Class: Market

Inherits:

Object

• Object
• Market

Defined in:

lib/market.rb

Defined Under Namespace

Classes: Quote

Constant Summary

HEADERS =

{
  "Accept" => "application/xml,application/xhtml+xml,text/html;q=0.9,text/plain;q=0.8,image/png,*/*;q=0.5",
  "Accept-Charset" => "ISO-8859-1,utf-8;q=0.7,*;q=0.3",
  "Accept-Language" => "en-US,en;q=0.8",
  "Accept-Encoding" => "gzip,deflate",
  "Cache-Control" => "max-age=0",
  "Host" => "finance.yahoo.com",
  "Referer" => "http://finance.yahoo.com/",
  "User-Agent" => "Mozilla/5.0 (Windows; U; Windows NT 6.0; en-US) AppleWebKit/534.10 (KHTML, like Gecko) Chrome/8.0.552.215 Safari/534.10"
}

INDEXES =

{}

Class Method Summary

• .chain(ticker, expiry) ⇒ Object
• .constituents(ticker, offset = 0, traverse = true) ⇒ Object
• .event?(ticker, on_or_before_date) ⇒ Boolean
• .fetch(ticker, opts = {}) ⇒ Object
• .gchain(ticker, expiry) ⇒ Object
• .get(url) ⇒ Object
• .historical_prices(ticker, from = Date.today - 365) ⇒ Object
• .member_of?(ticker, index_ticker) ⇒ Boolean
• .with_retry(&block) ⇒ Object

Class Method Details

.chain(ticker, expiry) ⇒ Object

# File 'lib/market.rb', line 160

def chain(ticker, expiry)
  url = "http://finance.yahoo.com/q/op?s=%s&m=%s" % [ticker, expiry.strftime("%Y-%m")]
  puts "Fetching #{url}..." if $VERBOSE

  doc = with_retry do
    Nokogiri::HTML.parse(get(url))
  end

  itm_call_data = doc.
    search("//table[@class='yfnc_datamodoutline1'][1]//td[@class='yfnc_h']").
    map   { |e| e.text }

  rows = itm_call_data.in_groups_of(8)

  rows.map do |row|
    strike = row[0].to_f * 100
    symbol = row[1]
    last   = row[2].to_f * 100
    bid    = row[4].to_f * 100
    ask    = row[5].to_f * 100

    raise "Expected symbol, got #{symbol.inspect}" unless symbol =~ /^\w+\d+[CP]\d+$/

    # Only pick symbols that have the correct expiry
    # Occurs when multiple series appear for the same month (i.e. weeklys)
    next unless symbol =~ /#{expiry.strftime("%y%m%d")}/

    quote =  Quote.new(
      :symbol => symbol, :last => last, :bid => bid, :ask => ask)

    [strike, quote]
  end.compact
end

.constituents(ticker, offset = 0, traverse = true) ⇒ Object

# File 'lib/market.rb', line 234

def constituents(ticker, offset = 0, traverse = true)
  ticker = "^#{ticker}" unless ticker =~ /^\^/

  url = "http://finance.yahoo.com/q/cp?s=%s&c=%s" % [CGI.escape(ticker), offset]
  puts "Fetching #{url}..." if $VERBOSE

  doc = with_retry do
    Nokogiri::HTML.parse(get(url))
  end

  symbols = doc.at("#yfncsumtab").search("tr td:first-child.yfnc_tabledata1").map{ |td| td.text }
  next_link = doc.at("#yfncsumtab").at("//a[text()='Next']")

  if next_link && traverse
    return symbols + constituents(ticker, offset + 1)
  end

  return symbols
end

.event?(ticker, on_or_before_date) ⇒ Boolean

Returns:

• (Boolean)

# File 'lib/market.rb', line 194

def event?(ticker, on_or_before_date)
  url = "http://finance.yahoo.com/q/ce?s=%s" % ticker
  puts "Fetching #{url}..." if $VERBOSE

  doc = with_retry do
    Nokogiri::HTML.parse(get(url))
  end

  return false if doc.text =~ /There is no Company Events data/

  fragment = doc.
    search("//table[@class='yfnc_datamodoutline1'][1]//td[@class='yfnc_tabledata1']")

  return false if fragment.text =~ /No Upcoming Events/i

  events = fragment.map{|e|e.text}.in_groups_of(3)

  events.any? do |date, event, _|
    event_date = Date.strptime date, "%d-%b-%y"

    event_date <= on_or_before_date
  end
end

.fetch(ticker, opts = {}) ⇒ Object

# File 'lib/market.rb', line 68

def fetch(ticker, opts = {})
  url = "http://finance.yahoo.com/q?s=%s" % ticker
  puts "Fetching #{url}..." if $VERBOSE

