docs update

README.rst

@@ -52,6 +52,8 @@ The streamer is a websocket connection to dxfeed (the Tastytrade data provider)
 
 >>> [Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')]
 
+Note that this is asynchronous code, so you can't run it as is unless you're using a Jupyter notebook or something similar.
+
 Getting current positions
 -------------------------
 
@@ -63,7 +65,7 @@ Getting current positions
    positions = account.get_positions(session)
    print(positions[0])
 
->>> CurrentPosition(account_number='5WV69754', symbol='IAU', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='IAU', quantity=Decimal('20'), quantity_direction='Long', close_price=Decimal('37.09'), average_open_price=Decimal('37.51'), average_yearly_market_close_price=Decimal('37.51'), average_daily_market_close_price=Decimal('37.51'), multiplier=1, cost_effect='Credit', is_suppressed=False, is_frozen=False, realized_day_gain=Decimal('7.888'), realized_day_gain_effect='Credit', realized_day_gain_date=datetime.date(2023, 5, 19), realized_today=Decimal('0.512'), realized_today_effect='Debit', realized_today_date=datetime.date(2023, 5, 19), created_at=datetime.datetime(2023, 3, 31, 14, 38, 32, 58000, tzinfo=datetime.timezone.utc), updated_at=datetime.datetime(2023, 5, 19, 16, 56, 51, 920000, tzinfo=datetime.timezone.utc), mark=None, mark_price=None, restricted_quantity=Decimal('0'), expires_at=None, fixing_price=None, deliverable_type=None)
+>>> CurrentPosition(account_number='5WX01234', symbol='IAU', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='IAU', quantity=Decimal('20'), quantity_direction='Long', close_price=Decimal('37.09'), average_open_price=Decimal('37.51'), average_yearly_market_close_price=Decimal('37.51'), average_daily_market_close_price=Decimal('37.51'), multiplier=1, cost_effect='Credit', is_suppressed=False, is_frozen=False, realized_day_gain=Decimal('7.888'), realized_day_gain_effect='Credit', realized_day_gain_date=datetime.date(2023, 5, 19), realized_today=Decimal('0.512'), realized_today_effect='Debit', realized_today_date=datetime.date(2023, 5, 19), created_at=datetime.datetime(2023, 3, 31, 14, 38, 32, 58000, tzinfo=datetime.timezone.utc), updated_at=datetime.datetime(2023, 5, 19, 16, 56, 51, 920000, tzinfo=datetime.timezone.utc), mark=None, mark_price=None, restricted_quantity=Decimal('0'), expires_at=None, fixing_price=None, deliverable_type=None)
 
 Placing an order
 ----------------
@@ -75,15 +77,15 @@ Placing an order
    from tastytrade.instruments import Equity
    from tastytrade.order import NewOrder, OrderAction, OrderTimeInForce, OrderType, PriceEffect
 
-   account = Account.get_account(session, '5WV69754')
+   account = Account.get_account(session, '5WX01234')
    symbol = Equity.get_equity(session, 'USO')
    leg = symbol.build_leg(Decimal('5'), OrderAction.BUY_TO_OPEN)  # buy to open 5 shares
 
    order = NewOrder(
        time_in_force=OrderTimeInForce.DAY,
        order_type=OrderType.LIMIT,
        legs=[leg],  # you can have multiple legs in an order
-       price=Decimal('50'),  # limit price, here $50 for 5 shares = $10/share
+       price=Decimal('10'),  # limit price, $10/share for a total value of $50
        price_effect=PriceEffect.DEBIT
    )
    response = account.place_order(session, order, dry_run=True)  # a test order
@@ -96,15 +98,18 @@ Options chain/streaming greeks
 
 .. code-block:: python
 
+   from tastytrade import DXLinkStreamer
    from tastytrade.instruments import get_option_chain
-   from datetime import date
+   from tastytrade.utils import get_tasty_monthly
 
    chain = get_option_chain(session, 'SPLG')
-   subs_list = [chain[date(2023, 6, 16)][0].streamer_symbol]
+   exp = get_tasty_monthly()  # 45 DTE expiration!
+   subs_list = [chain[exp][0].streamer_symbol]
 
-   await streamer.subscribe(EventType.GREEKS, subs_list)
-   greeks = await streamer.get_event(EventType.GREEKS)
-   print(greeks)
+   async with DXLinkStreamer(session) as streamer:
+       await streamer.subscribe(EventType.GREEKS, subs_list)
+       greeks = await streamer.get_event(EventType.GREEKS)
+       print(greeks)
 
