oic-options-chains

These Racket programs will download the OIC Options Chains HTML files and insert the data into a PostgreSQL database. The intended usage is:

$ racket extract.rkt
$ racket transform-load.rkt

The provided schema.sql file shows the expected schema within the target PostgreSQL instance. This process assumes you can write to a /var/tmp/oic/options-chains folder. This process also assumes you have loaded your database with the NASDAQ symbol file information, SPDR ETF holding information, and Invesco ADR ETF holding information. This data is provided by the nasdaq-symbols project, spdr-etf-holdings project, and invesco-etf-holdings project. These programs currently (2019-11-11) will just extract option chains for S&P 500/400/600 component companies, Invesco ADR component companies, and some SPDR ETFs. The transform/load script will just insert options expiring 2 weeks, 4 weeks, and 8 weeks from the current date and they will also just grab the +/- 0%, 2%, 4% 7%, 10%, and 15% strikes. This suits my purposes, but this filter can be removed if you want to insert everything.

Dependencies

It is recommended that you start with the standard Racket distribution. With that, you will need to install the following packages:

$ raco pkg install --skip-installed gregor html-parsing sxml tasks threading

dat

Historical OIC options chains can be retrieved in CSV form from dat with the following URL:

dat://8eed8dc41ab7ff1ac84ce4c4cf364bf04218b719b601c802ca6bcad46421b748

You may also view this link on datbase.