  doc = with_retry do
    Nokogiri::HTML.parse(get(url))
  end

  # Realtime last is at yfs_l90_sym, use if exists
  if opts[:try_rt]
    last = (doc.at_css("#yfs_l90_#{ticker.downcase}").text.to_f * 100) rescue nil
  end

  last ||= (doc.at_css("#yfs_l10_#{ticker.downcase}").text.to_f * 100)
  bid  = (doc.at_css("#yfs_b00_#{ticker.downcase}").text.to_f * 100) rescue 0
  ask  = (doc.at_css("#yfs_a00_#{ticker.downcase}").text.to_f * 100) rescue 0

  quote = Quote.new(
    :symbol => ticker, :last => last, :bid => bid, :ask => ask)

  if opts[:extra]
    name   = doc.at('h1').text.scan(/(.*) \([\w-]+\)$/).to_s # strip trailing (SYMBOL)
    mktcap = doc.at_css("#yfs_j10_#{ticker.downcase}").text rescue nil

    divyield = doc.at("#table2 .end td").text.scan(/\((.*)\)/).to_s.to_f rescue nil

    begin
      pe_row = doc.at("#table2 tr:nth-child(6)")
      pe_label, pe_data = pe_row.search("th,td").map{|e|e.text}

      unless pe_label =~ %r(P/E)
        puts "P/E label mismatch" 
        pe_data = nil
      end
    rescue
      # nothing
    end

    sector, industry = doc.search("#company_details a").map{|e|e.text} rescue nil

    quote.extra = {
      :name => name,
      :mktcap => mktcap,
      :divyield => divyield,
      :pe => pe_data.to_f,
      :sector => sector,
      :industry => industry
    }
  end

  puts quote.inspect if $VERBOSE

  quote
end

.gchain(ticker, expiry) ⇒ Object

# File 'lib/market.rb', line 124

def gchain(ticker, expiry)
  url = "http://www.google.com/finance/option_chain?q=%s&expd=%s&expm=%s&expy=%s&output=json"
  url = url % [ticker.gsub(/-/, "."), expiry.day, expiry.month, expiry.year]

  puts "Fetching #{url}..." if $VERBOSE
  doc = with_retry do
    JSON.parse(
      open(url).read.
        gsub(/(\:"\w+):/, '\1').                # Remove extra colon that appears inside strings
        gsub('\\', "").                         # Remove slashes
        gsub(/(['"])?(\w+)(['"])?:/m, '"\2":'), # Quote each key
      :symbolize_names => true)
  end

  doc[:calls].map do |call|
    quote =  Quote.new(
      :symbol => call[:s],
      :last   => call[:p].to_f * 100,
      :bid    => call[:b].to_f * 100,
      :ask    => call[:a].to_f * 100
    )

    unless quote.symbol =~ /^\w+\d+[CP]\d+$/
      puts "Dropping bad option #{quote.symbol.inspect}"
      next
    end

    unless quote.bid > 0 and quote.ask > 0
      puts "Option #{quote.symbol.inspect} has no bid or ask"
      next
    end
    
    [call[:strike].to_f * 100, quote]
  end.compact
end

.get(url) ⇒ Object

# File 'lib/market.rb', line 47

def get(url)
  uri = URI.parse(url)

  request = Net::HTTP::Get.new uri.request_uri

  HEADERS.each do |name, value|
    request.add_field name, value
  end

  response = @http.request(uri, request)
  data = response.body

  out = case response["content-encoding"]
    when /gzip/    then Zlib::GzipReader.new(StringIO.new(data)).read
    when /deflate/ then Zlib::Inflate.inflate(data)
    else data
  end

  out
end

.historical_prices(ticker, from = Date.today - 365) ⇒ Object

# File 'lib/market.rb', line 218

def historical_prices(ticker, from = Date.today - 365)
  to = Date.today

  url = "http://ichart.finance.yahoo.com/table.csv?s=%s&a=%s&b=%s&c=%s&d=%se=%s&f=%sg=d&ignore=.csv"
  url = url % [ticker, from.month - 1, from.day, from.year, to.month - 1, to.year, to.day]

  puts "Fetching #{url}..." if $VERBOSE

  csv = with_retry do
    get(url)
  end

  # [newest, ..., oldest]
  csv.scan(/\d+\.\d+$/).map { |p| p.to_f }
end

.member_of?(ticker, index_ticker) ⇒ Boolean

Returns:

• (Boolean)

# File 'lib/market.rb', line 256

def member_of?(ticker, index_ticker)
  index_members = INDEXES[index_ticker] ||= constituents(index_ticker)

  index_members.include?(ticker)
end

.with_retry(&block) ⇒ Object

# File 'lib/market.rb', line 262

def with_retry(&block)
  retries = 20

  begin
    timeout(5) do
      block.call
    end
  rescue Exception
    retries -= 1
    unless retries.zero?
      puts "Got error, retrying"
      puts $!
      retry
    end
    raise
  end
end