 >>> [Greeks(eventSymbol='.SPLG230616C23', eventTime=0, eventFlags=0, index=7235129486797176832, time=1684559855338, sequence=0, price=26.3380972233688, volatility=0.396983376650804, delta=0.999999999996191, gamma=4.81989763184255e-12, theta=-2.5212017514875e-12, rho=0.01834504287973133, vega=3.7003015672215e-12)]
 

docs/account-streamer.rst

@@ -22,3 +22,18 @@ Here's an example of setting up an account streamer to continuously wait for eve
 
        async for data in streamer.listen():
            print(data)
+
+Probably the most important information the account streamer handles is order fills. We can listen just for orders like so:
+
+.. code-block:: python
+
+   from tastytrade.order import PlacedOrder
+
+   async def listen_for_orders(session):
+       async with AccountStreamer(session) as streamer:
+           accounts = Account.get_accounts(session)
+           await streamer.subscribe_accounts(accounts)
+
+           async for data in streamer.listen():
+               if isinstance(data, PlacedOrder):
+                   yield return data

docs/accounts.rst

@@ -34,11 +34,28 @@ To obtain information about current positions:
 
 >>> CurrentPosition(account_number='5WX01234', symbol='BRK/B', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='BRK/B', quantity=Decimal('10'), quantity_direction='Long', close_price=Decimal('361.34'), average_open_price=Decimal('339.63'), multiplier=1, cost_effect='Credit', is_suppressed=False, is_frozen=False, realized_day_gain=Decimal('18.5'), realized_today=Decimal('279.15'), created_at=datetime.datetime(2023, 3, 31, 14, 35, 40, 138000, tzinfo=datetime.timezone.utc), updated_at=datetime.datetime(2023, 8, 10, 15, 42, 7, 482000, tzinfo=datetime.timezone.utc), mark=None, mark_price=None, restricted_quantity=Decimal('0'), expires_at=None, fixing_price=None, deliverable_type=None, average_yearly_market_close_price=Decimal('339.63'), average_daily_market_close_price=Decimal('361.34'), realized_day_gain_effect=<PriceEffect.CREDIT: 'Credit'>, realized_day_gain_date=datetime.date(2023, 8, 10), realized_today_effect=<PriceEffect.CREDIT: 'Credit'>, realized_today_date=datetime.date(2023, 8, 10))
 
-TODO:
-get_history
-get_net_liquidating_value_history
-get_live_orders
-delete_order(and place and replace)
-get_order_history
+To fetch a list of past transactions:
+
+.. code-block:: python
+
+   history = account.get_history(session, start_date=date(2024, 1, 1))
+   print(history[-1])
+
+>>> Transaction(id=280070508, account_number='5WX01234', transaction_type='Trade', transaction_sub_type='Sell to Close', description='Sold 10 BRK/B @ 384.04', executed_at=datetime.datetime(2024, 1, 26, 15, 51, 53, 685000, tzinfo=datetime.timezone.utc), transaction_date=datetime.date(2024, 1, 26), value=Decimal('3840.4'), value_effect=<PriceEffect.CREDIT: 'Credit'>, net_value=Decimal('3840.35'), net_value_effect=<PriceEffect.CREDIT: 'Credit'>, is_estimated_fee=True, symbol='BRK/B', instrument_type=<InstrumentType.EQUITY: 'Equity'>, underlying_symbol='BRK/B', action='Sell to Close', quantity=Decimal('10.0'), price=Decimal('384.04'), regulatory_fees=Decimal('0.042'), regulatory_fees_effect=<PriceEffect.DEBIT: 'Debit'>, clearing_fees=Decimal('0.008'), clearing_fees_effect=<PriceEffect.DEBIT: 'Debit'>, commission=Decimal('0.0'), commission_effect=<PriceEffect.NONE: 'None'>, proprietary_index_option_fees=Decimal('0.0'), proprietary_index_option_fees_effect=<PriceEffect.NONE: 'None'>, ext_exchange_order_number='12271026815307', ext_global_order_number=2857, ext_group_id='0', ext_group_fill_id='0', ext_exec_id='0', exec_id='123_40126000126350300000', exchange='JNS', order_id=305250635, exchange_affiliation_identifier='', leg_count=1, destination_venue='JANE_STREET_EQUITIES_A', other_charge=None, other_charge_effect=None, other_charge_description=None, reverses_id=None, cost_basis_reconciliation_date=None, lots=None, agency_price=None, principal_price=None)
+
+We can also view portfolio P/L over time (and even plot it!):
+
+.. code-block:: python
+
+   import matplotlib.pyplot as plt
+   nl = account.get_net_liquidating_value_history(session, time_back='1m')  # past 1 month
+   plt.plot([n.time for n in nl], [n.close for n in nl])
+   plt.show()
+
+.. image:: img/netliq.png
+  :width: 640
+  :alt: P/L graph
+
+Accounts are needed to place, replace, and delete orders. See more in :doc:`Orders <orders>`.
 
