theoreticalOptionValue": 1.962,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 35.0,
"expirationDate": 1634932800000,
"daysToExpiration": 20,
"expirationType": "S",
"lastTradingDay": 1634947200000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -9.85,
"markChange": -0.22,
"markPercentChange": -10.2,
"intrinsicValue": 0.38,
"inTheMoney": true,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
],
"36.0": [
{
"putCall": "CALL",
"symbol": "NIO_102221C36",
"description": "NIO Oct 22 2021 36 Call (Weekly)",
"exchangeName": "OPR",
"bid": 1.45,
"ask": 1.46,
"last": 1.46,
"mark": 1.46,
"bidSize": 1,
"askSize": 1,
"bidAskSize": "1X1",
"lastSize": 0,
"highPrice": 2.1,
"lowPrice": 1.45,
"openPrice": 0.0,
"closePrice": 1.67,
"totalVolume": 339,
"tradeDate": null,
"tradeTimeInLong": 1633118380428,
"quoteTimeInLong": 1633118399976,
"netChange": -0.21,
"volatility": 50.313,
"delta": 0.469,
"gamma": 0.092,
"theta": -0.04,
"vega": 0.034,
"rho": 0.009,
"openInterest": 786,
"timeValue": 1.46,
"theoreticalOptionValue": 1.455,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 36.0,
"expirationDate": 1634932800000,
"daysToExpiration": 20,
"expirationType": "S",
"lastTradingDay": 1634947200000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -12.34,
"markChange": -0.21,
"markPercentChange": -12.64,
"intrinsicValue": -0.62,
"inTheMoney": false,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
]
},
"2021-10-29:27": {
"35.0": [
{
"putCall": "CALL",
"symbol": "NIO_102921C35",
"description": "NIO Oct 29 2021 35 Call (Weekly)",
"exchangeName": "OPR",
"bid": 2.18,
"ask": 2.3,
"last": 2.26,
"mark": 2.23,
"bidSize": 79,
"askSize": 77,
"bidAskSize": "79X77",
"lastSize": 0,
"highPrice": 2.96,
"lowPrice": 2.25,
"openPrice": 0.0,
"closePrice": 2.5,
"totalVolume": 239,
"tradeDate": null,
"tradeTimeInLong": 1633118171762,
"quoteTimeInLong": 1633118399585,
"netChange": -0.24,
"volatility": 51.595,
"delta": 0.559,
"gamma": 0.077,
"theta": -0.035,
"vega": 0.039,
"rho": 0.014,
"openInterest": 546,
"timeValue": 1.88,
"theoreticalOptionValue": 2.227,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 35.0,
"expirationDate": 1635537600000,
"daysToExpiration": 27,
"expirationType": "S",
"lastTradingDay": 1635552000000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -9.6,
"markChange": -0.27,
"markPercentChange": -10.9,
"intrinsicValue": 0.38,
"inTheMoney": true,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
],
"36.0": [
{
"putCall": "CALL",
"symbol": "NIO_102921C36",
"description": "NIO Oct 29 2021 36 Call (Weekly)",
"exchangeName": "OPR",
"bid": 1.71,
"ask": 1.81,
"last": 1.75,
"mark": 1.76,
"bidSize": 1,
"askSize": 3,
"bidAskSize": "1X3",
"lastSize": 0,
"highPrice": 2.35,
"lowPrice": 1.75,
"openPrice": 0.0,
"closePrice": 2.02,
"totalVolume": 251,
"tradeDate": null,
"tradeTimeInLong": 1633118383611,
"quoteTimeInLong": 1633118400109,
"netChange": -0.27,
"volatility": 51.47,
"delta": 0.481,
"gamma": 0.078,
"theta": -0.036,
"vega": 0.04,
"rho": 0.012,
"openInterest": 1046,
"timeValue": 1.75,
"theoreticalOptionValue": 1.76,
"theoreticalVolatility": 29.0,
"optionDeliverablesList": null,
"strikePrice": 36.0,
"expirationDate": 1635537600000,
"daysToExpiration": 27,
"expirationType": "S",
"lastTradingDay": 1635552000000,
"multiplier": 100.0,
"settlementType": " ",
"deliverableNote": "",
"isIndexOption": null,
"percentChange": -13.37,
"markChange": -0.26,
"markPercentChange": -12.87,
"intrinsicValue": -0.62,
"inTheMoney": false,
"mini": false,
"nonStandard": false,
"pennyPilot": false
}
]
}
},
"putExpDateMap": {}
}
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