OptionAlly Server

Contents

• Description
• Technologies
• Schema
• Examples
• Source Code
• Attributions

Description

This is the server which makes OptionAlly possible, providing market data through an intuitive GraphQL API.

Setup

After cloning this repo, here's how to get up and running locally.

1. Configure environment

You will need to sign up for a free Quandl dev account and create and API key. After you have an API key, create a file in the root of the project called .env and add your key as shown below:

YAHOO_BASEURL=http://d.yimg.com/autoc.finance.yahoo.com/
OPC_BASEURL=https://www.optionsprofitcalculator.com/ajax/
QUANDL_BASEURL=https://www.quandl.com/api/v3/datasets/
QUANDL_APIKEY=<YOUR API KEY>

2. Install dependencies

cd optionally-server
npm install

3. Run local dev server

npm run start

Tests

To maintain robustness, OptionAlly Server has tests! Test files are found adjacent their corresponding source files suffixed with .test.ts.

Run unit tests

npm run test

Technologies

OptionAlly Server is built with:

• TypeScript
• GraphQL + Apollo Server
• Node.js + Express

With special thanks to:

• Quandl
• Yahoo Finance
• OptionsProfitCalculator

Schema

See below for an abridged version of the GraphQL schema. You can view the full version at /src/graphql/schema.graphql.

Queries

type Query {
  lookup(query: String!): [LookupResult]!
  stock(symbol: String!): Stock!
  calculateReturns(input: CalculatorInput!) : CalculatorResult!
}

Types

type Stock implements Tradable {
  bid: Float!
  ask: Float!
  last: Float!
  symbol: String!
  optionsChain: [OptionsForExpiry!]!
}

type Option implements Tradable {
  bid: Float!
  ask: Float!
  last: Float!
  strike: Float!
  expiry: String!
  type: OptionType!  # CALL or PUT
  underlyingSymbol: String!
  underlyingPrice: Float!
}

type OptionsForExpiry {
  expiry: String!
  calls: [Option!]!
  puts: [Option!]!
}

type CalculatorResult {
  entryCost: Float!
  maxRisk: Float 
  maxReturn: Float  # null values for maxRisk/maxReturn indicate infinity
  breakEvenAtExpiry: [Float!]!  # 1 for directional, 2 for delta-neutral
  returnsTable: ReturnsTable!
}

type ReturnsTable {
  dates: [String!]!
  underlyingPrices: [Float!]!
  dataMatrix: [[Float!]!]!
}

type LookupResult {
  symbol: String!
  name: String!
  exchange: String!
}

input CalculatorInput {
  strategy: StrategyType!,  # Ex: BULL_CALL_SPREAD
  longCall: OptionInput,
  longPut: OptionInput,
  shortCall: OptionInput,
  shortPut: OptionInput
}

input OptionInput {
  quantity: Int!,
  currentPrice: Float!,
  strike: Float!,
  expiry: String!
  underlyingPrice: Float!,
  type: OptionType!
}

Examples

Now that we've seen the schema, let's see some queries in action.

Search symbols matching "GM"

Request:

{
  lookup(query: "gm") {
    symbol
    name
    exchange
  }
}

Response:

{
  "data": {
    "lookup": [
      {
        "symbol": "GM",
        "name": "General Motors Company",
        "exchange": "NYSE"
      },
      {
        "symbol": "GMVD",
        "name": "G Medical Innovations Holdings Ltd.",
        "exchange": "NASDAQ"
      },
      {
        "symbol": "GMIIU",
        "name": "Gores Metropoulos II, Inc.",
        "exchange": "NASDAQ"
      },
      ...
    ]
  }
}

Get price data for $SPY

Request:

{
  stock(symbol: "SPY") {
    symbol
    bid
    ask
    last
  }
}

Response:

{
  "data": {
    "stock": {
      "symbol": "SPY",
      "bid": 320.15,
      "ask": 320.3,
      "last": 320.85
    }
  }
}