 There are many more things you can do with an ``Account`` object--check out the SDK Reference section!

docs/conf.py

@@ -9,7 +9,7 @@
 project = 'tastytrade'
 copyright = '2023, Graeme Holliday'
 author = 'Graeme Holliday'
-release = '6.5'
+release = '6.6'
 
 # -- General configuration ---------------------------------------------------
 # https://www.sphinx-doc.org/en/master/usage/configuration.html#general-configuration

docs/data-streamer.rst

@@ -30,26 +30,27 @@ Once you've created the streamer, you can subscribe/unsubscribe to events, like
 
    async with DXFeedStreamer(session) as streamer:
        await streamer.subscribe(EventType.QUOTE, subs_list)
-       quotes = []
+       quotes = {}
        async for quote in streamer.listen(EventType.QUOTE):
-           quotes.append(quote)
+           quotes[quote.eventSymbol] = quote
            if len(quotes) >= len(subs_list):
                break
        print(quotes)
 
->>> [Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')]
+>>> {'SPY': Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), 'SPX': Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')}
 
 Note that these are ``asyncio`` calls, so you'll need to run this code asynchronously. Here's an example:
 
 .. code-block:: python
 
-   async def main():
+   import asyncio
+   async def main(session):
        async with DXLinkStreamer(session) as streamer:
            await streamer.subscribe(EventType.QUOTE, subs_list)
            quote = await streamer.get_event(EventType.QUOTE)
            print(quote)
-   
-   asyncio.run(main())
+
+   asyncio.run(main(session))
 
 >>> [Quote(eventSymbol='SPY', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='Q', bidPrice=411.58, bidSize=400.0, askTime=0, askExchangeCode='Q', askPrice=411.6, askSize=1313.0), Quote(eventSymbol='SPX', eventTime=0, sequence=0, timeNanoPart=0, bidTime=0, bidExchangeCode='\x00', bidPrice=4122.49, bidSize='NaN', askTime=0, askExchangeCode='\x00', askPrice=4123.65, askSize='NaN')]
 
@@ -60,10 +61,11 @@ We can also use the streamer to stream greeks for options symbols:
 .. code-block:: python
 
    from tastytrade.instruments import get_option_chain
-   from datetime import date
+   from tastytrade.utils import get_tasty_monthly
 
    chain = get_option_chain(session, 'SPLG')
-   subs_list = [chain[date(2023, 6, 16)][0].streamer_symbol]
+   exp = get_tasty_monthly()  # 45 DTE expiration!
+   subs_list = [chain[exp][0].streamer_symbol]
 
    async with DXFeedStreamer(session) as streamer:
        await streamer.subscribe(EventType.GREEKS, subs_list)

