[R] quantmod getOptionChain Not Work

[R. Michael Weylandt]

I just got around to taking a look at this, but below is a fix. It
seems like yahoo finance redesigned the page and rather than reparsing
all their HTML, I'll use Duncan TL's XML package to make life happier.
(I loathe HTML parsing....)

This isn't thoroughly tested and it'll break if yahoo redesigns things
again (I hardcode the table numbers for now) but it seems to work well
enough. Let me know if you have any errors with it. If Jeff likes it,
it should be a drop-in replacement for the getOptionChain.yahoo for
quantmod with a name change.

Feedback welcome,

Michael

#############################################

library(XML)

readYahooOptions <- function(Symbols, Exp, ...){
  parse.expiry <- function(x) {
    if(is.null(x))
      return(NULL)

    if(inherits(x, "Date") || inherits(x, "POSIXt"))
      return(format(x, "%Y-%m"))

    if (nchar(x) == 5L) {
      x <- sprintf(substring(x, 4, 5), match(substring(x,
                                                       1, 3),
month.abb), fmt = "20%s-%02i")
    }
    else if (nchar(x) == 6L) {
      x <- paste(substring(x, 1, 4), substring(x, 5, 6),
                 sep = "-")
    }
    return(x)
  }

  clean.opt.table <- function(tableIn){
    tableOut <- lapply(tableIn[,-2], function(x) as.numeric(gsub(",","",x)))
    rownames(tableOut) <- tableIn[,2]
  }

  if(missing(Exp))
    optURL <- paste(paste("http://finance.yahoo.com/q/op?s",Symbols,sep="="),"Options",sep="+")
  else
    optURL <- paste(paste("http://finance.yahoo.com/q/op?s=",Symbols,"&m=",parse.expiry(Exp),sep=""),"Options",sep="+")

  if(!missing(Exp) && is.null(Exp)) {
    optPage <- readLines(optURL)
    optPage <- optPage[grep("View By Expiration", optPage)]
    allExp <- gregexpr("m=", optPage)[[1]][-1] + 2
    allExp <- substring(optPage, allExp, allExp + 6)
    allExp <- allExp[seq_len(length(allExp)-1)] # Last one seems
useless ? Always true?
    return(structure(lapply(allExp, readYahooOptions,
Symbols=Symbols), .Names=format(as.yearmon(allExp))))
  }

  stopifnot(require("XML"))

  optURL <- readHTMLTable(optURL)

  # Not smart to hard code these but it's a 'good-enough' hack for now
  # Also, what is table 9 on this page?
  CALLS <- optURL[[10]]
  PUTS <- optURL[[14]]

  list(calls = CALLS, puts = PUTS, symbol = Symbols)
}


###########################################################

On Sun, Mar 4, 2012 at 2:18 PM, Sparks, John James <jspark4 at uic.edu> wrote:
> Dear R Helpers,
>
> I am still having trouble with the getOptionChain command in quantmod.  I
> have the latest version of quantmod, etc. so I was under the impression
> that the problem was solved with updates to the package.
>
> If someone could let me know what I need to install in order to make this
> work, I would really appreciate it.
>
> My error message as session info are shown below.  Thanks a bunch.
> --John Sparks
>
> R version 2.14.2 (2012-02-29)
> Platform: i386-pc-mingw32/i386 (32-bit)
>
> locale:
> [1] LC_COLLATE=English_United States.1252  LC_CTYPE=English_United
> States.1252    LC_MONETARY=English_United States.1252 LC_NUMERIC=C
> [5] LC_TIME=English_United States.1252
>
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
>
> other attached packages:
> [1] pomp_0.40-2      deSolve_1.10-3   subplex_1.1-3    mvtnorm_0.9-9992
> quantmod_0.3-17  TTR_0.21-0       xts_0.8-2        zoo_1.7-7
> Defaults_1.1-1
>
> loaded via a namespace (and not attached):
> [1] grid_2.14.2    lattice_0.20-0 tools_2.14.2
>> AAPL.OPT<-getOptionChain("AAPL")
> Error in puts[, 2] : incorrect number of dimensions
>> AAPL.OPT<-getOptionChain("AAPL",NULL)
> Error in puts[, 2] : incorrect number of dimensions
>>
>
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