Option Chains - Fetch

Retrieve E*Trade Option Chains using SQL Server

Prerequisites:

See SQLHTTP easy setup for E*Trade
See API Call documentation for parameter values and other information
Create the stored procedure documented below

Stored Procedure:


CREATE PROCEDURE usp_ETrade_Option_Chains_Fetch(
		@Profile nvarchar(100),
		@chainType varchar(10),
		@expirationMonth tinyint,
		@expirationYear smallint,
		@underlier varchar(20),
		@skipAdjusted bit = 1,
		@Response nvarchar(MAX) OUTPUT,
		@StatusCode int OUTPUT,
		@StatusDescription nvarchar(MAX) OUTPUT)
AS

DECLARE @Text_skipAdjusted varchar(5)

SET @Text_skipAdjusted = 
  CASE
	WHEN @skipAdjusted = 0 THEN 'false'
	ELSE 'true'
  END

EXEC usp_ETrade_Auth_Refresh @Profile

DECLARE @URL nvarchar(MAX)
DECLARE @QueryString varchar(MAX)
DECLARE @HTTPSessionID uniqueidentifier
DECLARE @Sandbox bit

SET @Sandbox = SQLHTTP.net.AuthParam(@Profile, 'Sandbox')

IF @Sandbox = 1
	BEGIN
		SET @URL = 'https://etwssandbox.etrade.com'

		EXEC SQLHTTP.net.UrlBuilder   @URL OUTPUT,
					      @Profile,
					      'market', 'sandbox', 'rest',
					      'optionchains'

		EXEC SQLHTTP.net.QueryStringBuilder   @QueryString OUTPUT,
						       @Profile,
						       'chainType', @chainType,
						       'expirationMonth', @expirationMonth,
						       'expirationYear', @expirationYear,
						       'underlier', @underlier,
						       'skipAdjusted', @Text_skipAdjusted

		SET @URL = @URL + @QueryString
	END
ELSE
	BEGIN
		SET @URL = 'https://etws.etrade.com'

		EXEC SQLHTTP.net.UrlBuilder   @URL OUTPUT,
					      @Profile,
					      'market', 'rest',
					      'optionchains'

		EXEC SQLHTTP.net.QueryStringBuilder   @QueryString OUTPUT,
						      @Profile,
						      'chainType', @chainType,
						      'expirationMonth', @expirationMonth,
						      'expirationYear', @expirationYear,
						      'underlier', @underlier,
						      'skipAdjusted', @Text_skipAdjusted

		SET @URL = @URL + @QueryString
	END

EXEC SQLHTTP.net.HTTPSession @HTTPSessionID OUTPUT

EXEC usp_Etrade_Auth_Header @Profile, @HTTPSessionID, @URL, 'GET'

EXEC SQLHTTP.net.HTTPRequest @HttpSessionID,
			     @URL = @URL,
			     @Method = 'GET',
			     @StatusCode = @StatusCode OUTPUT,
			     @StatusDescription = @StatusDescription OUTPUT,
			     @Response = @Response OUTPUT
GO

CREATE PROCEDURE usp_ETrade_Option_Chains_Fetch(

@Profile nvarchar(100),

@chainType varchar(10),

@expirationMonth tinyint,

@expirationYear smallint,

@underlier varchar(20),

@skipAdjusted bit = 1,

@Response nvarchar(MAX) OUTPUT,

@StatusCode int OUTPUT,

@StatusDescription nvarchar(MAX) OUTPUT)

DECLARE @Text_skipAdjusted varchar(5)

SET @Text_skipAdjusted =

CASE

WHEN @skipAdjusted = 0 THEN 'false'

ELSE 'true'

END

EXEC usp_ETrade_Auth_Refresh @Profile

DECLARE @URL nvarchar(MAX)

DECLARE @QueryString varchar(MAX)

DECLARE @HTTPSessionID uniqueidentifier

DECLARE @Sandbox bit

SET @Sandbox = SQLHTTP.net.AuthParam(@Profile, 'Sandbox')

IF @Sandbox = 1

BEGIN

SET @URL = 'https://etwssandbox.etrade.com'

EXEC SQLHTTP.net.UrlBuilder @URL OUTPUT,

@Profile,

'market', 'sandbox', 'rest',

'optionchains'

EXEC SQLHTTP.net.QueryStringBuilder @QueryString OUTPUT,

@Profile,

'chainType', @chainType,

'expirationMonth', @expirationMonth,

'expirationYear', @expirationYear,

'underlier', @underlier,

'skipAdjusted', @Text_skipAdjusted

SET @URL = @URL + @QueryString

END

ELSE

BEGIN

SET @URL = 'https://etws.etrade.com'

EXEC SQLHTTP.net.UrlBuilder @URL OUTPUT,

@Profile,

'market', 'rest',

'optionchains'

