feat: saxo
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OpenSquared
@@ -1,16 +1,12 @@
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"""
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Thin Saxo OpenAPI REST client for options chain snapshots.
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Two parts have high confidence (directly verified against Saxo's docs): the OAuth
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flow (services/saxo_auth.py) and the general shape of a streaming *subscription*
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call (ContextId/ReferenceId/Arguments, POST-then-DELETE for a one-off snapshot).
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One part has LOWER confidence and is written defensively on purpose: the exact
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field names returned by /ref/v1/instruments and /ref/v1/instruments/contractoptionspaces
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(Saxo's Swagger UI didn't expose the full response schema to static fetching). Every
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extraction below tries a couple of documented field-name variants and raises a
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clear error showing the raw keys received if none match — this is the one piece
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worth a quick calibration pass against a real response once SIM is connected.
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The options-chain subscription response shape (confirmed against a real payload):
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Snapshot.Expiries[].Strikes[].{Call,Put}, each with Bid/Ask/Uic directly and
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Delta/Gamma/Theta/Vega/MidVolatility nested under .Greeks. There is no Mid field
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(computed as (bid+ask)/2) and no underlying spot field at all — MidStrikePrice on
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the nearest expiry is used as the spot proxy. Only strikes within Saxo's active
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quoting window carry a Call/Put payload; the rest are bare {Index, Strike}.
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"""
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import logging
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import time
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@@ -178,33 +174,6 @@ def resolve_option_root_uic(symbol: str) -> int:
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return resolve_instrument(symbol)["uic"]
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def get_option_space(root_uic: int) -> Dict[str, Any]:
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return _get(f"/ref/v1/instruments/contractoptionspaces/{root_uic}")
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def _extract_option_legs(space: Dict[str, Any]) -> List[Dict[str, Any]]:
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"""Flatten the option space response into [{uic, expiry_date, strike, option_type}, ...]."""
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expiries = _first(space, "OptionSpace", "SpecificOptions", "Expiries") or []
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legs: List[Dict[str, Any]] = []
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# Some Saxo response shapes nest strikes/sides under each expiry; others return a flat
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# list of contracts directly. Handle both defensively.
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for entry in expiries:
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expiry_date = _first(entry, "Expiry", "ExpiryDate", "Date")
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strikes = _first(entry, "SpecificOptions", "Strikes", "Options") or []
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for opt in strikes:
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uic = _first(opt, "Uic", "uic")
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strike = _first(opt, "StrikePrice", "Strike")
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side = _first(opt, "PutCall", "OptionType", "Side")
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if uic is None or strike is None or side is None:
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continue
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legs.append({
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"uic": int(uic),
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"expiry_date": expiry_date,
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"strike": float(strike),
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"option_type": "put" if str(side).lower().startswith("p") else "call",
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})
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if not legs:
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raise ValueError(f"Impossible d'extraire des contrats depuis contractoptionspaces (clés reçues: {list(space.keys())})")
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return legs
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@@ -259,42 +228,47 @@ def snapshot_options_chain(symbol: str, target_days: int = 30) -> List[Dict[str,
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"""
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instrument = resolve_instrument(symbol)
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root_uic = instrument["uic"]
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space = get_option_space(root_uic)
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legs = _extract_option_legs(space)
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subscription = _snapshot_via_subscription(root_uic, asset_type=instrument["asset_type"] or "StockOption")
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# The POST response is the streaming-subscription envelope (ContextId/ReferenceId/Format/
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# RefreshRate/InactivityTimeout/State) — the actual chain payload is nested under "Snapshot".
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snapshot = subscription.get("Snapshot") or subscription
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spot = _first(snapshot, "UnderlyingSpotPrice", "Spot", "UnderlyingPrice")
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snapshot_date = date.today().isoformat()
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by_uic = {leg["uic"]: leg for leg in legs}
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rows: List[Dict[str, Any]] = []
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expiry_blocks = _first(snapshot, "Expiries", "OptionsChain") or []
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# No spot/underlying price field exists anywhere in this response (confirmed against a
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# real payload) — MidStrikePrice on the nearest expiry is the best available proxy.
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spot = next((eb.get("MidStrikePrice") for eb in expiry_blocks if eb.get("MidStrikePrice") is not None), None)
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for expiry_block in (_first(snapshot, "Expiries", "OptionsChain") or []):
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for strike_block in (_first(expiry_block, "Strikes") or []):
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for side_key in ("Call", "Put", "call", "put"):
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rows: List[Dict[str, Any]] = []
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for expiry_block in expiry_blocks:
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expiry_date = (expiry_block.get("Expiry") or "")[:10] or None
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for strike_block in (strike_block for strike_block in (expiry_block.get("Strikes") or [])):
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strike = strike_block.get("Strike")
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for side_key in ("Call", "Put"):
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side = strike_block.get(side_key)
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if not side:
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continue
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uic = _first(side, "Uic", "ContractId")
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leg = by_uic.get(int(uic)) if uic is not None else None
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greeks = side.get("Greeks") or {}
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bid, ask = side.get("Bid"), side.get("Ask")
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mid_vol = greeks.get("MidVolatility")
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rows.append({
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"symbol": symbol.upper(),
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"snapshot_date": snapshot_date,
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"spot": float(spot) if spot is not None else None,
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"expiry_date": _first(expiry_block, "Expiry", "ExpiryDate") or (leg["expiry_date"] if leg else None),
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"strike": float(_first(strike_block, "Strike", "StrikePrice") or (leg["strike"] if leg else 0)),
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"option_type": "put" if side_key.lower() == "put" else "call",
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"bid": _first(side, "Bid"),
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"ask": _first(side, "Ask"),
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"mid": _first(side, "Mid"),
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"volatility_pct": _first(strike_block, "MidVolatilityPct", "VolatilityPct"),
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"delta": _first(side, "DeltaPct", "Delta"),
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"gamma": _first(side, "Gamma"),
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"theta": _first(side, "Theta"),
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"vega": _first(side, "Vega"),
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"expiry_date": expiry_date,
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"strike": float(strike) if strike is not None else None,
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"option_type": "put" if side_key == "Put" else "call",
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"bid": bid,
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"ask": ask,
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"mid": round((bid + ask) / 2, 6) if (bid is not None and ask is not None) else None,
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# MidVolatility comes back as a decimal fraction (0.05 = 5%) — store as an
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# actual percentage to match the volatility_pct column's name/convention.
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"volatility_pct": round(mid_vol * 100, 4) if mid_vol is not None else None,
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"delta": greeks.get("Delta"),
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"gamma": greeks.get("Gamma"),
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"theta": greeks.get("Theta"),
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"vega": greeks.get("Vega"),
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})
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if not rows:
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