docs/instruments.rst

@@ -1,14 +1,107 @@
 Instruments
 ===========
 
-TODO:
-Cryptocurrency
-Equity
-Option
-NestedOptionChain
-get_option_chain
-Future
-FutureOption
-NestedFutureOptionChain
-Warrant
-get_future_option_chain
+In the Tastytrade API, an instrument is a tradeable object, such as a cryptocurrency, an option, an equity/ETF, futures, futures options, and warrants.
+The SDK makes it easy to fetch, trade, and perform various other operations for these instruments.
+
+Initialization
+--------------
+
+Instruments follow a basic schema for initialization. To create an instrument(s), use the classmethods for the desired type of instrument:
+
+- ``Cryptocurrency.get_cryptocurrency()``, ``Cryptocurrency.get_cryptocurrencies()``
+- ``Equity.get_equity()``, ``Equity.get_equities()``
+- ``Future.get_future()``, ``Future.get_futures()``
+- ``Option.get_option()``, ``Option.get_options()``
+- ``FutureOption.get_future_option()``, ``FutureOption.get_future_options()``
+
+These functions take the session object as the first parameter, and the symbol (or list of symbols) as the second.
+Note that ETFs and indices are treated as equities for the purposes of the API.
+
+.. code-block:: python
+
+   from tastytrade.instruments import Equity, FutureOption
+
+   equities = Equity.get_equities(session, ['SPY', 'AAPL'])
+   print(equities[0].is_etf, equities[0].description)
+   future_option = FutureOption.get_future_option(session, './GCJ4 OG4G4 240223P1915')
+   print(future_option.exchange)
+
+>>> (False, 'APPLE INC')
+>>> 'CME'
+
+The different instruments have a host of properties that will be automatically populated with their associated values upon initialization. You can explore these properties in depth in the "SDK Reference" section.
+
+Options chains
+--------------
+
+The symbol structure for options and futures options is somewhat complex, so you can use ``get_option_chain()`` and ``get_future_option_chain()`` to get the instruments for a specific underlying as explained below.
+
+.. code-block:: python
+
+   from tastytrade.instruments import get_option_chain, get_future_option_chain
+   from tastytrade.utils import get_tasty_monthly
+
+   chain = get_option_chain(session, 'SPLG')
+   exp = get_tasty_monthly()  # 45 DTE expiration!
+   print(chain[exp][0])
+   future_chain = get_future_option_chain(session, '/MCL')
+   print(future_chain.keys())  # print all expirations
+
+>>> instrument_type=<InstrumentType.EQUITY_OPTION: 'Equity Option'> symbol='SPLG  240315C00024000' active=True strike_price=Decimal('24.0') root_symbol='SPLG' underlying_symbol='SPLG' expiration_date=datetime.date(2024, 3, 15) exercise_style='American' shares_per_contract=100 option_type=<OptionType.CALL: 'C'> option_chain_type='Standard' expiration_type='Regular' settlement_type='PM' stops_trading_at=datetime.datetime(2024, 3, 15, 20, 0, tzinfo=datetime.timezone.utc) market_time_instrument_collection='Equity Option' days_to_expiration=38 expires_at=datetime.datetime(2024, 3, 15, 20, 0, tzinfo=datetime.timezone.utc) is_closing_only=False listed_market=None halted_at=None old_security_number=None streamer_symbol='.SPLG240315C24'
+>>> dict_keys([datetime.date(2024, 7, 17), datetime.date(2024, 6, 14), datetime.date(2024, 9, 17), datetime.date(2024, 11, 15), datetime.date(2024, 12, 16), datetime.date(2024, 2, 9), datetime.date(2024, 5, 16), datetime.date(2025, 1, 15), datetime.date(2024, 8, 15), datetime.date(2024, 2, 16), datetime.date(2024, 2, 14), datetime.date(2024, 10, 17), datetime.date(2024, 4, 17), datetime.date(2024, 3, 15)])
+
+Alternatively, ``NestedOptionChain`` and ``NestedFutureOptionChain`` provide a structured way to fetch chain expirations and available strikes.
+
+.. code-block:: python
+
+   from tastytrade.instruments import NestedOptionChain
+
+   chain = NestedOptionChain.get_chain(session, 'SPY')
+   print(chain.expirations[0].strikes[0])
+
+>>> Strike(strike_price=Decimal('415.0'), call='SPY   240207C00415000', put='SPY   240207P00415000')
+
+Each expiration contains a list of these strikes, which have the associated put and call symbols that can then be used to fetch option objects via ``Option.get_options()`` or converted to dxfeed symbols for use with the streamer via ``Option.occ_to_streamer_symbol()``.
+
+Placing trades
+--------------
+
+Probably the most powerful tool available for instruments is the ``build_leg()`` function. This allows an instrument to be quickly converted into a tradeable 'leg', which by itself or together with other legs forms the basis for a trade.
+This makes placing new trades across a wide variety of instruments surprisingly simple:
+
+.. code-block:: python
+
+   from tastytrade.instruments import get_future_option_chain
+   from tastytrade.order import *
+   from datetime import date
+
+   chain = get_future_option_chain(session, '/MCL')
+   put = chain[date(2024, 3, 15)][286]
+   call = chain[date(2024, 3, 15)][187]
+
+   order = NewOrder(
+       time_in_force=OrderTimeInForce.DAY,
+       order_type=OrderType.LIMIT,
+       legs=[
+           # two parameters: quantity and order action
+           put.build_leg(Decimal(1), OrderAction.SELL_TO_OPEN),
+           call.build_leg(Decimal(1), OrderAction.SELL_TO_OPEN)
+       ],
+       price=Decimal('1.25'),  # price is always per quantity, not total
+       price_effect=PriceEffect.CREDIT
+   )
+   # assuming an initialized account
+   account.place_order(session, order, dry_run=False)
+
+That's it! We just sold a micro crude oil futures strangle in a few lines of code.
+Note that price is per quantity, not the price for the entire order! So if the legs looked like this:
+
+.. code-block:: python
+
+   legs=[
+       put.build_leg(Decimal(2), OrderAction.SELL_TO_OPEN),
+       call.build_leg(Decimal(2), OrderAction.SELL_TO_OPEN)
+   ]
+
+the price would still be ``Decimal('1.25')``, and the total credit collected would be $2.50. This holds true for ratio spreads, so a 4:2 ratio spread should be priced as a 2:1 ratio spread.