Market Data Manager

get_available_snapshot_dates(ticker: str) -> list[str]

Lists all available snapshot dates for a given ticker.

Scans the market data directory for saved parquet files corresponding to the ticker and extracts the date from the filenames.

Parameters:

Name	Type	Description	Default
ticker	str	The stock ticker to search for, e.g., 'SPY'.	required

Returns:

Type	Description
list[str]	A sorted list of available dates in 'YYYY-MM-DD' format, from most recent to oldest.

Source code in src/quantfin/data/market_data_manager.py

def get_available_snapshot_dates(ticker: str) -> list[str]:
    """
    Lists all available snapshot dates for a given ticker.

    Scans the market data directory for saved parquet files corresponding
    to the ticker and extracts the date from the filenames.

    Parameters
    ----------
    ticker : str
        The stock ticker to search for, e.g., 'SPY'.

    Returns
    -------
    list[str]
        A sorted list of available dates in 'YYYY-MM-DD' format, from
        most recent to oldest.
    """
    try:
        files = [
            f.name
            for f in MARKET_SNAPSHOT_DIR.iterdir()
            if f.name.startswith(f"{ticker}_") and f.name.endswith(".parquet")
        ]
        return sorted(
            [f.replace(f"{ticker}_", "").replace(".parquet", "") for f in files],
            reverse=True,
        )

    except FileNotFoundError:
        return []

get_live_option_chain(ticker: str) -> pd.DataFrame | None

Fetches a live option chain from the configured data provider.

The data provider is determined by the live_data_provider key in the config.yaml file. Supported providers are "yfinance" and "polygon".

Parameters:

Name	Type	Description	Default
ticker	str	The stock ticker for which to fetch the option chain, e.g., 'SPY'.	required

Returns:

Type	Description
DataFrame | None	A DataFrame containing the formatted option chain data, or None if the fetch fails or no data is returned.

Source code in src/quantfin/data/market_data_manager.py

def get_live_option_chain(ticker: str) -> pd.DataFrame | None:
    """
    Fetches a live option chain from the configured data provider.

    The data provider is determined by the `live_data_provider` key in the
    `config.yaml` file. Supported providers are "yfinance" and "polygon".

    Parameters
    ----------
    ticker : str
        The stock ticker for which to fetch the option chain, e.g., 'SPY'.

    Returns
    -------
    pd.DataFrame | None
        A DataFrame containing the formatted option chain data, or None if
        the fetch fails or no data is returned.
    """
    provider = _config.get("live_data_provider", "yfinance").lower()
    if provider == "polygon":
        return _fetch_from_polygon(ticker)

    elif provider == "yfinance":
        return _fetch_from_yfinance(ticker)

    else:
        print(
            f"Warning: Unknown live_data_provider '{provider}'. Defaulting to yfinance."
        )
        return _fetch_from_yfinance(ticker)

load_market_snapshot(ticker: str, snapshot_date: str) -> pd.DataFrame | None

Loads a previously saved market data snapshot for a specific date.

Parameters:

Name	Type	Description	Default
ticker	str	The stock ticker of the desired snapshot, e.g., 'SPY'.	required
snapshot_date	str	The date of the snapshot in 'YYYY-MM-DD' format.	required

Returns:

Type	Description
DataFrame | None	A DataFrame containing the snapshot data, or None if the file is not found.

Source code in src/quantfin/data/market_data_manager.py

def load_market_snapshot(ticker: str, snapshot_date: str) -> pd.DataFrame | None:
    """
    Loads a previously saved market data snapshot for a specific date.

    Parameters
    ----------
    ticker : str
        The stock ticker of the desired snapshot, e.g., 'SPY'.
    snapshot_date : str
        The date of the snapshot in 'YYYY-MM-DD' format.

    Returns
    -------
    pd.DataFrame | None
        A DataFrame containing the snapshot data, or None if the file
        is not found.
    """
    filename = MARKET_SNAPSHOT_DIR / f"{ticker}_{snapshot_date}.parquet"
    if not filename.exists():
        print(f"Error: Snapshot file not found: {filename}")
        return None

    print(f"Loading data from {filename}...")
    return pd.read_parquet(filename)

save_market_snapshot(tickers: list[str])

Saves a snapshot of the current market option chain for given tickers.

For each ticker, it fetches the live option chain using get_live_option_chain and saves it to a parquet file named with the ticker and the current date.

Parameters:

Name	Type	Description	Default
tickers	list[str]	A list of stock tickers to process, e.g., ['SPY', 'AAPL'].	required

Source code in src/quantfin/data/market_data_manager.py

def save_market_snapshot(tickers: list[str]):
    """
    Saves a snapshot of the current market option chain for given tickers.

    For each ticker, it fetches the live option chain using
    `get_live_option_chain` and saves it to a parquet file named with the
    ticker and the current date.

    Parameters
    ----------
    tickers : list[str]
        A list of stock tickers to process, e.g., ['SPY', 'AAPL'].
    """
    today_str = date.today().strftime("%Y-%m-%d")

    print(f"--- Saving Market Data Snapshot for {today_str} ---")
    for ticker in tickers:
        chain_df = get_live_option_chain(ticker)

        if chain_df is None or chain_df.empty:
            print(f"  -> No valid option data found for {ticker}. Skipping.")
            continue

        filename = MARKET_SNAPSHOT_DIR / f"{ticker}_{today_str}.parquet"
        chain_df.to_parquet(filename)
        print(f"  -> Successfully saved {len(chain_df)} options to {filename}")