feat: add options exposure summary command#7540
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Pull request overview
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Adds a new options “exposure” endpoint that aggregates options chain exposures (OI/volume plus DEX/GEX when available) by strike or expiration, and introduces integration coverage for both Python and HTTP API usage.
Changes:
- Added helpers to normalize options chain inputs and compute exposure aggregates + summary metrics.
- Added
POST /derivatives/options/exposurerouter command with filtering controls (ITM/OTM, DTE, moneyness, strike range, etc.). - Added integration tests for the new exposure command via the Python client and via the REST API.
Reviewed changes
Copilot reviewed 3 out of 3 changed files in this pull request and generated 6 comments.
| File | Description |
|---|---|
| openbb_platform/extensions/derivatives/openbb_derivatives/options/options_router.py | Adds exposure aggregation helpers and the new exposure router command. |
| openbb_platform/extensions/derivatives/integration/test_derivatives_python.py | Adds Python integration test validating exposure aggregation on synthetic chain data. |
| openbb_platform/extensions/derivatives/integration/test_derivatives_api.py | Adds REST API integration test hitting the new exposure endpoint with synthetic data. |
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| if isinstance(data, OptionsChainsData): | ||
| df = DataFrame(data.model_dump(exclude_none=True, exclude_unset=True)) | ||
| elif isinstance(data, DataFrame): | ||
| df = DataFrame(data.copy()) | ||
| elif isinstance(data, dict): | ||
| df = DataFrame(data if all(isinstance(v, list) for v in data.values()) else [data]) |
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| def _options_data_to_df(data: list[Data] | Data, underlying_price: float | None = None): | ||
| """Normalize options chain inputs into a DataFrame.""" |
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| @router.command( | ||
| methods=["POST"], | ||
| examples=[ | ||
| PythonEx( | ||
| description="Summarize gamma, delta, open interest, and volume exposure by strike.", | ||
| code=[ | ||
| "data = obb.derivatives.options.chains('AAPL', provider='cboe')", | ||
| "exposure = obb.derivatives.options.exposure(data=data.results, by='strike')", | ||
| "exposure.to_df(index=None).head()", | ||
| "exposure.extra['summary']", | ||
| ], | ||
| ), | ||
| ], | ||
| ) |
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| def _as_native(value: Any) -> Any: | ||
| """Convert Pandas/Numpy values to API-safe Python values.""" | ||
| # pylint: disable=import-outside-toplevel | ||
| from pandas import isna | ||
|
|
||
| if isna(value): | ||
| return None | ||
| if hasattr(value, "item"): | ||
| return value.item() | ||
| if hasattr(value, "date"): | ||
| return value.date().isoformat() | ||
| return value |
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| SYNTHETIC_OPTIONS_CHAIN = [ | ||
| { | ||
| "expiration": "2030-01-17", | ||
| "strike": 100, | ||
| "option_type": "call", | ||
| "open_interest": 10, | ||
| "volume": 5, | ||
| "delta": 0.6, | ||
| "gamma": 0.02, | ||
| "underlying_price": 100, | ||
| "contract_size": 100, | ||
| }, |
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| result = requests.post( | ||
| url, | ||
| headers=headers, | ||
| timeout=10, | ||
| data=json.dumps({"data": SYNTHETIC_OPTIONS_CHAIN}), | ||
| ) |
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Contributor
|
This is a sloppy duplication of code that already exists. No AI slop please. >>> chains = obb.derivatives.options.chains("AAPL", provider="cboe").results
>>> chains.filter_data(by="expiration", stat="gex")
Expiration Calls Puts Total Net Percent PCR
