private List<OptionQuote> ParseStack(HtmlNode tblNode, AOption.ESecType eSecType,
decimal? dUnderPx, int nTradeDate, int nTradeTime)
{
var ret = new List<OptionQuote>();
var trs = tblNode.SelectNodes("tr/td/table/tr").Skip(2);
foreach (var tr in trs)
{
var cols = tr.SelectNodes("td");
var sOp = cols[(int)StackFields.Symbol].InnerText;
var op = AOption.CreateFromYahooSymbol(sOp, eSecType);
var opQ = new OptionQuote(op);
decimal dP;
if (decimal.TryParse(cols[(int)StackFields.Last].InnerText.Replace(",", ""), out dP)) opQ.Last = dP;
if (decimal.TryParse(cols[(int)StackFields.Bid].InnerText.Replace(",", ""), out dP)) opQ.Bid = dP;
if (decimal.TryParse(cols[(int)StackFields.Ask].InnerText.Replace(",", ""), out dP)) opQ.Ask = dP;
int nV;
if (int.TryParse(cols[(int)StackFields.Volume].InnerText.Replace(",", ""), out nV)) opQ.Volume = nV;
if (int.TryParse(cols[(int)StackFields.OpenInt].InnerText.Replace(",", ""), out nV)) opQ.OpenInt = nV;
opQ.UnderPx = dUnderPx;
opQ.TradeDate = nTradeDate;
opQ.TradeTime = nTradeTime;
ret.Add(opQ);
}
return ret;
}
public List<OptionQuote> GetPriceForOptionChain(string sYhoUnder, int nExpYear, int nExpMonth, AOption.ESecType eSecType)
{
int nNow = Interlocked.Increment(ref _nThread);
Console.WriteLine("Start thread #{0}", nNow);
var ret = new List<OptionQuote>();
var sExp = string.Format("{0}-{1:00}", nExpYear, nExpMonth);
var sUrl = string.Format("http://finance.yahoo.com/q/os?s={0}&m={1}", sYhoUnder, sExp);
int nTradeDate = Date.Today();
int nTradeTime = Date.Now();
if (nTradeTime > 160000) nTradeTime = 160000;
try
{
var webGet = new HtmlWeb();
var doc = webGet.Load(sUrl);
var und = doc.DocumentNode.Descendants("span")
.Where(x => x.Attributes.Contains("class"))
.First(x => x.Attributes["class"].Value.Contains("time_rtq_ticker"));
var sPx = und.SelectSingleNode("span").InnerText.Replace(",", "");
decimal? dUnderPx = null;
decimal dP;
if (decimal.TryParse(sPx, out dP)) dUnderPx = dP;
var tbls = doc.DocumentNode.Descendants("table")
.Where(x => x.Attributes.Contains("class"))
.First(x => x.Attributes["class"].Value.Contains("yfnc_datamodoutline1"));
var trs = tbls.SelectNodes("tr/td/table/tr").Skip(2);
foreach (var tr in trs)
{
var cols = tr.SelectNodes("td");
var sCall = cols[(int)CallFields.Symbol].InnerText;
var sPut = cols[(int)PutFields.Symbol].InnerText;
var call = AOption.CreateFromYahooSymbol(sCall, eSecType);
var put = AOption.CreateFromYahooSymbol(sPut, eSecType);
var callQ = new OptionQuote(call);
var putQ = new OptionQuote(put);
if (decimal.TryParse(cols[(int) CallFields.Last].InnerText.Replace(",", ""),out dP)) callQ.Last = dP;
if (decimal.TryParse(cols[(int)PutFields.Last].InnerText.Replace(",", ""), out dP)) putQ.Last = dP;
if (decimal.TryParse(cols[(int)CallFields.Bid].InnerText.Replace(",", ""), out dP)) callQ.Bid = dP;
if (decimal.TryParse(cols[(int)PutFields.Bid].InnerText.Replace(",", ""), out dP)) putQ.Bid = dP;
if (decimal.TryParse(cols[(int)CallFields.Ask].InnerText.Replace(",", ""), out dP)) callQ.Ask = dP;
if (decimal.TryParse(cols[(int)PutFields.Ask].InnerText.Replace(",", ""), out dP)) putQ.Ask = dP;
int nV;
if (int.TryParse(cols[(int)CallFields.Volume].InnerText.Replace(",", ""), out nV)) callQ.Volume = nV;
if (int.TryParse(cols[(int)PutFields.Volume].InnerText.Replace(",", ""), out nV)) putQ.Volume = nV;
if (int.TryParse(cols[(int)CallFields.OpenInt].InnerText.Replace(",", ""), out nV)) callQ.OpenInt = nV;
if (int.TryParse(cols[(int)PutFields.OpenInt].InnerText.Replace(",", ""), out nV)) putQ.OpenInt = nV;
callQ.UnderPx = dUnderPx;
putQ.UnderPx = dUnderPx;
callQ.TradeDate = nTradeDate;
callQ.TradeTime = nTradeTime;
putQ.TradeDate = nTradeDate;
putQ.TradeTime = nTradeTime;
ret.Add(callQ);
ret.Add(putQ);
}
ret = ret.GroupBy(x => x.Option.YhoSymbol).Select(y => y.First()).ToList();
nNow = Interlocked.Decrement(ref _nThread);
Console.WriteLine("End thread #{0}", nNow);
return ret;
}
catch (Exception)
{
Console.WriteLine("Error: {0} {1} {2}", sYhoUnder, nExpYear, nExpMonth);
throw new OptionQuoteDownloadException
{
YahoUnder = sYhoUnder,
ExpYear = nExpYear,
ExpMonth = nExpMonth,
SecType = eSecType
};
}
}
public OptionQuoteAndGreeks(OptionQuote optionQuote)
{
OptionQuote = optionQuote;
Greeks = fnGreeks();
}