Get put option data for $TSLA

Request:

{
  stock(symbol: "TSLA") {
    optionsChain {
      expiry
      puts {
        underlyingSymbol
        last
        strike,
        expiry,
      }
    }
  } 
}

Response:

{
  "data": {
    "stock": {
      "optionsChain": [
        {
          "expiry": "2020-07-31",
          "puts": [
            {
              "underlyingSymbol": "TSLA",
              "last": 0.01,
              "strike": 100,
              "expiry": "2020-07-31"
            },
            {
              "underlyingSymbol": "TSLA",
              "last": 0.01,
              "strike": 150,
              "expiry": "2020-07-31"
            },

            ...
          
          ]
        }
        
        ...
      
      ]
    }
  }
}

Calculate max profit or loss and breakeven points from long strangle:

Request:

{
  calculateReturns(input: {
    strategy: STRADDLE_STRANGLE,
    longCall: {
      quantity: 1,
      currentPrice: 1.40,
      strike: 50,
      expiry: "2021-03-19"
    }
    longPut: {
      quantity: 1,
      currentPrice: 1.55,
      strike: 43.5
      expiry: "2021-03-19"
    }
  }) {
    entryCost
    maxRisk
    maxReturn
    breakEvenAtExpiry
  }
}

Response:

{
  "data": {
    "calculateReturns": {
      "entryCost": 295,
      "maxRisk": 295,
      "maxReturn": null,
      "breakEvenAtExpiry": [
        51.4,
        41.95
      ]
    }
  }
}

Source Code

Let's run through the source code, shall we?

src/server.ts

Here is the application entry point. It contains configuration for the Apollo and Express servers. Not much else to see here.

src/data-source

GraphQL resolver data sources. Each subdirectory contains an Interface and current Implementation(s).

src/data-source/autocomplete-api/IAutocompleteApi.ts

Declares a method to power the mobile app's symbol autocomplete:

• findMatches for finding stock or ETF symbols that match the user's query.

src/data-source/econ-api/IEconApi.ts

Declares two macroeconomic data retrieval methods for option pricing:

• getNearestTBillRate for getting yield for Treasury Bill with maturity nearest a given date.
• getInflationRate for getting the current rate of inflation.

src/data-source/stocks-api/IStocksApi.ts

Declares two market data retrieval metthods for our resolvers:

• getStock for getting stock price.
• getOptions for getting an underlying stock's options chain.

src/graphql

In this directory is all the GraphQL-specific TypeScript code, as well as the schema definition file.

src/graphql/resolvers.ts

Definitions for all neccessary resolvers.

src/graphql/schema.ts

Creation of the executable GraphQLSchema with typedefs and resolvers.

src/graphql/types.ts

GraphQL type definitions generated by GraphQL Code Generator. (Thanks so much ♥!)

src/graphql/schema.graphql

See section Schema for details.

src/util

General utlity modules.

src/util/option-pricing.ts

Of note here is the function calculateOptionPriceForDates, used to calculate theoretical option prices on each date in a given list of dates. OptionAlly uses the Black-Scholes option pricing model.

Herein also lies calculateApproximateImpliedVolatility, which we use to find the approximate IV of a contract. This function essentially binary searches while comparing the actual option price to the calculated Black-Scholes price.

src/util/return-calculator.ts

This module is home to most of the business logic. These functions do the work of producing the results for a given CalculatorInput, including generating the returns matrix, and calculating risk/reward.

Attributions

• The TypeScript Logo is attributed to Microsoft, licensed under the Apache License 2.0.
• The GraphQL Logo is attributed to Facebook, licensed under the BSD License. Icon is not modified.
• The icon node-js-brands is attributed to FontAwesome, licensed under Creative Commons Attribution 4.0 International license. Icon is not modified. Node.js is a trademark of the OpenJS Foundation