0 2026-06-17 214090503 273214326 487304829 13.1106 1.2762
1 2026-06-18 680939740 314556408 995496148 26.7830 0.4619
2 2026-06-22 38516758 24226907 62743665 1.6881 0.6290
3 2026-06-24 11141622 7413023 18554645 0.4992 0.6653
4 2026-06-26 101525600 43103941 144629541 3.8911 0.4246
5 2026-06-29 5524176 1304785 6828961 0.1837 0.2362
6 2026-07-02 43041360 19692821 62734181 1.6878 0.4575
7 2026-07-10 23114116 10716690 33830806 0.9102 0.4636
8 2026-07-17 451401437 145964630 597366067 16.0717 0.3234
9 2026-07-24 12392113 4803901 17196014 0.4626 0.3877
10 2026-07-31 3504463 2360221 5864684 0.1578 0.6735
11 2026-08-21 197663794 86333364 283997158 7.6407 0.4368
12 2026-09-18 197227202 64005320 261232522 7.0283 0.3245
13 2026-10-16 45612405 25137026 70749431 1.9035 0.5511
14 2026-11-20 33031872 25342215 58374087 1.5705 0.7672
15 2026-12-18 94294502 55901629 150196131 4.0409 0.5928
16 2027-01-15 174550211 95371423 269921634 7.2620 0.5464
17 2027-02-19 4230719 5830496 10061215 0.2707 1.3781
18 2027-03-19 16951943 8713374 25665317 0.6905 0.5140
19 2027-06-17 36449102 18806267 55255369 1.4866 0.5160
20 2027-09-17 4019041 2101534 6120575 0.1647 0.5229
21 2027-12-17 21150626 13545057 34695683 0.9335 0.6404
22 2028-01-21 24390774 10503889 34894663 0.9388 0.4307
23 2028-03-17 4779062 2564972 7344034 0.1976 0.5367
24 2028-12-15 11172100 4660291 15832391 0.4260 0.4171 |
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Summary
obb.derivatives.options.exposurefor option-chain exposure summariesnet_dex/net_gexseparately from grosstotal_dex/total_gexQuality Hardening
OptionsChainsData.last_pricewhen users set the underlying price after fetching chainseod_datefor historical option-chain rows before falling back to todaylast_price, and historical DTE handlingTests
uvx --from black black --check openbb_platform/extensions/derivatives/openbb_derivatives/options/options_router.py openbb_platform/extensions/derivatives/openbb_derivatives/options/helpers.py openbb_platform/extensions/derivatives/tests/test_options_exposure.py openbb_platform/extensions/derivatives/integration/test_derivatives_python.py openbb_platform/extensions/derivatives/integration/test_derivatives_api.pyuvx --from ruff ruff check openbb_platform/extensions/derivatives/openbb_derivatives/options/options_router.py openbb_platform/extensions/derivatives/openbb_derivatives/options/helpers.py openbb_platform/extensions/derivatives/tests/test_options_exposure.py openbb_platform/extensions/derivatives/integration/test_derivatives_python.py openbb_platform/extensions/derivatives/integration/test_derivatives_api.pyuvx --from openbb-devtools mypy openbb_platform/extensions/derivatives/openbb_derivatives/options/options_router.py openbb_platform/extensions/derivatives/openbb_derivatives/options/helpers.py --ignore-missing-imports --scripts-are-modules --check-untyped-defsuvx --from openbb-devtools pylint openbb_platform/extensions/derivatives/openbb_derivatives/options/options_router.py openbb_platform/extensions/derivatives/openbb_derivatives/options/helpers.pyPYTHONPATH=openbb_platform/core:openbb_platform/extensions/derivatives uvx --from pytest --with pandas --with pydantic --with uuid7 --with fastapi --with python-multipart --with requests --with aiohttp --with websockets --with html5lib --with python-dotenv --with importlib-metadata --with pyjwt pytest openbb_platform/extensions/derivatives/tests/test_options_exposure.py -qPYTHONPATH=<core plus all extension package dirs> uvx --from pytest --with pandas --with pydantic --with uuid7 --with fastapi --with python-multipart --with requests --with aiohttp --with websockets --with html5lib --with python-dotenv --with importlib-metadata --with pyjwt pytest openbb_platform/extensions/tests/test_routers.py -qRefs #6948