av_add_options

Manages option database and creates vol surfaces

Usage

av_add_options(
  todo,
  dtstr = "-1w::",
  symbols = NULL,
  freq = "d",
  replace_data = FALSE,
  baddates_limits = 3,
  verbosity = "basic",
  external_path = NULL
)

Arguments

todo

What to do to add options. Choices are in the table below

todo	Description
update	Download and add or update full option runs by symbol over periods in dtstr
inventory	Create/update inventory of options that have been downloaded
reconstruct_inventory	Reconstruct inventory of all options that have been downloaded
iv	Updates internal data.table (eqopt_iv of Implied term structures by symbol and date
copy_external	Copies identical directory structures from external_path to siny app internal data

dtstr

(default "-1w::") How far back to load options. ONly data needed within timeframe is downloaded, unless replace_data=TRUE

symbols

(default: NULL) List of symbols to download

freq

(Default "d") Granularity of data downloaded ("d" for daily, "w" for weekly, "m" for monthly)

replace_data

(Default FALSE) Update or replace data

baddates_limits

(default 3): Consecutive business days of null data beyond which options are assumed not to exist.

verbosity

(default "basic") What to display as data is added. Options may be comma delimited and are

verbosity	Description
basic	Most basic information
timing	Timing information
iv	Implied volatility surface calculation progress
ivprobs	Implied volatility surface calculation errors (e.g. not enough data, etc.)

external_path

(default NULL) Path from which to replace existing data

Value

nothing

Details

Manage option data

This function can take a long time to run. Full option quotes are stored by symbol in arrow/parquet format by symbol day, and contract.

• Unless replace_data==TRUE, only dates and symbols that need to be downloaded will.

• Except the OS S function, all analytics run in the app require options data to be downloaded using this function.

See also

av_runShiny()