ENH: Added method to pandas.data.Options to download all option data …

…for a ticker.

Also added a few helper functions.  These functions could be applied to refactor some of the other methods.

ENH: In Options.get_all_data: Now checking for any option tag (instead of just mini)

Changed expiry to datetime from string.
Added tests for tick functions.

BUG: Fixed no sign in change column of option download.

BUG: Fix bugs in Options class

Dealt with situation of calculating expiry when symbol contains a hyphen
Fixed bug in finding current expiry month.

BUG: Fixed Options.get_forward_data expiry date

Method assumed expiry date is the same for all option in a given month.
Not the case for options with weekly's.  Also breaks with options that
have tags.

BUG: Fixed Option bug that didn't allow LEAP DL in January.

Option class was checking only the month to determine if the requested
month was the current month.  Changed to check year and month.  Now
allows downloads of next years LEAPS's in January.

ENH: Added option tag and underlying price to option data output.

Factored out URL parsing and error checking from individual methods.

ENH: Refactor of Option class in io.data.

 Consistently returns multi-index data frame.
 Improves speed of downloading combination of calls and puts by only accessing yahoo once per expiry month.

CLN: Fix out of date docstrings in io.data.Options

Moved _parse_row_values definition into _unpack.

CLN: Consistent capitalization in output data.

CLN: Remove Tag, leave Root in data frame output.

CLN: Remove unnecessary _tag_from_root method.

BUG: Fix different capitalizations of Rootexp in _process_data.

TST: Update tests for pandas.data.Options

TST: Remove test for helper function that no longer exists.

TST: Fix option test for change in output

TST: Changes io.data.Options tests to self.assertTrue

TST: Change tests raise nose.SkipTests on remote data errors

TST: Change nose.SkipTest on RemoteDataError instead of IndexError

ENH: Added quote time to outputs of data.Options.

DOC: Added documentation for io.data.Options

DOC: Added documentation of data.Options output.

DOC: Updated docstrings on data.io.Options

DOC: Added experimental tags to io.data.Options docstrings/documentation.

BUG: Bug fixes, added tests, cleanups on documentation

TST: Fix test_data Options tests.

TST: Add test yahoo finance option pages.

DOC: Update example to show slicing.

TST: Remove test for long for python 3 compatibility.

BUG: Fix quote time scraper

TST: Changed the error raised by no tables in data.Options

Tests were failing if the scraper got the webpage but there weren't any tables in it.  Changed from IndexError to RemoteDataError so that nose would skip it on failure.

DOC: Moved reference to new Options method to v0.14.1.txt

DOC: Updated release at 0.14.1.txt for io.data.Options

doc/source/release.rst

@@ -55,6 +55,10 @@ performance improvements along with a large number of bug fixes.
 
 Highlights include:
 
+Experimental Features
+~~~~~~~~~~~~~~~~~~~~~
+- ``pandas.io.data.Options`` has a get_all_data method and now consistently returns a multi-indexed ''DataFrame'' (:issue:`5602`)
+
 See the :ref:`v0.14.1 Whatsnew <whatsnew_0141>` overview or the issue tracker on GitHub for an extensive list
 of all API changes, enhancements and bugs that have been fixed in 0.14.1.
 

doc/source/remote_data.rst

@@ -52,6 +52,43 @@ Yahoo! Finance
     f=web.DataReader("F", 'yahoo', start, end)
     f.ix['2010-01-04']
 
+.. _remote_data.yahoo_Options:
+
+Yahoo! Finance Options
+----------------------
+***Experimental***
+
+The Options class allows the download of options data from Yahoo! Finance.
+
+The ''get_all_data'' method downloads and caches option data for all expiry months
+and provides a formatted ''DataFrame'' with a hierarchical index, so its easy to get
+to the specific option you want.
+
+.. ipython:: python
+
+      from pandas.io.data import Options
+      aapl = Options('aapl', 'yahoo')
+      data = aapl.get_all_data()
+      data.head()
+
+      #Show the $600 strike puts at all expiry dates:
+      data.loc[(600, slice(None), 'put'),:].head()
+
+      #Show the volume traded of $600 strike puts at all expiry dates:
+      data.loc[(600, slice(None), 'put'),'Vol'].head()
+
+If you don't want to download all the data, more specific requests can be made.
+
+.. ipython:: python
+
+      import datetime
+      expiry = datetime.date(2016, 1, 1)
+      data = aapl.get_call_data(expiry=expiry)
+      data.head()
+
+Note that if you call ''get_all_data'' first, this second call will happen much faster, as the data is cached.
+
+
 .. _remote_data.google:
 
 Google Finance

doc/source/v0.14.1.txt

@@ -148,7 +148,23 @@ Performance
 Experimental
 ~~~~~~~~~~~~
 
-There are no experimental changes in 0.14.1
+``pandas.io.data.Options`` has a get_all_data method and now consistently returns a multi-indexed ''DataFrame'' (PR `#5602`)
+    See :ref:`the docs<remote_data.yahoo_Options>` ***Experimental***
+
+      .. ipython:: python
+
+      from pandas.io.data import Options
+      aapl = Options('aapl', 'yahoo')
+      data = aapl.get_all_data()
+      data.head()
+
+      .. ipython:: python
+
+      from pandas.io.data import Options
+      aapl = Options('aapl', 'yahoo')
+      data = aapl.get_all_data()
+      data.head()
+
 
 .. _whatsnew_0141.bug_fixes: