r - QuantMod getOptionChain "subscript out of bounds"错误

Question

我正在尝试使用 QuantMod 库中的函数 getOptionChain() 来下载 VIX、SP500 和 Eurostoxx 50 的期权链，但以下方法不起作用:

library(quantmod)
VIX.OPT <- getOptionChain("^VIX")

我收到这个错误:

Error in lapply(strsplit(opt, "<tr>"), function(.) gsub(",", "", gsub("N/A",  : 
  subscript out of bounds
In addition: Warning message:
In readLines(paste(paste("http://finance.yahoo.com/q/op?s", Symbols,  :
  incomplete final line found on 'http://finance.yahoo.com/q/op?s=^VIX+Options'

我该如何解决这个问题？

Answer 1

我正在为此开发一个补丁。到目前为止这是可行的，但您必须准确指定运营支出日期(每月的第三个星期五)。

调用示例:

getOptionChain("^VIX")
$calls
                   Strike  Bid  Ask Last   Vol     OI
VIX141119C00010000   10.0 7.10 7.40 7.10    18   1974
VIX141119C00010500   10.5 6.60 6.90 6.90   330    510
VIX141119C00011000   11.0 6.10 6.40 6.10   108   1469 ...

getOptionChain("^VIX", '2014-12-16') #note VIX dec expiry is NOT 12/19, weird
$calls
                   Strike  Bid  Ask Last   Vol     OI
VIX141217C00010000   10.0 7.10 7.40 7.50     1    964
VIX141217C00011000   11.0 6.20 6.40 6.53   100    673
VIX141217C00012000   12.0 5.20 5.40 5.50     4    873 ...

格式与旧版本匹配(我认为)。

这个补丁引入了对 rjson 的新依赖包裹。

要使用补丁，请安装 rjson (install.packages("rjson"))，然后在加载 quantmod 后从 R 控制台运行以下命令:

getOptionChain.yahoo.patch <- function(Symbols, Exp, ...)
{
    library("XML")
    library("rjson")

    millisToDate <- function(x)
    {
        return (as.Date(x / 86400000, origin = "1970-01-01"))
    }

    dateToMillis <- function(x)
    {
        as.numeric(x+1) * 86400000  /1000
    }

    parse.expiry <- function(x) {
        if(is.null(x))
          return(NULL)

        if(is.character(x))
        {
            x <- as.Date(x)
        }

        if(inherits(x, "Date") || inherits(x, "POSIXt"))
          return(dateToMillis(x))

         return(NULL)
    }

    getOptionChainJson <- function(sym, Exp)
    {
      if(missing(Exp))
        {
            url <- paste("http://finance.yahoo.com/q/op?s",sym,sep="=")
            opt <- readLines(url)
        }
      else
        {   
            url <- paste("http://finance.yahoo.com/q/op?s=",sym,"&date=",parse.expiry(Exp),sep="")
            opt <- readLines(url)
        }

        opt <- opt[grep("percentChangeRaw", opt)]
        opt <- unlist(strsplit(opt, "<script>"))
        json <- opt[3]
        json <- gsub("<script>", "", json)
        json <- gsub("</script>", "", json)
        json <- gsub(";", "", json)
        json <- unlist(strsplit(json, "="))[4]

        j <- fromJSON(json)
        price <- j$models$applet_model$data$optionData$quote$regularMarketPrice
        calls <- j$models$applet_model$data$optionData$options$calls
        puts <- j$models$applet_model$data$optionData$options$puts
        return (list(calls=chainToDf(calls), puts=chainToDf(puts), price = price, sym = sym))
    }

    chainToDf <- function(theList)
    {
        x <- do.call(rbind.data.frame, theList)

        rownames(x) <- x$contractSymbol
        y <- x[,c("strike", "bid", "ask", "lastPrice", "volume", "openInterest")]
        theNames <- c("Strike", "Bid", "Ask", "Last", "Vol", "OI")
        names(y) <- theNames
        for(i in theNames)
        {
            y[,i] <- as.numeric(as.character(y[,i]))
        }

        #y$contractSymbol <- as.character(x$contractSymbol)
        #y$expiration <- millisToDate(as.numeric(as.character(x$expiration)) * 1000)

        return(y)
    }

    getOptionChainJson(Symbols, Exp)
}
assignInNamespace("getOptionChain.yahoo", getOptionChain.yahoo.patch, "quantmod")