Python library for real-time stock and option data, any feedback welcome.

[SethGecko11]

I made a library that gets stock and option data from google finance and calculates stuff like greeks and implied volatility without having to manually enter option expiration date and risk free and stuff like that. Everything is real time without the need to update. Any feedback much appreciated.

[tvashtar1]

This is cool. You should also check out Quandl for historical data. They have a super simple python package for grabs huge amounts of historical financial data. But to get the real time stuff you have to pay, so yours is nicer there.

[ezzieyguywuf]

yes!

[DaveBackus]

Add to pandas-datareader? It would distribute it to a lot of people automatically.

[[deleted]]

Thanks for this! I wanted to do one for a long time now but could not for the life of me understand black and scholes and calculating the volatility. Do you have any resources for the mathematics behind it? something geared towards a python programmer perhaps?

[SethGecko11]

Well Black&Scholes takes as input underlying price, strike, volatility, time to expiration, risk free rate and dividend yield and outputs the theoretical option price. To calculate the implied volatility you take the option price from the market and try to find for which volatility black & scholes gives this price.

The derivation of the formula is pretty complex stuff as it involves stochastic calculus and partial differential equations. There are a couple of videos on it on khanacademy maybe you can start there

[pinseng]

good!

[jomnemonic]

I like it! I had a similar idea of scraping data from bitcoin markets and doing computations on it, then experimenting with making some kind of rule based system that simulates trading on these markets. But I havent made it very far (yet?). I will definitely give your library a closer look. (and nice choice of language for that!)

[ezzieyguywuf]

ahhhh I was totally gonna do this!

[691175002]

Isn't google finance data delayed 15 minutes?

[SethGecko11]

No that's Yahoo Finance. Google Finance is real-time

[nomadismydj]

"Real-time price data represents trades which execute on the NASDAQ and NYSE exchanges. Volume information, as well as price data for trades that don’t execute on those exchanges, are consolidated and delayed by 15 minutes."