EXEC SQLHTTP.net.QueryStringBuilder @QueryString OUTPUT,

@Profile,

'chainType', @chainType,

'expirationMonth', @expirationMonth,

'expirationYear', @expirationYear,

'underlier', @underlier,

'skipAdjusted', @Text_skipAdjusted

SET @URL = @URL + @QueryString

END

EXEC SQLHTTP.net.HTTPSession @HTTPSessionID OUTPUT

EXEC usp_Etrade_Auth_Header @Profile, @HTTPSessionID, @URL, 'GET'

EXEC SQLHTTP.net.HTTPRequest @HttpSessionID,

@URL = @URL,

@Method = 'GET',

@StatusCode = @StatusCode OUTPUT,

@StatusDescription = @StatusDescription OUTPUT,

@Response = @Response OUTPUT

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Sample Usage:


DECLARE @Response nvarchar(MAX)
DECLARE @StatusCode int
DECLARE @StatusDescription nvarchar(MAX)

EXEC usp_ETrade_Option_Chains_Fetch
		@Profile = 'My Etrade Sandbox',
		@chainType = 'PUT',
		@expirationMonth = 3,
		@expirationYear = 2018,
		@underlier = 'SPY',
		@Response = @Response OUTPUT,
		@StatusCode = @StatusCode OUTPUT, 
		@StatusDescription = @StatusDescription OUTPUT

IF @StatusCode >= 400
  EXEC SQLHTTP.net.RaiseHttpError @StatusCode, @StatusDescription, @Response
ELSE
  IF SQLHTTP.net.IsXmlValid(@Response) = 0
	BEGIN
		RAISERROR(@Response, 16, 1)
		RETURN
	END
  ELSE
	BEGIN
		DECLARE @X xml
		SET @X = CONVERT(xml, @Response)

		--The XPath syntax below was easily generated by executing the following commands:
		--EXEC SQLHTTP.net.XQueryHelper @X
		--and then executing: 
		--EXEC SQLHTTP.net.XQueryHelper @X, 'OptionChainResponse/optionPairs' --

		SELECT T.C.value(N'put[1]/expireDate[1]/day[1]', N'nvarchar(MAX)') AS [day]
		      ,T.C.value(N'put[1]/expireDate[1]/month[1]', N'nvarchar(MAX)') AS [month]
		      ,T.C.value(N'put[1]/expireDate[1]/year[1]', N'nvarchar(MAX)') AS [year]
		      ,T.C.value(N'put[1]/product[1]/symbol[1]', N'nvarchar(MAX)') AS [symbol]
		      ,T.C.value(N'put[1]/strikePrice[1]', N'nvarchar(MAX)') AS [strikePrice]
		FROM @X.nodes(N'/OptionChainResponse/optionPairs') T(C)
	END

DECLARE @Response nvarchar(MAX)

DECLARE @StatusCode int

DECLARE @StatusDescription nvarchar(MAX)

EXEC usp_ETrade_Option_Chains_Fetch

@Profile = 'My Etrade Sandbox',

@chainType = 'PUT',

@expirationMonth = 3,

@expirationYear = 2018,

@underlier = 'SPY',

@Response = @Response OUTPUT,

@StatusCode = @StatusCode OUTPUT,

@StatusDescription = @StatusDescription OUTPUT

IF @StatusCode >= 400

EXEC SQLHTTP.net.RaiseHttpError @StatusCode, @StatusDescription, @Response

ELSE

IF SQLHTTP.net.IsXmlValid(@Response) = 0

BEGIN

RAISERROR(@Response, 16, 1)

RETURN

END

ELSE

BEGIN

DECLARE @X xml

SET @X = CONVERT(xml, @Response)

--The XPath syntax below was easily generated by executing the following commands:

--EXEC SQLHTTP.net.XQueryHelper @X

--and then executing:

--EXEC SQLHTTP.net.XQueryHelper @X, 'OptionChainResponse/optionPairs' --

SELECT T.C.value(N'put[1]/expireDate[1]/day[1]', N'nvarchar(MAX)') AS [day]

,T.C.value(N'put[1]/expireDate[1]/month[1]', N'nvarchar(MAX)') AS [month]

,T.C.value(N'put[1]/expireDate[1]/year[1]', N'nvarchar(MAX)') AS [year]

,T.C.value(N'put[1]/product[1]/symbol[1]', N'nvarchar(MAX)') AS [symbol]

,T.C.value(N'put[1]/strikePrice[1]', N'nvarchar(MAX)') AS [strikePrice]

FROM @X.nodes(N'/OptionChainResponse/optionPairs') T(C)

END

day month year symbol strikePrice

----- ------ ------- ----------------------------- ---------------

16 3 2018 SPY Mar 16 '18 $268 Put 268.000000

16 3 2018 SPY Mar 16 '18 $269 Put 269.000000

16 3 2018 SPY Mar 16 '18 $270 Put 270.000000

16 3 2018 SPY Mar 16 '18 $270.50 Put 270.500000

16 3 2018 SPY Mar 16 '18 $271 Put 271.000000



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